A Multivariate Time Series Approach to Modelling Macroeconomic Sequences

Ledolter, J. (1977). A Multivariate Time Series Approach to Modelling Macroeconomic Sequences. IIASA Research Memorandum. IIASA, Laxenburg, Austria: RM-77-033


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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 for macroeconomic series.

Item Type: Monograph (IIASA Research Memorandum)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:44
Last Modified: 27 Aug 2021 17:08
URI: http://pure.iiasa.ac.at/782

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