State space modeling of multiple time series

DOI10.1080/07474939108800194MaRDI QIDQ3359622zbMATH OpenOpenAlexFDO

Authors Masanao Aoki, Arthur Havenner

Publication date 1991

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939108800194

zbMATH Keywords

ARMA modelscointegrationcycle componentsdecomposition into long run and short run dynamicsdynamic factorserror correction modelsforecastsformal approximation problemHankel normlinear systems theorymodel misspecificationmoney stock growth ratesmultivariate state space methodnonstationary problemsrobusttrendU.S. GNP

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A method for approximate representation of vector-valued time series and its relation to two alternatives
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• scientific article; zbMATH DE number 3980305 (Why is no real title available?)
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Cited in

(38)

• On alternative state space representations of time series models
• A two-step state space time series modeling method
• Multivariate time series analysis with state space models
• A Bayesian approach to state space multivariate time series modeling
• Forecasting international growth rates with leading indicators: A system- theoretic approach
• State space modeling of non-standard actuarial time series
• State realization with exogenous variables -- a test on blast furnace data
• Modeling economic time series by forward and backward state space innovation models and IV estimators
• Improved estimates of the parameters of state space time series models
• Cointegration analysis with state space models
• Efficient computation of multiscale entropy over short biomedical time series based on linear state-space models
• State space methods in asset pricing
• Empirically feasible solutions and explicit dynamics for rational expectation models
• A new state-space methodology to disaggregate multivariate time series
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING
• scientific article; zbMATH DE number 5667192 (Why is no real title available?)
• The stationary series state space model for sunspot yearly data
• USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
• A State Space Modeling Approach for Time Series Forecasting
• scientific article; zbMATH DE number 1302950 (Why is no real title available?)
• AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING
• The forecasting performance of Cartesian ARIMA search and a vector‐valued state space model
• Miscellanea. An improved state space representation for cyclical time series
• Observable trend-projecting state-space models
• Joint modeling of multiple time series via the beta process with application to motion capture segmentation
• A multivariate stochastic model with non‐stationary trend component
• Model specification tests for balanced representation state space models
• State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
• Cointegrated continuous-time linear state-space and MCARMA models
• Single and multiple error state-space models for signal extraction
• A state space canonical form for unit root processes
• A STATE SPACE BIOECONOMIC MODEL OF PACIFIC HALIBUT
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Model Order Estimation of a Multivariable Stochastic Process
• Approximate state space modelling of unobserved fractional components
• Time series of functional data with application to yield curves
• Multidimensional state-space models: A comparative overview

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