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dc.contributor.authorMARAVALL, Agustin
dc.contributor.authorMATHIS, Alexandre
dc.date.accessioned2011-04-20T14:03:53Z
dc.date.available2011-04-20T14:03:53Z
dc.date.issued1994
dc.identifier.citationJournal of Econometrics, 1994, 61, 2, 197-233
dc.identifier.issn0304-4076
dc.identifier.urihttp://hdl.handle.net/1814/16778
dc.description.abstractThrough 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.
dc.relation.isbasedonhttp://hdl.handle.net/1814/439
dc.titleEncompassing Univariate Models in Multivariate Time-Series - A Case-Study
dc.typeArticle
dc.identifier.doi10.1016/0304-4076(94)90084-1
dc.neeo.contributorMARAVALL|Agustin|aut|
dc.neeo.contributorMATHIS|Alexandre|aut|
dc.identifier.volume61
dc.identifier.startpage197
dc.identifier.endpage233
eui.subscribe.skiptrue
dc.identifier.issue2
dc.description.versionThe article is a published version of EUI ECO WP; 1992/88


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