Scandinavian Working Papers in Economics
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Konjunkturinstitutet - National Institute of Economic Research Working Papers, Konjunkturinstitutet - National Institute of Economic Research

No 56:
Testing for Short Memory in a VARMA Process

Timothy Oke and Lars-Erik Íller ()

Abstract: We generalize the short term memory test of an ARMA model, presented in Íller (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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