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.
Keywords: Forecasting; time series analysis;
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 1986
Number: 8602