Michael Bagshaw
Abstract
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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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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.
Key concepts: Autoregressive integrated moving average, Univariate, Multivariate statistics, Vector autoregression, Econometrics, Autoregressive model, Statistics, Time series