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Testing for short memory in a VARMA process
Author(s) -
Oke T.,
Öller L.E.
Publication year - 1999
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/(sici)1099-131x(199912)18:7<477::aid-for739>3.0.co;2-g
Subject(s) - multivariate statistics , econometrics , long memory , short term memory , process (computing) , autoregressive–moving average model , autoregressive fractionally integrated moving average , computer science , multivariate analysis , memory test , economics , psychology , autoregressive model , working memory , machine learning , cognition , volatility (finance) , neuroscience , operating system
We generalize the short‐term memory test of an ARMA model, presented in Öller (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. Copyright © 1999 John Wiley & Sons, Ltd.