Spectra of bivariate VAR(p) models

DOI10.1016/J.JSPI.2005.12.013MaRDI QIDQ861224zbMATH OpenOpenAlexFDO

Authors Evangelos E. Ioannidis

Publication date 9 January 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2005.12.013

zbMATH Keywords

coherencygroup delaymultivariate autoregressive modelsphase spectrumspectral analysisVARvector autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A GOODNESS-OF-FIT TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS
• Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
• Empirical spectral processes and their applications to time series analysis
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• Goodness of fit tests for spectral distributions
• Goodness-of-fit tests for autoregressive processes
• Graphical interaction models for multivariate time series.
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Model Checking via Parametric Bootstraps in Time Series Analysis
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Testing the Fit of a Vector Autoregressive Moving Average Model
• Time series. Data analysis and theory.
• Vector linear time series models

Cited in

(9)

• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• VAR based state-space structures: realization, statistics and spectral analysis
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Modeling bivariate long-range dependence with general phase
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• A new non‐parametric cross‐spectrum estimator
• Generalized autocovariance matrices for multivariate time series
• VAR.spec

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