Estimating cointegrated systems using subspace algorithms
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Cites work
- scientific article; zbMATH DE number 3818979 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 4840 (Why is no real title available?)
- 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
- A study on misspecified nonstationary autoregressive time series with a unit root
- Asymptotic properties of projections with applications to stochastic regression problems
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Consistency and asymptotic normality of some subspace algorithms for systems without observed inputs
- Consistency and relative efficiency of subspace methods
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Fully Modified Least Squares and Vector Autoregression
- Identification of the deterministic part of MIMO state space models given in innovations form from input-output data
- Impulse response analysis in infinite order cointegrated vector autoregressive processes
- Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Optimal Inference in Cointegrated Systems
- Some facts about the choice of the weighting matrices in Larimore type of subspace algorithms
- Testing cointegration in infinite order vector autoregressive processes
- Testing for Common Trends
- Tests for Cointegration Based on Canonical Correlation Analysis
Cited in
(23)- Cointegration analysis with state space models
- Cointegrated continuous-time linear state-space and MCARMA models
- Forecasting key macroeconomic variables from a large number of predictors: a state space approach
- An Alternative to Transfer Function Forecasting Based on Subspace Methods
- A novel method of estimation under co-integration
- Accelerated estimation of switching algorithms: the cointegrated VAR model and other applications
- Business cycle analysis and VARMA models
- The relation of the CCA subspace method to a balanced reduction of an autoregressive model.
- Identification of canonical models for vectors of time series: a subspace approach
- Using subspace methods to model long-memory processes
- A distance measure between cointegration spaces
- Forecasting linear dynamical systems using subspace methods
- A new proposal to solve the autocorrelation problem for monitoring processes in the cutlery industry
- AUTOMATED DISCOVERY IN ECONOMETRICS
- Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
- Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs
- Unit roots and cointegration modelling through a family of flexible information criteria
- ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
- Subspace-based methods to determine unit roots and cointegrating ranks
- Estimation of Cointegrated Systems with I(2) Processes
- Exact maximum likelihood estimation of partially nonstationary vector ARMA models
- Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
- On the run length of a state-space control chart for multivariate autocorrelated data
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