A demonstration of time series techniques used to forecast quarterly money supply levels. The results indicate that a bivariate model, including an interest rate and M1 predicts M1 better than the univariate model using M1 only, and as well as a 5-variable model which adds prices, output, and...

This paper proposes an extension of Granger causality when more than two variables are used in a multivariate time series model, and it is necessary to consider more than one-period-ahead forecasts.

In this paper, we present a forecasting technique that uses contemporaneous correlations for forecasting in a time series model when only a subset of the variables are available for the current period. This method potentially provides more accurate forecasts than the standard time series...

The purposes of this study are two: 1) to compare the forecasting abilities of the three methods: univariate autoregressive integrated moving average (ARIMA), multivariate autoregressive integrated moving average (MARIMA), and vector autoregression (both unconstrained — VAR — and Bayesian...

An examination of whether one should seasonally adjust data before developing multivariate time series models to provide forecasts.

A presentation of multivariate time series forecasting in which the data consist of a mixture of quarterly and monthly series. In particular, a monthly series of M1 is used to forecast quarterly GNP.

A comparison of the forecasting abilities of univariate ARIMA, multivariate ARIMA, and VAR, and examination of whether series should be differenced before estimating models for forecasting purposes.

The purpose of this study is to examine the forecasting abilities of the same multivariate autoregressive model estimated using two methods. The first method is the "exact method" used by the SCA System from Scientific Computing Associates. The second method is an approximation method as...

The Federal Reserve announces targets for the monetary aggregates that are implicitly conditioned on an assumption about future velocity for each of the monetary aggregates. In this paper we present explicit models of velocity for constructing rigorous tests to determine whether the behavior of...