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Working Paper

Estimating Multivariate Arima Models: When is Close Not Good Enough?

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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.
12.01.1987ISSN 2573-7953 WP 87-11

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. 1987. “Estimating Multivariate Arima Models: When is Close Not Good Enough?” Federal Reserve Bank of Cleveland, Working Paper No. 87-11.