Cointegration analysis with state space models
From MaRDI portal
Recommendations
- Cointegrated continuous-time linear state-space and MCARMA models
- State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
- Statistical analysis of cointegration vectors
- Cointegration and Dynamic Simultaneous Equations Model
- Regression-based analysis of cointegration systems
- Cointegration analysis using M estimators.
- Estimation of cointegrated models with exogenous variables
- scientific article; zbMATH DE number 53501
Cites work
- 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
- A canonical analysis of multiple time series
- A method for approximate representation of vector-valued time series and its relation to two alternatives
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- A state space canonical form for unit root processes
- A theory of the term structure of interest rates
- An algebraic interpretation of cointegration
- An equilibrium characterization of the term structure
- Analysis of cointegrated VARMA processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Estimating cointegrated systems using subspace algorithms
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- scientific article; zbMATH DE number 3980305 (Why is no real title available?)
- scientific article; zbMATH DE number 3711820 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 3531244 (Why is no real title available?)
- scientific article; zbMATH DE number 926768 (Why is no real title available?)
- Identification of the deterministic part of MIMO state space models given in innovations form from input-output data
- Inference in Linear Time Series Models with some Unit Roots
- Likelihood analysis of seasonal cointegration
- Likelihood Analysis of the I(2) Model
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Maximum likelihood inference on cointegration and seasonal cointegration
- MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
- Nonparametric cointegration analysis
- Polynomial cointegration. Estimation and test
- Prediction of multivariate time series by autoregressive model fitting
- Seasonal integration and cointegration
- Spurious regressions in econometrics
- State space modeling of multiple time series
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing cointegration in infinite order vector autoregressive processes
- Testing for Common Trends
- Time series analysis and simultaneous equation econometric models
- Time series analysis by state space methods
- Understanding spurious regressions in econometrics
- Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
Cited in
(9)- On alternative state space representations of time series models
- A state space model of the economic fundamentals
- Regression-based analysis of cointegration systems
- Cointegration and Dynamic Simultaneous Equations Model
- scientific article; zbMATH DE number 1136457 (Why is no real title available?)
- State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
- State Space Models and MIDAS Regressions
- Cointegrated continuous-time linear state-space and MCARMA models
- A state space canonical form for unit root processes
This page was built for publication: Cointegration analysis with state space models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1633206)
