Empirical vector autoregressive modeling

MaRDI QIDQ1320556zbMATH OpenFDO

Authors Marius Ooms

Publication date 26 April 1994

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

cointegrationnumber of unit rootsunrestricted vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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Cited in

(9)

• Autoregressive approaches to import-export time series. II: A concrete case study
• Regularized joint estimation of related vector autoregressive models
• Tests against stationary and explosive alternatives in vector autoregressive models
• Vector Autoregressions and Causality
• On hysteretic vector autoregressive model with applications
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• VAR model empirical analysis based on nonstationary time series
• Model reduction methods for vector autoregressive processes.
• WeightedL₁-estimates for a VAR(p) time series model

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