A characterization of vector autoregressive processes with common cyclical features

DOI10.1016/J.JECONOM.2010.11.009MaRDI QIDQ737947zbMATH OpenOpenAlexFDO

Authors Massimo Franchi, Paolo Paruolo

Publication date 12 August 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.11.009

zbMATH Keywords

cointegrationI(1)I(2)common cyclesmultiple time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• scientific article; zbMATH DE number 1016749 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• A representation theory for polynomial cofractionality in vector autoregressive models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Codependent cycles
• Cointegration: Overview and Development
• Common cyclical features analysis in VAR models with cointegration
• Common trends and cycles in I(2) VAR systems
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• On non-contemporaneous short-run co-movements
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
• SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
• Some results on multivariate autoregressive index models
• Studying co-movements in large multivariate data prior to multivariate modelling
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
• The integration order of vector autoregressive processes
• Time series analysis and simultaneous equation econometric models
• Time series: theory and methods
• Weak exogeneity in \(I(2)\) VAR systems

Cited in

(11)

• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• Codependent VAR models and the pseudo-structural form
• Common cyclical features analysis in VAR models with cointegration
• Guest editorial: Common features
• A general inversion theorem for cointegration
• A unifying framework for analysing common cyclical features in cointegrated time series
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
• Reduced-Rank Envelope Vector Autoregressive Model
• Inversion of regular analytic matrix functions: Local Smith form and subspace duality
• Representation of I(1) and I(2) autoregressive Hilbertian processes
• Inverting a matrix function around a singularity via local rank factorization

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