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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.
05.01.1986WP 86-02
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.