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Forecasting Multivariate Time Series with the Theta Method

Thomakos, D.D. and Nikolopoulos, K. (2015) Forecasting Multivariate Time Series with the Theta Method. Journal of Forescasting, 34 (3). pp. 220-229. DOI: 10.1002/for.2334

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Abstract

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

Item Type: Article
Subjects: Research Publications
Departments: College of Business, Law, Education and Social Sciences > Bangor Business School
Date Deposited: 03 Mar 2015 03:49
Last Modified: 23 Sep 2015 02:49
ISSN: 0277-6693
URI: http://e.bangor.ac.uk/id/eprint/3598
Identification Number: DOI: 10.1002/for.2334
Publisher: Wiley
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