Testing for Short Memory in a VARMA Process
We generalize the short term memory test of an ARMA model, presented in Öller (1985), to the multivariate VARMA cases. In a study on Swedish exports and OECD demand we demonstrate how the multivariate setting extends the short memory.
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|Date of creation:||01 May 1997|
|Date of revision:|
|Note:||Published in Journal of Forecasting 18, 1999, 477-487.|
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