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Testing for Short Memory in a VARMA Process

  • Oke, Timothy

    (Uppsala University)

  • Öller, Lars-Erik

    ()

    (National Institute of Economic Research)

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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Paper provided by National Institute of Economic Research in its series Working Paper with number 56.

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Length: 20 pages
Date of creation: 01 May 1997
Date of revision:
Handle: RePEc:hhs:nierwp:0056
Note: Published in Journal of Forecasting 18, 1999, 477-487.
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