VARMA versus VAR for Macroeconomic Forecasting
论证，鉴于VARMA建模方法的进步和计算能力的提升，没有理由将宏观经济预测局限于VAR模型，并用实际数据证明VARMA模型预测更准确。
In this article, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to vector autoregressive (VAR) models, given the recent advances in vector autoregressive moving average (VARMA) modeling methodology and improvements in computing power. To support this claim, we use real macroeconomic data, and show that VARMA models forecast macroeconomic variables more accurately than VARs.