Testing for short memory in a VARMA process

Journal of Forecasting

Volumn 18, Issue 7, 1999, Pages 477-487

  Oke, T ^a   Oller L E ^b  

^a UPPSALA UNIVERSITY   (Sweden)

^b Natl Institute of Economic Research   (Sweden)

Author keywords

Memory; Prediction horizon; Varma models

Indexed keywords

EID: 0012798323     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-131X(199912)18:7<477::AID-FOR739>3.0.CO;2-G     Document Type: Article

References (17)

1. Box, G. E. P. and Jenkins, G. M. Time Series Analysis, Forecasting and Control, San Francisco, CA: Holden-Day, 1970.
2. Charemza, W. W. and Deadman, D. F. New Directions in Econometric Practice, Aldershot: Edward Elgar Publishing, 1992.
3. Dickey, D. A. and Fuller, W. A. 'Likelihood ratio statistics for autoregressive time series with unit root', Econometrica, 49(4) (1981), 1057-72.
4. Engle, R. F. and Granger, C. W. J. 'Co-integration and error correction: representation, estimation and testing', Econometrica, 55 (1987), 251-76.
5. Granger, C. W. J. and Newbold, P. Forecasting Economic Time Series, 2nd edition, San Diego, CA: Academic Press, 1986.
6. Harvey, A. C. 'A unified view of statistical forecasting procedures', Journal of Forecasting, 3 (1984), 245-75.
7. Hylleberg, S., Engle, R. F., Granger, C. W. J. and Yoo, B. S. 'Seasonal integration and cointegration', Journal of Econometrics, 44 (1990), 215-38.
8. Johansen, S. Likelihood-Based Inference in Cointegrated Vector Autoregressive Model, Oxford: Oxford University Press, 1995.
9. Lyhagen, J. 'A matrix evaluation of the moving average representation', Economic Letters, (1997), in press.
10. 2 in autoregressive-moving average time series models', The American Statistician, 30 (1976), 175-80.
11. Öller, L.-E. 'How far can changes in business activity be forecasted?', International Journal of Forecasting, 1 (1985), 135-41.
12. Parzen, E. in Findley, D. (ed.), Time Series Model Identification and Prediction Variance Horizon, New York: Academic Press, 1981.
13. Parzen, E. 'ARARMA models for time series analysis and forecasting', Journal of Forecasting, 1 (1982), 67-82.
14. Phillips, P. C. B. and Loretan, M. 'Estimating long-run economic equilibria', Review of Economic Studies, 5 (1991), 407-36.
15. Tiao, G. C. and Box, G. E. P. 'Modeling multiple time series with applications', Journal of the American Statistical Association, 76 (1981), 802-16.
16. Vandaele, W. Applied Time Series and Box-Jenkins Models, New York: Academic Press, 1983.
17. Wold, H. A Study in the Analysis of Stationary Time Series, Stockholm: Almqvist and Wiksell, 1938.