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Distance Between VARMA Models and Its Application to Spatial Differences Analysis in the Relationship GDP—Unemployment Growth Rate in Europe

  • Francesca Di IorioEmail author
  • Umberto Triacca
Conference paper
  • 1.1k Downloads
Part of the Contributions to Statistics book series (CONTRIB.STAT.)

Abstract

In this paper, a novel distance measure for evaluating the closeness of two vector autoregressive moving average models is presented and its main properties are discussed. The proposed distance is used to investigate the presence of spatial differences in the dynamic link between unemployment rate variation and GDP growth in some European Union countries.

Keywords

AR metric Distance Unemployment GDP VARMA models 

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  1. 1.Università di Napoli Federico IINaplesItaly
  2. 2.Università dell’Aquila L’AquilaItaly

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