MULTIPLE TIME-SERIES MODELING - ANOTHER LOOK AT THE CANADIAN MONEY AND INCOME DATA

The practice of modelling the components of a vector time series to ar rive at a joint model for the vector is considered. It is shown that i n some cases this is not unreasonable. A vector ARMA model is used to model the Canadian money and income data. We also use these data to di scuss the issue of differencing a multiple time series. Finally, model s based on first and second differences are compared using forecasts.