A unifying framework for analysing common cyclical features in cointegrated time series
DOI10.1016/J.CSDA.2007.07.004zbMATH Open1452.62625OpenAlexW3123710773MaRDI QIDQ1020892FDOQ1020892
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
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Cites Work
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Multivariate reduced-rank regression
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Testing For and Dating Common Breaks in Multivariate Time Series
- Common cyclical features analysis in VAR models with cointegration
- Common trends and cycles in I(2) VAR systems
- On non-contemporaneous short-run co-movements
- Title not available (Why is that?)
- Canonical correlation analysis and reduced rank regression in autoregressive models
- Small-sample improvements in the statistical analysis of seasonally cointegrated systems
- A simple message for autocorrelation correctors: Don't
Cited In (11)
- SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
- Common factors in conditional distributions for bivariate time series
- 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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