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Comparison of Univariate ARIMA, Multivariate ARIMA and Vector Autoregression Forecasting


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.


Suggested citation: Bagshaw, Michael L., 1986. “Comparison of Univariate ARIMA, Multivariate ARIMA and Vector Autoregression Forecasting,” Federal Reserve Bank of Cleveland, Working Paper no. 86-02.

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