Forecasting cointegrated VARMA processes

MaRDI QIDQ5481309zbMATH OpenFDO

Authors Helmut Lütkepohl

Publication date 9 August 2006

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Analysis of cointegrated VARMA processes
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• scientific article; zbMATH DE number 51202

Cited in

(7)

• Analysis of cointegrated VARMA processes
• Forecasting aggregated vector ARMA processes
• Restricted VaR forecasts of economic time series with contemporaneous constraints
• Forecasting cointegrated nonstationary time series with time-varying variance
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Multistep ahead forecasting of vector time series
• Forecasting based upon cointegration analysis and its applications

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