Testing for Short Memory in a VARMA Process

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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Year of publication:	1997-05-01
Authors:	Oke, Timothy ; Öller, Lars-Erik
Institutions:	Konjunkturinstitutet, Government of Sweden
Subject:	Prediction horizon \| Memory \| VARMA models

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Series:	Working Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Forecasting 18, 1999, 477-487. The text is part of a series Working Paper Number 56 20 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005651546