Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'

DOI10.1016/0304-4076(84)90056-3zbMATH Open0583.62097OpenAlexW2036146461MaRDI QIDQ1069258FDOQ1069258

Jack H. W. Penm, R. D. Terrell

Publication date: 1984

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90056-3

zbMATH Keywords

model selectiontime seriestransformationsalgorithminstantaneous causalitymultivariate autoregressive modelsGranger-causalityCanadian money-income-bank rate systemcanonical reduced autoregressive formordinary least-squares estimationoverall causalityrecursive formresidual regressionzero constraints

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

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• Estimating the dimension of a model
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Granger-causality in multiple time series
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• Economic processes involving feedback
• Testing the exogeneity specification in the complete dynamic simultaneous equation model
• Estimating the dimension of a linear system

Cited In (9)

• Selecting the forgetting factor in subset autoregressive modelling
• Selecting sub-set autoregressions from outlier contaminated data.
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• An evolutionary recursive algorithm in selecting statistical subset neural network/VDL filtering
• The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling
• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• Subset selection for vector autoregressive processes using Lasso
• Variable targeting and reduction in large vector autoregressions with applications to workforce indicators

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