Encompassing univariate models in multivariate time series. A case study

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

Mathematics Subject Classification ID

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

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