Reduced rank models for multiple time series

DOI10.1093/BIOMET/73.1.105zbMATH Open0612.62121OpenAlexW2093513340MaRDI QIDQ3753346FDOQ3753346

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

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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)

Cited In (50)

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• Asymptotic Expansion in Reduced Rank Regression Under Normality and Nonnormality
• Model selection criteria for reduced rank multivariate time series: a simulation study
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• VARs, common factors and the empirical validation of equilibrium business cycle models
• A state-space approach to time-varying reduced-rank regression
• Forecasting with nonstationary dynamic factor models
• Geometric and long run aspects of Granger causality
• Common cyclical features analysis in VAR models with cointegration
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• 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
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• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• Does seasonal adjustment induce common cycles?
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• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• Nonstationary dynamic factor analysis
• 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
• Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
• Modelling comovements of economic time series: a selective survey
• Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
• Reduced-Rank Envelope Vector Autoregressive Model
• Model reduction via the internally balanced state space representation
• Moment-based dimension reduction for multivariate response regression
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
• Rank estimation in reduced-rank regression
• 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
• Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
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• Forecasting international growth rates with leading indicators: A system- theoretic approach
• Canonical correlation analysis for the vector AR(1) model with ARCH innovations
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