DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA

Helmut Lütkepohl

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Time Series Analysis and Forecasting

Abstract

Abstract.In multiple time series analysis it is sometimes suggested to remove non‐stationarities of the univariate subseries by differencing prior to the multivariate analysis. It is pointed out that, in general, this is not adequate if AR models are built even if stationarity of the univariate subseries can be induced by differencing. Canadian money and income data that were previously analysed by Hsiao are used to illustrate the resulting problems.

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1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1969Fitting autoregressive models for prediction 1981Autoregressive modelling and money-income causality detection 1977Forecasting Economic Time Series 1979Autoregressive Modeling of Canadian Money and Income Data 1948A Study of the Autoregressive Nature of the Time Series Used for Tinbergen’s Model of the Economic System of the United States, 1919-1932 1979Estimation for Autoregressive Processes with Unit Roots 1977Forecasting aggregates of independent Arima processes

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