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On model reduction and multiperiod ahead prediction in vector autoregressive models

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  • Otter, Pieter W.

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  • Otter, Pieter W., 1995. "On model reduction and multiperiod ahead prediction in vector autoregressive models," Economic Modelling, Elsevier, vol. 12(4), pages 339-341, October.
    • Handle: RePEc:eee:ecmode:v:12:y:1995:i:4:p:339-341
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    References listed on IDEAS

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    1. Otter, Pieter W., 1991. "On Wiener-Granger causality, information and canonical correlation," Economics Letters, Elsevier, vol. 35(2), pages 187-191, February.
    2. Otter, Pieter W, 1990. "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 453-457, October.
    3. Tsay, Ruey S, 1989. "Parsimonious Parameterization of Vector Autoregressive Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 327-341, July.
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