| Article ID: | iaor20012578 |
| Country: | United Kingdom |
| Volume: | 18 |
| Issue: | 7 |
| Start Page Number: | 477 |
| End Page Number: | 487 |
| Publication Date: | Dec 1999 |
| Journal: | International Journal of Forecasting |
| Authors: | Oke T., ller L.-E. |
| Keywords: | ARIMA processes |
We generalize the short-term memory test of an ARMA model, presented by Öller, to the multivariate VARMA cases. In a study of Swedish exports and OECD demand we demonstrate how the multivariate setting extends the short memory.