A common framework for estimating multivariate autoregressive index models

DOI10.1016/0167-9473(94)90021-3zbMATH Open0937.62621OpenAlexW2028049862MaRDI QIDQ1361519FDOQ1361519

Authors: Jayachandran N. Variyam 

Publication date: 25 August 1997

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

Full work available at URL: https://doi.org/10.1016/0167-9473(94)90021-3

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zbMATH Keywords

latent variable modelsreduced rank regressionvector autoregressive modelsindex models

Mathematics Subject Classification ID

Linear inference, regression (62J99)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and conditional projection using realistic prior distributions
• Reduced-rank regression for the multivariate linear model
• Statistical analysis of cointegration vectors
• Title not available (Why is that?)
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Reduced rank models for multiple time series
• Some results on multivariate autoregressive index models
• The effect of transformations of variables upon their correlation coefficients
• Generalized multimode latent variable models: Implementation by standard programs

Cited In (4)

• Structural analysis with multivariate autoregressive index models
• Multiple-index approach to multiple autoregressive time series model
• Wasserstein index generation model: automatic generation of time-series index with application to economic policy uncertainty
• On the reduced-rank model with leading index

Uses Software

• LISREL
• EQS

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