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Encompassing univariate models in multivariate time series : A case study

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  • Maravall, Agustin
  • Mathis, Alexandre

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File URL: http://www.sciencedirect.com/science/article/B6VC0-459J7B9-5B/2/d6a5f93d060e5c907b1f1b745b3c0509
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 61 (1994)
Issue (Month): 2 (April)
Pages: 197-233

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Handle: RePEc:eee:econom:v:61:y:1994:i:2:p:197-233

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Banco de Espa�a Working Papers 0728, Banco de Espa�a.
  2. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Banco de Espa�a Working Papers 0112, Banco de Espa�a.
  3. Di Iorio, Francesca & Triacca, Umberto, 2011. "Testing for non-causality by using the Autoregressive Metric," MPRA Paper 29637, University Library of Munich, Germany.
  4. Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
  5. Cubadda, Gianluca & Triacca, Umberto, 2011. "An alternative solution to the Autoregressivity Paradox in time series analysis," Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.
  6. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
  7. Pedro Galeano & Daniel Peña & Ruey S. Tsay, 2004. "Outlier Detection In Multivariate Time Series Via Projection Pursuit," Statistics and Econometrics Working Papers ws044211, Universidad Carlos III, Departamento de Estadística y Econometría.

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