Forecasting cointegrated VARMA processes

zbMATH Open1136.91567MaRDI QIDQ5481309FDOQ5481309

Authors: Helmut Lütkepohl 

Publication date: 9 August 2006

Recommendations

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• scientific article; zbMATH DE number 51202

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited In (5)

• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Forecasting cointegrated nonstationary time series with time-varying variance
• Title not available (Why is that?)
• Forecasting aggregated vector ARMA processes
• Restricted VaR forecasts of economic time series with contemporaneous constraints

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