We generalize the short-term memory test of an ARMA model, presented in O Γ 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.
Testing for structural change in a long-memory environment
β Scribed by Javier Hidalgo; Peter M. Robinson
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 890 KB
- Volume
- 70
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
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