Model selection criteria for reduced rank multivariate time series: a simulation study

DOI10.1080/00949655.2013.769539MaRDI QIDQ5219443zbMATH OpenOpenAlexFDO

Authors Marcin Hławka, Adam Zagdański

Publication date 12 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2013.769539

zbMATH Keywords

bootstrapcanonical analysiscross-validationmodel selection criteriamultivariate time seriesreduced rank model

Mathematics Subject Classification ID

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

Recommendations

• Cointegrating rank selection in models with time-varying variance
• A note on rank reduction in sparse multivariate regression
• On multivariate time series model selection involving many candidate VAR models
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Cites work

• A canonical analysis of multiple time series
• Bayesian reduced rank regression in econometrics
• Canonical correlation analysis and reduced rank regression in autoregressive models
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 1219611 (Why is no real title available?)
• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Identifying a Simplifying Structure in Time Series
• Multivariate reduced-rank regression
• On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
• Recent developments in bootstrapping time series
• Reduced rank models for multiple time series
• Reduced rank regression with autoregressive errors
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• The use of factor analysis in the statistical analysis of multiple time series

Cited in

(1)

• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

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