Testing for short memory in a VARMA proc
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T. Oke; L.-E. Γller
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Article
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1999
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John Wiley and Sons
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English
β 138 KB
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.