Testing for Short Memory in a VARMA Process

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Oke, Timothy; Öller, Lars-Erik;
  • 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.
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