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On the specification of cointegrated autoregressive moving-average forecasting systems

Poskitt, Donald S

Description

This paper discusses equilibrium correction, echelon canonical form vector autoregressive moving-average, EC-ARMAE, forecasting systems. The echelon canonical form of a vector ARMA model is expanded by the inclusion of an equilibrium correction term to accommodate the possibility of cointegrated variables. A coherent procedure is presented for consistently estimating the Kronecker indices, which characterize the echelon form, and the cointegration rank, which is essential in the specification...[Show more]

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
URI: http://hdl.handle.net/1885/77187
Source: International Journal of Forecasting
DOI: 10.1016/S0169-2070(02)00031-6

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