Journal article
A Multivariate Time Series Approach to Modelling Macroeconomic Sequences
Empirical economics, Vol.2(4), pp.225-243
12/1977
DOI: 10.1007/BF01760409
Abstract
In this paper we discuss a multivariate generalization of autoregressive integrated moving average models. A methodology for constructing multivariate time series models is developed and the derivation of forecasts from such models is considered. A bivariate model for Austrian macroeconomic sequences is constructed. Furthermore it is discussed whether multivariate time series methods can be expected to lead to a significant increase in prediction accuracy when forecasting macroeconomic series. © 1977 Physica-Verlag.
Details
- Title: Subtitle
- A Multivariate Time Series Approach to Modelling Macroeconomic Sequences
- Creators
- Johannes Ledolter - University of Wisconsin–Madison
- Resource Type
- Journal article
- Publication Details
- Empirical economics, Vol.2(4), pp.225-243
- DOI
- 10.1007/BF01760409
- ISSN
- 0377-7332
- eISSN
- 1435-8921
- Language
- English
- Date published
- 12/1977
- Academic Unit
- Business Analytics; Statistics and Actuarial Science
- Record Identifier
- 9984380536202771
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