Working Paper, Konjunkturinstitutet - National Institute of Economic Research
No 56:
Testing for Short Memory in a VARMA Process
Timothy Oke and Lars-Erik Öller ()
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.
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