Scandinavian Working Papers in Economics

Working Papers,
National Institute of Economic Research

No 56: Testing for Short Memory in a VARMA Process

Timothy Oke and Lars-Erik Öller ()
Additional contact information
Timothy Oke: Uppsala University, Postal: Uppsala University, Department of statistics, P.O.Box 513, SE-751 20 Uppsala, Sweden
Lars-Erik Öller: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden

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

20 pages, May 1, 1997

Note: Published in Journal of Forecasting 18, 1999, 477-487.

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