𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Theory and practice of multivariate arma forecasting

✍ Scribed by Trond Riise; Dag Tjozstheim

Book ID
102843199
Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
525 KB
Volume
3
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

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 effect of estimated parameters is examined and found to be small granted that a good method of estimation is used. However, multivariate models could be very sensitive to structural changes. This is illustrated via an example involving monetary data, where the multivariate forecasts perform considerably worse than the univariate ones. This seems to put a limitation on the use of multivariate ARMA forecasting models.

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