A state-space approach to time-varying reduced-rank regression

DOI10.1080/07474938.2022.2073743OpenAlexW4281639818MaRDI QIDQ5867576

Efstathia Bura, Barbara Brune, Wolfgang Scherrer

Publication date: 14 September 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2022.2073743

zbMATH Keywords

Kalman filtertime-varying parametersEM-algorithmvector error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Uses Software

• astsa
• bvarsv
• imputeTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Structural analysis with multivariate autoregressive index models
• Testing for structural breaks in dynamic factor models
• Principal fitted components for dimension reduction in regression
• Reduced-rank regression for the multivariate linear model
• Estimating the dimension of a model
• Multivariate reduced-rank regression
• Rank estimation in reduced-rank regression
• Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank
• Statistics on special manifolds
• On time-varying factor models: estimation and testing
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Robust maximum-likelihood estimation of multivariable dynamic systems
• Estimating the Structural Dimension of Regressions Via Parametric Inverse Regression
• Time Series Analysis and Its Applications
• Estimating time-varying parameters by the Kalman filter based algorithm: stability and convergence
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Reduced rank models for multiple time series
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting and conditional projection using realistic prior distributions
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
• TIME-VARYING COINTEGRATION
• High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models
• Structural Vector Autoregressive Analysis
• Determining the Number of Factors in Approximate Factor Models
• Time Varying Structural Vector Autoregressions and Monetary Policy
• The Generalized Dynamic Factor Model

This page was built for publication: A state-space approach to time-varying reduced-rank regression