Testing for Short Memory in a VARMA ProcessPreprint OPEN
Oke, Timothy; Öller, Lars-Erik; (1997)
Subject: Prediction horizon; Memory; VARMA models
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.