Estimating Multivariate Arima Models: When is Close Not Good Enough?
The purpose of this study is to examine the forecasting abilities of the same multivariate autoregressive model estimated using two methods. The first method is the "exact method" used by the SCA System from Scientific Computing Associates. The second method is an approximation method as implemented in the MTS system by Automatic Forecasting Systems, Inc.
Suggested citation: Bagshaw, Michael L., 1987. “Estimating Multivariate Arima Models: When is Close Not Good Enough?,” Federal Reserve Bank of Cleveland, Working Paper no. 87-11.