Theory and practice of multivariate arma
β
Trond Riise; Dag Tjozstheim
π
Article
π
1984
π
John Wiley and Sons
π
English
β 525 KB
We compare univariate and multivariate forecasts based on ARMA models. In theory we cannot d o worse by using a multivariate model instead of a univariate one, but we can risk getting no improvement. Conditions for no improvements are discussed as well as cases where large improvements occur. The e