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Working Paper

Comparison of Univariate ARIMA, Multivariate ARIMA and Vector Autoregression Forecasting

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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.
05.01.1986ISSN 2573-7953 WP 86-02

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

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.