Testing for Short Memory in a VARMA Process

Timothy Oke and Lars-Erik Öller
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Timothy Oke: Uppsala University, Postal: Uppsala University, Department of statistics, P.O.Box 513, SE-751 20 Uppsala, Sweden

No 56, Working Papers from National Institute of Economic Research

Abstract: We generalize the short term memory test of an ARMA model, presented in Öller (1985), to the multivariate VARMA cases. In a study on Swedish exports and OECD demand we demonstrate how the multivariate setting extends the short memory.

Keywords: Prediction horizon; Memory; VARMA models (search for similar items in EconPapers)
Pages: 20 pages
Date: 1997-05-01
Note: Published in Journal of Forecasting 18, 1999, 477-487.
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Citations: View citations in EconPapers (8)

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