Reduced rank models for multiple time series

DOI10.1093/BIOMET/73.1.105MaRDI QIDQ3753346zbMATH OpenOpenAlexFDO

Authors Raja P. Velu, Gregory C. Reinsel, Dean W. Wichern

Publication date 1986

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/73.1.105

zbMATH Keywords

asymptotic theoryreduced rank regressionautoregressive processescanonical analysisestimation of parametersmultiple time seriesreduced rank modelsmatrix polynomial operators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(54)

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• Making a match: combining theory and evidence in policy-oriented macroeconomic modeling
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• VARs, common factors and the empirical validation of equilibrium business cycle models
• A local parameterization of orthogonal and semi-orthogonal matrices with applications
• Model selection criteria for reduced rank multivariate time series: a simulation study
• A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
• Forecasting with nonstationary dynamic factor models
• Geometric and long run aspects of Granger causality
• A state-space approach to time-varying reduced-rank regression
• Common cyclical features analysis in VAR models with cointegration
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Canonical correlation and reduction of multiple time series
• Bayesian analysis of reduced rank regression
• Reduced rank regression with autoregressive errors
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• scientific article; zbMATH DE number 1208131 (Why is no real title available?)
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• Change-point detection in low-rank VAR processes
• Nonstationary dynamic factor analysis
• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• On non-contemporaneous short-run co-movements
• Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
• Extracting a low-dimensional predictable time series
• Modelling comovements of economic time series: a selective survey
• Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
• Multiple-index approach to multiple autoregressive time series model
• Partial Envelope and Reduced-Rank Partial Envelope Vector Autoregressive Models
• Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
• Model reduction via the internally balanced state space representation
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
• Rank estimation in reduced-rank regression
• Moment-based dimension reduction for multivariate response regression
• Reduced-Rank Envelope Vector Autoregressive Model
• Five alternative methods of estimating long-run equilibrium relationships
• A Semiparametric Approach to Canonical Analysis
• A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
• Scaled envelope models for multivariate time series
• Forecasting international growth rates with leading indicators: A system- theoretic approach
• Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
• On the reduced-rank model with leading index
• Canonical correlation analysis for the vector AR(1) model with ARCH innovations
• Reduced-rank regression: a useful determinant identity
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• Asymptotic distribution of the reduced rank regression estimator under general conditions
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• Multivariate reduced-rank nonlinear time series modeling
• Dimension reduction in vector autoregressive models for macroeconomic applications
• Vector autoregression and envelope model
• Nested Reduced-Rank Autogressive Models for Multiple Time Series

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