State space modeling of multiple time series

DOI10.1080/07474939108800194MaRDI QIDQ3359622zbMATHOpenAlexFDO

Authors Masanao Aoki, Arthur Havenner

Publication date 1991

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939108800194

zbMATH Keywords

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

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)

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Cited in

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• Cointegration analysis with state space models
• Multivariate time series analysis with state space models
• Cointegrated continuous-time linear state-space and MCARMA models
• State realization with exogenous variables -- a test on blast furnace data
• State space modeling of non-standard actuarial time series
• Modeling economic time series by forward and backward state space innovation models and IV estimators
• Efficient computation of multiscale entropy over short biomedical time series based on linear state-space models
• A STATE SPACE BIOECONOMIC MODEL OF PACIFIC HALIBUT
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• Forecasting international growth rates with leading indicators: A system- theoretic approach
• A State Space Modeling Approach for Time Series Forecasting
• The stationary series state space model for sunspot yearly data
• A state space canonical form for unit root processes
• A new state-space methodology to disaggregate multivariate time series
• Time series of functional data with application to yield curves
• scientific article; zbMATH DE number 5667192 (Why is no real title available?)
• USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
• Model specification tests for balanced representation state space models
• State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
• A multivariate stochastic model with non‐stationary trend component
• A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING
• A Bayesian approach to state space multivariate time series modeling
• Approximate state space modelling of unobserved fractional components
• State space methods in asset pricing
• Single and multiple error state-space models for signal extraction
• Empirically feasible solutions and explicit dynamics for rational expectation models
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• scientific article; zbMATH DE number 1302950 (Why is no real title available?)
• Improved estimates of the parameters of state space time series models
• A two-step state space time series modeling method
• On alternative state space representations of time series models
• Observable trend-projecting state-space models
• Multidimensional state-space models: A comparative overview
• Joint modeling of multiple time series via the beta process with application to motion capture segmentation
• Model Order Estimation of a Multivariable Stochastic Process
• Miscellanea. An improved state space representation for cyclical time series
• AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING

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