Citation
T. Oke et Le. Oller, Testing for short memory in a VARMA process, J FORECAST, 18(7), 1999, pp. 477-487
Citations number
17
Categorie Soggetti
Management
Journal title
JOURNAL OF FORECASTING
ISSN journal
02776693
→ ACNP
Volume
18
Issue
7
Year of publication
1999
Pages
477 - 487
Database
ISI
SICI code
0277-6693(199912)18:7<477:TFSMIA>2.0.ZU;2-A
Abstract
We generalize the short-term memory test of an ARMA model, presented in Oll
er (1985), to the multivariate VARMA cases. In a study of Swedish exports a
nd OECD demand we demonstrate how the multivariate setting extends the shor
t memory. Copyright (C) 1999 John Wiley & Sons, Ltd.