Codependent cycles

DOI10.1016/S0304-4076(97)00032-8zbMATH Open0929.62115OpenAlexW4252106032MaRDI QIDQ1371367FDOQ1371367

Authors: Farshid Vahid, Robert F. Engle 

Publication date: 7 January 1998

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00032-8

Recommendations

• Synchronization of cycles
• On non-contemporaneous short-run co-movements
• Testing for duration dependence in economic cycles
• Codependent VAR models and the pseudo-structural form
• A unifying framework for analysing common cyclical features in cointegrated time series

zbMATH Keywords

generalized method of momentscommon featuresmultiple time seriescodependencescalar components models

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

• Large Sample Properties of Generalized Method of Moments Estimators
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
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• Co-Integration and Error Correction: Representation, Estimation, and Testing
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• Statistical analysis of cointegration vectors
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• Dynamic Econometrics
• The LIML and Related Estimators of an Equation with Moving Average Disturbances

Cited In (20)

• Title not available (Why is that?)
• Codependent VAR models and the pseudo-structural form
• Forecasting with nonstationary dynamic factor models
• A long-run pure variance common features model for the common volatilities of the Dow Jones
• Common cyclical features analysis in VAR models with cointegration
• Common trends and cycles in I(2) VAR systems
• Synchronization of cycles
• The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
• Studying co-movements in large multivariate data prior to multivariate modelling
• A characterization of vector autoregressive processes with common cyclical features
• On non-contemporaneous short-run co-movements
• Modelling comovements of economic time series: a selective survey
• Fragile cycles
• Inversion of regular analytic matrix functions: Local Smith form and subspace duality
• Macro-panels and reality
• A panel data approach to economic forecasting: the bias-corrected average forecast
• On the univariate representation of BEKK models with common factors
• Inverting a matrix function around a singularity via local rank factorization
• A complete VARMA modelling methodology based on scalar components
• COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY

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