Testing for common autocorrelation in data-rich environments
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Publication:2997941
DOI10.1002/FOR.1186zbMATH Open1211.91196OpenAlexW3123311789MaRDI QIDQ2997941FDOQ2997941
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
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partial least squaresreduced-rank regressionhigh-dimensional systemsserial correlation common feature
Cites Work
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- A real-time data set for macroeconomists
- A unifying framework for analysing common cyclical features in cointegrated time series
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- Studying co-movements in large multivariate data prior to multivariate modelling
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Cited In (5)
- Tests for special causes with multivariate autocorrelated data
- Testing for Granger causality in large mixed-frequency VARs
- Modelling comovements of economic time series: a selective survey
- Reduced-Rank Envelope Vector Autoregressive Model
- On the univariate representation of BEKK models with common factors
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