[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/spt/stecon/v5y2016i4f5_4_2.html
   My bibliography  Save this article

Modeling Multivariate Time Series with Univariate Seasonal Components

Author

Listed:
  • I.A. Iwok
Abstract
This work focused on method of modeling multivariate time series with seasonal univariate components. Five variables representing Nigeria’s Gross Domestic Products (GDP) were found to exhibit seasonal behaviours. These series were subjected to Box and Jenkins techniques and different univariate seasonal models were entertained for each component. The residuals from the fitted univariate models were cross examined. The correlation and cross correlation structures of these residuals revealed the inter-relationships among the variables, and multivariate consideration was therefore obvious. Multivariate order selection technique was employed to obtain the vector autoregressive (VAR) order of the model. A VAR (1) model was identified and developed to fit the data. Stability of the VAR process was achieved. Diagnostic checks were applied to the fitted model and the model was found to be adequate. Hence, forecasts were generated.

Suggested Citation

  • I.A. Iwok, 2016. "Modeling Multivariate Time Series with Univariate Seasonal Components," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 5(4), pages 1-2.
    • Handle: RePEc:spt:stecon:v:5:y:2016:i:4:f:5_4_2
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JSEM%2fVol%205_4_2.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:stecon:v:5:y:2016:i:4:f:5_4_2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.