Guest editorial: Common features

DOI10.1016/J.JECONOM.2005.01.020MaRDI QIDQ291618zbMATH OpenOpenAlexFDO

Authors

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.2005.01.020

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25)

Recommendations

• COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
• Common trends and cycles in I(2) VAR systems
• A unifying framework for analysing common cyclical features in cointegrated time series
• A characterization of vector autoregressive processes with common cyclical features
• Phase-shifting common cycles and common trends

Cites work

• A theory of the term structure of interest rates
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Testing multiple equation systems for common nonlinear components
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.

Cited in

(3)

• Determining the number of factors in a multivariate error correction-volatility factor model
• Testing for co-nonlinearity
• Cobra: a package for co-breaking analysis

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