Testing for common autocorrelation in data-rich environments

DOI10.1002/FOR.1186MaRDI QIDQ2997941zbMATHOpenAlexFDO

Authors Gianluca Cubadda, Alain Hecq

Publication date 10 May 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1186

zbMATH Keywords

partial least squaresreduced-rank regressionhigh-dimensional systemsserial correlation common feature

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3768801 (Why is no real title available?)
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• A real-time data set for macroeconomists
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Cited in

(5)

• Reduced-Rank Envelope Vector Autoregressive Model
• Modelling comovements of economic time series: a selective survey
• On the univariate representation of BEKK models with common factors
• Tests for special causes with multivariate autocorrelated data
• Testing for Granger causality in large mixed-frequency VARs

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