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Working Paper

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.