Forecasting with VARMA Models

Helmut Lütkepohl

Chapter 06 in Handbook of Economic Forecasting, 2006, vol. 1, pp 287-325 from Elsevier

Abstract: Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated variables is considered. Moreover, unique or identified parameterizations based on the echelon form are presented. Model specification, estimation, model checking and forecasting are discussed. Special attention is paid to forecasting issues related to contemporaneously and temporally aggregated VARMA processes. Predictors for aggregated variables based alternatively on past information in the aggregated variables or on disaggregated information are compared.

JEL-codes: B0 (search for similar items in EconPapers)
Date: 2006
ISBN: 0-444-51395-7
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Citations: View citations in EconPapers (11)

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Working Paper: Forecasting with VARMA Models (2004)
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