Comparison of univariate ARIMA, multivariate ARIMA and vector autoregression forecasting

Michael L. Bagshaw

No 8602, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: A comparison of the forecasting abilities of univariate ARIMA, multivariate ARIMA, and VAR, and examination of whether series should be differenced before estimating models for forecasting purposes.

Keywords: Forecasting; time series analysis (search for similar items in EconPapers)
Date: 1986
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