Working Paper, Konjunkturinstitutet - National Institute of Economic Research
Timothy Oke and Lars-Erik Öller
Testing for Short Memory in a VARMA Process
Abstract: 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.
Keywords: Prediction horizon; Memory; VARMA models; (follow links to similar papers)
20 pages, May 1, 1997
Published in Journal of Forecasting 18, 1999, 477-487.
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Working-Paper-56-Testing- ... ry-in-a-Varma-Process.pdf
Questions (including download problems) about the papers in this series should be directed to Henrik Hellström ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom