March 2019
Beginner to intermediate
200 pages
4h 41m
English
Content preview from Forecasting With The Theta Method3The Multivariate
3.1 The Bivariate
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3The Multivariate 
‐method
By Dimitrios D. Thomakos and Kostas I. Nikolopoulos
3.1 The Bivariate 
‐method for the Unit Root DGP
In this chapter, we explore the extensions of the univariate 
‐method to the case where we have more than one time series under study. One would not be amiss in thinking that the initial conceptual simplicity of the method will lend itself to a straightforward multivariate extension. It turns out that there are some useful implications to be discovered when dealing with the multivariate case. We explore these implications in what follows.
We start with the basics and the 
vector of time series 
. The properties of the individual series are yet left unspecified and we write the multivariate 
‐line as in
(3.1)
where is the matrix of the ‐parameters and is the vector ...
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