Multiple time-series modelling: Another look at the canadian money and income data

✍ Scribed by Bovas Abraham

• Publisher: John Wiley and Sons
• Year: 1993
• Tongue: English
• Weight: 472 KB
• Volume: 12
• Category: Article
• ISSN: 0277-6693
• DOI: 10.1002/for.3980120506

✦ Synopsis

Abstract

The practice of modelling the components of a vector time series to arrive at a joint model for the vector is considered. It is shown that in 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 discuss the issue of differencing a multiple time series. Finally, models based on first and second differences are compared using forecasts.