✦ LIBER ✦

Testing for short memory in a VARMA process

✍ Scribed by T. Oke; L.-E. Öller

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 138 KB
Volume: 18
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199912)18:7<477::aid-for739>3.0.co;2-g

No coin nor oath required. For personal study only.

✦ Synopsis

We generalize the short-term memory test of an ARMA model, presented in O È ller (1985), to the multivariate VARMA cases. In a study of Swedish exports and OECD demand we demonstrate how the multivariate setting extends the short memory.

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