Common cyclical features analysis in VAR models with cointegration

DOI10.1016/J.JECONOM.2005.01.025MaRDI QIDQ291630zbMATH OpenOpenAlexFDO

Authors Alain Hecq, Franz C. Palm, Jean-Pierre Urbain

Publication date 10 June 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.01.025

zbMATH Keywords

cointegrationreduced rank structureserial correlation common features

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 5866275 (Why is no real title available?)
• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• Codependent cycles
• Common trends and cycles in I(2) VAR systems
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• Inference of Vector Autoregressive Models With Cointegration and Scalar Components
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Nonstationary panels, panel cointegration, and dynamic panels
• On non-contemporaneous short-run co-movements
• Optimal Inference in Cointegrated Systems
• Reduced rank models for multiple time series
• SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
• Testing multiple equation systems for common nonlinear components
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(13)

• SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
• Common trends and cycles in I(2) VAR systems
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Does seasonal adjustment induce common cycles?
• Studying co-movements in large multivariate data prior to multivariate modelling
• A characterization of vector autoregressive processes with common cyclical features
• A unifying framework for analysing common cyclical features in cointegrated time series
• Modelling comovements of economic time series: a selective survey
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
• Reduced-Rank Envelope Vector Autoregressive Model
• Macro-panels and reality
• Detecting common dynamics in transitory components
• Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data

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