Encompassing univariate models in multivariate time series. A case study
From MaRDI portal
Publication:1318971
DOI10.1016/0304-4076(94)90084-1zbMath0800.62810OpenAlexW1512294453MaRDI QIDQ1318971
Alexandre Mathis, Agustin Maravall
Publication date: 12 April 1994
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(94)90084-1
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items
Studying co-movements in large multivariate data prior to multivariate modelling ⋮ Estimation error and the specification of unobserved component models ⋮ Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter ⋮ A Benchmarking Approach to Temporal Disaggregation of Economic Time Series by Related Series
Cites Work
- Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy
- Statistical analysis of cointegration vectors
- Structural econometric modeling and time series analysis
- Time series analysis and simultaneous equation econometric models
- From a var model to a structural model, with an application to the wage–price spiral
- Testing For Common Roots
- Modeling Multiple Times Series with Applications
- Multiple Time Series Analysis and the Final Form of Econometric Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item