Abstract
In this paper we discuss a multivariate generalization of autoregressive integrated moving average models. A methodology for constructing multivariate time series models is developed and the derivation of forecasts from such models is considered. A bivariate model for Austrian macroeconomic sequences is constructed. Furthermore it is discussed whether multivariate time series methods can be expected to lead to a significant increase in prediction accuracy when forecasting macroeconomic series.
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Ledolter, J. A multivariate time series approach to modelling macroeconomic sequences. Empirical Economics 2, 225–243 (1977). https://doi.org/10.1007/BF01760409
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DOI: https://doi.org/10.1007/BF01760409