State space modeling of multiple time series
DOI10.1080/07474939108800194zbMATH Open0733.62098OpenAlexW2169655516MaRDI QIDQ3359622FDOQ3359622
Publication date: 1991
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939108800194
robusttrendmodel misspecificationcointegrationARMA modelserror correction modelsdynamic factorsforecastsnonstationary problemsHankel normlinear systems theorycycle componentsdecomposition into long run and short run dynamicsformal approximation problemmoney stock growth ratesmultivariate state space methodU.S. GNP
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
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Cited In (29)
- Cointegrated continuous-time linear state-space and MCARMA models
- A multivariate stochastic model with non‐stationary trend component
- A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES
- Title not available (Why is that?)
- Time series of functional data with application to yield curves
- A Bayesian approach to state space multivariate time series modeling
- Title not available (Why is that?)
- State realization with exogenous variables -- a test on blast furnace data
- A new state-space methodology to disaggregate multivariate time series
- Empirically feasible solutions and explicit dynamics for rational expectation models
- AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING
- ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
- Cointegration analysis with state space models
- Model specification tests for balanced representation state space models
- Miscellanea. An improved state space representation for cyclical time series
- A STATE SPACE BIOECONOMIC MODEL OF PACIFIC HALIBUT
- Modeling economic time series by forward and backward state space innovation models and IV estimators
- Joint modeling of multiple time series via the beta process with application to motion capture segmentation
- Single and multiple error state-space models for signal extraction
- State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
- Improved estimates of the parameters of state space time series models
- Observable trend-projecting state-space models
- Forecasting international growth rates with leading indicators: A system- theoretic approach
- Efficient computation of multiscale entropy over short biomedical time series based on linear state-space models
- Multidimensional state-space models: A comparative overview
- State space modeling of non-standard actuarial time series
- Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
- USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
- Model Order Estimation of a Multivariable Stochastic Process
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