Forecasting Multivariate Time Series with the Theta Method

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygl

Fersiynau electronig

Dangosydd eitem ddigidol (DOI)

In this study building on earlier work on the properties and performance of the univariate Theta method for a unit root data-generating process we: (a) derive new theoretical formulations for the application of the method on multivariate time series; (b) investigate the conditions for which the multivariate Theta method is expected to forecast better than the univariate one; (c) evaluate through simulations the bivariate form of the method; and (d) evaluate this latter model in real macroeconomic and financial time series. The study provides sufficient empirical evidence to illustrate the suitability of the method for vector forecasting; furthermore it provides the motivation for further investigation of the multivariate Theta method for higher dimensions
Iaith wreiddiolSaesneg
Tudalennau (o-i)220-229
CyfnodolynJournal of Forecasting
Cyfrol34
Rhif y cyfnodolyn3
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 26 Chwef 2015
Gweld graff cysylltiadau