Reduced rank models for multiple time series

Keywords

Mathematics, Autoregressive model, Rank (graph theory), Series (stratigraphy), Multivariate statistics

References

• Generalized canonical analysis for time seriesPeter M. Robinson — 1973
• Separation theorems for singular values of matrices and their applications in multivariate analysisC. Radhakrishna Rao — 1979
• Some results on multivariate autoregressive index modelsGregory C. Reinsel — 1983
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal DistributionsT. W. Anderson — 1951
• Reduced-rank regression for the multivariate linear modelAlan Julian Izenman — 1975
• Identification, estimation and large-sample theory for regressions containing unobservable variablesPeter M. Robinson — 1974
• A canonical analysis of multiple time seriesGeorge E. P. Box, George C. Tiao — 1977
• Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series ModelsRobert Kohn — 1979
• The use of factor analysis in the statistical analysis of multiple time seriesT. W. Anderson — 1963
• Applications of principal component analysis and factor analysis in the identification of multivariable systemsMark Priestley, T. Subba Rao, Howell Tong — 1974
• MULTIPLE TIME SERIES MODELLING.Emanuel Parzen — 1968
• The analysis of multiple time-seriesP. M. Hummel, M. H. Quenouille — 1958
• Forecasting and Conditional Projection Using Realistic Prior DistributionsThomas Doan, Robert B. Litterman, Christopher A. Sims — 1983
• Statistical analysis of time seriesHui Tong, T. W. Anderson — 1972
• Forecasting and Conditional Projection Using Realistic Prior DistributionsThomas Doan, Robert B. Litterman, Christopher A. Sims — 1983
• The Analysis of Multiple Time Series.A. M. Walker, M. H. Quenouille — 1958
• The Statistical Analysis of Time Series.T. W. Anderson — 1995
• 17 Assessing dimensionality in multivariate regressionA. Izenman — 1980
• Identification of the Structure of Multivariable Stochastic SystemsM. Priestley, T. Rao, H. Tong — 1973

Cited by

• Trygve Haavelmo and simultaneous equation modelsT. W. Anderson — 1991
• Model Specification in Multivariate Time SeriesGeorge C. Tiao, Ruey S. Tsay — 1989
• Forecasting Medium and Large Datasets with Vector Autoregressive Moving Average (VARMA) ModelsGustavo Fruet Dias, George Kapetanios — 2015
• On the Estimation of Reduced Rank RegressionsPeter Reinhard Hansen — 2002
• BVAR models in the context of cointegration: a Monte Carlo experimentLuis Julián Álvarez González — 1994
• Modelling Comovements of Economic Time Series: A Selective SurveyMarco Centoni, Gianluca Cubadda — 2011
• Statistical Tests of the Rank of a Matrix and Their Applications in Econometric ModellingGonzalo Camba-Méndez, George Kapetanios — 2005
• Model selection criteria for reduced rank multivariate time series with application in identification of periodic componentsMarcin Hławka, Maciej Kawecki — 2011
• COMMON TRENDS AND COMMON CYCLESFarshid Vahid, Robert F. Engle — 1993
• A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate SystemsGeorge Kapetanios — 2003
• A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model UncertaintyIppei Fujiwara, Maiko Koga — 2004
• Causality Along Subspaces: TheoryMajid M. Al-Sadoon — 2009
• MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEYSøren Johansen, Katarina Jusélius — 2009
• Singular value shrinkage priors for Bayesian predictionTakeru Matsuda, Fumiyasu Komaki — 2014
• The importance of common cyclical features in VAR analysis: a Monte-Carlo studyFarshid Vahid, João Pedro Issler — 1999
• A Statistical Forecasting Method for Inflation ForecastingIppei Fujiwara, Maiko Koga — 2002
• A dynamic factor model for economic time seriesJavier Fernández-Macho — 1997
• Structural analysis with Multivariate Autoregressive Index modelsAndrea Carriero, George Kapetanios, Massimiliano Marcellino — 2016
• Common features in UK commercial real estate returnsBryan D. Macgregor, Gregory M. Schwann — 2003
• A personal journey through time series in BiometrikaHui Tong — 2001

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