Pages that link to "Item:Q3813101"
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The following pages link to Nested Reduced-Rank Autogressive Models for Multiple Time Series (Q3813101):
Displayed 40 items.
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- Common cyclical features analysis in VAR models with cointegration (Q291630) (← links)
- VARs, common factors and the empirical validation of equilibrium business cycle models (Q291642) (← links)
- A characterization of vector autoregressive processes with common cyclical features (Q737947) (← links)
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions (Q737999) (← links)
- Does seasonal adjustment induce common cycles? (Q1128923) (← links)
- Statistical inference on cointegration rank in error correction models with stationary covariates (Q1298419) (← links)
- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form (Q1298451) (← links)
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior (Q1329134) (← links)
- Asymptotic distribution of the reduced rank regression estimator under general conditions (Q1568263) (← links)
- Reduced-rank vector generalized linear models with two linear predictors (Q1621370) (← links)
- Canonical correlation analysis and reduced rank regression in autoregressive models (Q1848968) (← links)
- The importance of common cyclical features in VAR analysis: A Monte-Carlo study. (Q1858956) (← links)
- Bayesian analysis of reduced rank regression (Q1919726) (← links)
- Macro-panels and reality (Q1934813) (← links)
- Extracting a low-dimensional predictable time series (Q2147946) (← links)
- Inference in heavy-tailed vector error correction models (Q2294452) (← links)
- Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example (Q2489494) (← links)
- Testing for serial correlation of unknown form in cointegrated time series models (Q2501358) (← links)
- Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications (Q2864627) (← links)
- Bootstrapping Frequency Domain Tests in Multivariate Time Series with an Application to Comparing Spectral Densities (Q2920284) (← links)
- Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model (Q3006276) (← links)
- IDENTIFYING MULTIVARIATE TIME SERIES MODELS (Q3033160) (← links)
- Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling (Q3182773) (← links)
- A Stastistical Analysis of Cointegration for I(2) Variables (Q3365344) (← links)
- SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES (Q4443964) (← links)
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (Q4561954) (← links)
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (Q4696585) (← links)
- The role of the constant and linear terms in cointegration analysis of nonstationary variables (Q4853080) (← links)
- Estimating systems of trending variables (Q4853084) (← links)
- Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals (Q4973952) (← links)
- Automated Estimation of Heavy-Tailed Vector Error Correction Models (Q5041351) (← links)
- (Q5101809) (← links)
- Error-Correction Factor Models for High-dimensional Cointegrated Time Series (Q5134485) (← links)
- Modelling comovements of economic time series: a selective survey (Q5148510) (← links)
- On the reduced-rank model with leading index (Q5193320) (← links)
- Forecasting Multiple Time Series With One-Sided Dynamic Principal Components (Q5208073) (← links)
- Inference of seasonal cointegration with linear restrictions (Q5433112) (← links)
- A state-space approach to time-varying reduced-rank regression (Q5867576) (← links)
- Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models (Q6185574) (← links)