Encompassing Univariate Models in Multivariate Time-Series - A Case-Study
Journal of Econometrics, 1994, 61, 2, 197-233
MARAVALL, Agustin, MATHIS, Alexandre, Encompassing Univariate Models in Multivariate Time-Series - A Case-Study, Journal of Econometrics, 1994, 61, 2, 197-233 - https://hdl.handle.net/1814/16778
Retrieved from Cadmus, EUI Research Repository
Through the encompassing principle, univariate ARIMA analysis could provide an important tool for diagnosis of VAR models: The univariate ARIMA models implied by the VAR should explain the results from univariate analysis. This comparison is seldom performed, possibly due to the paradox that, while the implied ARIMA models typically contain a very large number of parameters, univariate analysis yields highly parsimonious models. Using a VAR application to six French macro-economic variables, it is seen how the encompassing check is straight-forward to perform, and surprisingly accurate.
Cadmus permanent link: https://hdl.handle.net/1814/16778
Full-text via DOI: 10.1016/0304-4076(94)90084-1
Earlier different version: http://hdl.handle.net/1814/439
Version: The article is a published version of EUI ECO WP; 1992/88
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