A common framework for estimating multivariate autoregressive index models

DOI10.1016/0167-9473(94)90021-3MaRDI QIDQ1361519zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

latent variable modelsreduced rank regressionvector autoregressive modelsindex models

Mathematics Subject Classification ID

Linear inference, regression (62J99)

Recommendations

• Structural analysis with multivariate autoregressive index models
• On the reduced-rank model with leading index
• Single‐Index Additive Vector Autoregressive Time Series Models
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Cites work

• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• scientific article; zbMATH DE number 3940575 (Why is no real title available?)
• scientific article; zbMATH DE number 45532 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Forecasting and conditional projection using realistic prior distributions
• Generalized multimode latent variable models: Implementation by standard programs
• Reduced rank models for multiple time series
• Reduced-rank regression for the multivariate linear model
• Some results on multivariate autoregressive index models
• Statistical analysis of cointegration vectors
• The effect of transformations of variables upon their correlation coefficients

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

Describes a project that uses

Uses Software

• EQS
• LISREL

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