A unifying framework for analysing common cyclical features in cointegrated time series

DOI10.1016/J.CSDA.2007.07.004MaRDI QIDQ1020892zbMATH OpenOpenAlexFDO

Authors Gianluca Cubadda

Publication date 2 June 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2108/10050

zbMATH Keywords

reduced rank regressioncommon features

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 4018198 (Why is no real title available?)
• A simple message for autocorrelation correctors: Don't
• Canonical correlation analysis and reduced rank regression in autoregressive models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Common cyclical features analysis in VAR models with cointegration
• Common trends and cycles in I(2) VAR systems
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Multivariate reduced-rank regression
• On non-contemporaneous short-run co-movements
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Testing For and Dating Common Breaks in Multivariate Time Series
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Cited in

(11)

• Common factors in conditional distributions for bivariate time series
• SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
• Common cyclical features analysis in VAR models with cointegration
• Common trends and cycles in I(2) VAR systems
• Guest editorial: Common features
• Studying co-movements in large multivariate data prior to multivariate modelling
• A characterization of vector autoregressive processes with common cyclical features
• On non-contemporaneous short-run co-movements
• Modelling comovements of economic time series: a selective survey
• Editorial: 2nd special issue on statistical signal extraction and filtering
• Testing for common autocorrelation in data-rich environments

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