Multiple time-series modelling: Another look at the canadian money and income data

The practice of modelling the components of a vector time series to arrive at a joint model for the vector is considered. It is shown that in some cases this is not unreasonable. A vector ARMA model is used to model the Canadian money and income data. We also use these data to discuss the issue of differencing a multiple time series. Finally, models based on first and second differences are compared using forecasts.