The co-integrated vector autoregression with errors-in-variables

DOI10.1080/07474938.2013.806853MaRDI QIDQ5864352zbMATHOpenAlexFDO

Authors Heino Bohn Nielsen

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2013.806853

zbMATH Keywords

Kalman filterstate-space modelyield curve dynamicsmeasurement errorsexpectation-maximization (EM) algorithmco-integrated vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Recommendations

• Cointegration analysis under measurement errors
• Analysis of cointegrated models with measurement errors
• Multicointegration under measurement errors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical analysis of cointegration vectors

Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• scientific article; zbMATH DE number 3366440 (Why is no real title available?)
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• An improved Akaike information criterion for state-space model selection
• Cointegration analysis under measurement errors
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift
• Errors in Variables and Cointegration
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• From general state-space to VARMAX models
• Identification in Parametric Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Maximum Likelihood Estimation from Incomplete Data
• O a lemma associated with Box, Jenkins and Granger
• On the convergence properties of the EM algorithm
• On the resultant property of the Fisher information matrix of a vector ARMA process
• On the structure of moving average processes
• Prediction of multivariate time series by autoregressive model fitting
• Statistical algorithms for models in state space using SsfPack 2.2
• Statistical analysis of cointegration vectors
• Testing cointegration in infinite order vector autoregressive processes
• Time series analysis by state space methods

Cited in

(5)

• Estimation of error correction model with measurement errors
• Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
• Analysis of cointegrated models with measurement errors
• Cointegration analysis under measurement errors
• Multicointegration under measurement errors

Describes a project that uses

Uses Software

• Ox
• SsfPack
• astsa

This page was built for publication: The co-integrated vector autoregression with errors-in-variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864352)