Reduced rank models for multiple time series
From MaRDI portal
Publication:3753346
Recommendations
Cited in
(51)- Canonical correlation analysis for the vector AR(1) model with ARCH innovations
- Reduced-rank regression: a useful determinant identity
- Seemingly unrelated reduced-rank regression model
- Reduced-Rank Envelope Vector Autoregressive Model
- High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
- On the reduced-rank model with leading index
- Model reduction via the internally balanced state space representation
- Reduced rank regression with autoregressive errors
- Modelling comovements of economic time series: a selective survey
- A local parameterization of orthogonal and semi-orthogonal matrices with applications
- Common cyclical features analysis in VAR models with cointegration
- A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
- Scaled envelope models for multivariate time series
- Making a match: combining theory and evidence in policy-oriented macroeconomic modeling
- Structural analysis with multivariate autoregressive index models
- Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
- Five alternative methods of estimating long-run equilibrium relationships
- A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
- A Semiparametric Approach to Canonical Analysis
- VARs, common factors and the empirical validation of equilibrium business cycle models
- A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
- Forecasting international growth rates with leading indicators: A system- theoretic approach
- Statistical analysis of cointegration vectors
- Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
- A state-space approach to time-varying reduced-rank regression
- Multiple-index approach to multiple autoregressive time series model
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- Model selection criteria for reduced rank multivariate time series: a simulation study
- A common framework for estimating multivariate autoregressive index models
- Does seasonal adjustment induce common cycles?
- Nonstationary dynamic factor analysis
- scientific article; zbMATH DE number 1208131 (Why is no real title available?)
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Forecasting with nonstationary dynamic factor models
- Multivariate reduced-rank nonlinear time series modeling
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- Vector autoregression and envelope model
- Canonical correlation and reduction of multiple time series
- Moment-based dimension reduction for multivariate response regression
- The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
- Asymptotic Expansion in Reduced Rank Regression Under Normality and Nonnormality
- scientific article; zbMATH DE number 2060192 (Why is no real title available?)
- Asymptotic distribution of the reduced rank regression estimator under general conditions
- Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
- On non-contemporaneous short-run co-movements
- Geometric and long run aspects of Granger causality
- Rank estimation in reduced-rank regression
- Bayesian analysis of reduced rank regression
- Canonical correlation analysis and reduced rank regression in autoregressive models
- Extracting a low-dimensional predictable time series
- Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
This page was built for publication: Reduced rank models for multiple time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3753346)
