Multiple Time Series Analysis and the Final Form of Econometric Models

DOI10.2307/1912313MaRDI QIDQ4142575zbMATH OpenOpenAlexFDO

Authors Kenneth F. Wallis

Publication date 1977

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912313

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(28)

• DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
• NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS
• MARGINALS OF MULTIVARIATE FIRST-ORDER AUTOREGRESSIVE TIME SERIES MODELS
• Determining the final form of a linear dynamic econometric model
• The analysis of seasonal economic models
• General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
• Making a match: combining theory and evidence in policy-oriented macroeconomic modeling
• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
• Structural econometric modeling and time series analysis
• Market integration, systemic risk and diagnostic tests in large mixed panels
• Vector moving average models: a review
• Linear transformations of vector ARMA processes
• A new look at the relationship between time-series and structural econometric models
• The implications of periodically varying coefficients for seasonal time- series processes
• Studying co-movements in large multivariate data prior to multivariate modelling
• Testing causality using efficiently parametrized vector ARMA models
• EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
• Factorizing multivariate time series operators
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Large sample estimation and testing procedures for dynamic equation systems
• Encompassing univariate models in multivariate time series. A case study
• R ² Bounds for Predictive Models: What Univariate Properties Tell us About Multivariate Predictability
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• Time-varying spatio-temporal models by wavelets
• On the formulation of empirical models in dynamic econometrics
• Estimation procedure for a multiple time series model
• On a matrix-valued autoregressive model
• Linear regression with weak exogeneity

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