Tools
Tools
Ledolter, J. (1977). A Multivariate Time Series Approach to Modelling Macroeconomic Sequences. IIASA Research Memorandum. IIASA, Laxenburg, Austria: RM-77-033
Preview |
Text
RM-77-033.pdf Download (782kB) | Preview |
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 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: | https://pure.iiasa.ac.at/782 |
Actions (login required)
 |
View Item |