scientific article
From MaRDI portal
Publication:4001588
zbMath0729.62085MaRDI QIDQ4001588
Publication date: 18 September 1992
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
stabilitycausalityinvertibilitystationarityasymptotic distributionsexercisesstructural changevector time seriesmultivariate time seriesState-space modelsparametrizationsparameter constraintsVAR modelsorder selectionforecastsimpulse response analysisVARMA modelsintervention modelscointegrated VAR modelsDifference equation models with exogeneous variablesh-step ahead predictionPeriodic VAR modelsresidual checkingStructure determinationtesting for nonnormality
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Identification in stochastic control theory (93E12)
Related Items
Impact factors, Bootstrap inference in systems of single equation error correction models, The zero-information-limit condition and spurious inference in weakly identified models, Residual autocorrelation testing for vector error correction models, Granger-causality in cointegrated VAR processes. The case of the term structure, Common cyclical features analysis in VAR models with cointegration, Short run and long run causality in time series: inference, Robustifying forecasts from equilibrium-correction systems, Simplified conditions for noncausality between vectors in multivariate ARMA models, Boosting techniques for nonlinear time series models, The forecasting performance of mortality models, Short and long run causality measures: theory and inference, Asymptotic distribution of the OLS estimator for a mixed spatial model, An enlarged definition of cointegration, On mixture autoregressive conditional heteroskedasticity, Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion, Estimating continuous-time stochastic volatility models of the short-term interest rate, Modified Wald tests under nonregular conditions, Specification of varying coefficient time series models via generalized flexible least squares, Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models, Multiple unit roots in periodic autoregression, Moving-average representation of autoregressive approximations, Codependent cycles, Analysis of cointegrated VARMA processes, Impulse response analysis in infinite order cointegrated vector autoregressive processes, Periodic integration: Further results on model selection and forecasting, Cointegration and speed of convergence to equilibrium, On the detection of changes in autoregressive time series. I: Asymptotics., Construction of multi-step forecast regions of VAR processes using ordered block bootstrap, Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series, Typologies of linear dynamic systems and models, Testing for nonzero impulse responses in vector autoregressive processes, Testing for causality in real time, A note on a Bayesian order determination procedure for vectorautoregressive processes, Generalized impulse response analysis in linear multivariate models, Does seasonal adjustment induce common cycles?, Multivariate linear and nonlinear causality tests, Common volatility and correlation clustering in asset returns, Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations, Impulse response functions for periodic integration, How should central banks respond to non-neutral inflation expectations?, Detection of bifurcations in noisy coupled systems from multiple time series, Combining multiple time series predictors: A useful inferential procedure, Likelihood-based analysis in mixture global vars, The ARMA alphabet soup: a tour of ARMA model variants, Identifiability conditions for Generalised STARMA models, Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries, Modeling mortality with a Bayesian vector autoregression, Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?, Modified Gaussian pseudo-copula: applications in insurance and finance, Some exact and inexact linear rational expectation models in vector autoregressive models, Bootstrapping impulse responses in VAR analyses, Identification of multivariate AR-models by threshold accepting, Testing for periodic integration, Stochastic linear trends. Models and estimators, Do TFP and the relative price of investment share a common I(1) component?, A risk management system for sustainable fleet replacement, Asymptotic distribution of the OLS estimator for a purely autoregressive spatial model, Invariant tests for covariance structures in multivariate linear model, The CBD Mortality Indexes: Modeling and Applications, On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications, Technology shocks and aggregate fluctuations in an estimated hybrid RBC model, A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables, Model specification and selection for multivariate time series, Unnamed Item, Linear bootstrap methods for vector autoregressive moving-average models, Regional business cycles in Italy, Subset selection for vector autoregressive processes using Lasso, Aggregation and systematic sampling of periodic ARMA processes, Specification via model selection in vector error correction models, Computation of the Beveridge--Nelson decomposition for multivariate economic time series, Estimation of censored linear errors-in-variables models, Testing parameter constancy in linear models against stochastic stationary parameters, Nonparametric vector autoregression, Price flexibility in channels of distribution: Eevidence from scanner data., On the relationship between impulse response analysis, innovation accounting and Granger causality, Subsampling vector autoregressive tests of linear constraints
