The importance of common cyclical features in VAR analysis: A Monte-Carlo study.

DOI10.1016/S0304-4076(02)00117-3zbMath1043.62111OpenAlexW2024925144MaRDI QIDQ1858956

João Victor Issler, Farshid Vahid

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00117-3

zbMATH Keywords

forecastingmodel selection criteriavariance decompositionreduced rank models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (13)

Making a match: combining theory and evidence in policy-oriented macroeconomic modeling ⋮ Codependent VAR models and the pseudo-structural form ⋮ Guest editorial: Common features ⋮ Common cyclical features analysis in VAR models with cointegration ⋮ The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ VARs, common factors and the empirical validation of equilibrium business cycle models ⋮ A panel data approach to economic forecasting: the bias-corrected average forecast ⋮ Error-Correction Factor Models for High-dimensional Cointegrated Time Series ⋮ On sampling stationary autoregressive model parameters uniformly in \(r^{2}\) value ⋮ A characterization of vector autoregressive processes with common cyclical features ⋮ Editorial. Annals issue on forecasting -- guest editors' introduction ⋮ Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions ⋮ Modelling comovements of economic time series: a selective survey

Cites Work

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• Forecasting and testing in co-integrated systems
• Comments on testing economic theories and the use of model selection criteria
• Reduced rank models for multiple time series
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Testing for Common Trends
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Elements of multivariate time series analysis

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