Working Paper

Comparison of univariate ARIMA, multivariate ARIMA and vector autoregression forecasting


Abstract: A comparison of the forecasting abilities of univariate ARIMA, multivariate ARIMA, and VAR, and examination of whether series should be differenced before estimating models for forecasting purposes.

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Provider: Federal Reserve Bank of Cleveland

Part of Series: Working Papers (Old Series)

Publication Date: 1986

Number: 8602