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A method for approximate representation of vector-valued time series and its relation to two alternatives

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  • Aoki, Masanao
  • Havenner, Arthur

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  • Aoki, Masanao & Havenner, Arthur, 1989. "A method for approximate representation of vector-valued time series and its relation to two alternatives," Journal of Econometrics, Elsevier, vol. 42(2), pages 181-199, October.
  • Handle: RePEc:eee:econom:v:42:y:1989:i:2:p:181-199
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    Cited by:

    1. Walburger, Allan M. & Foster, Kenneth A., 1997. "Assessing The Relationship Between Market Factors And Regional Price Dynamics In U.S. Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 22(01), July.
    2. Havenner, Arthur & Zhiqiang Leng, 1996. "Improved estimates of the parameters of state space time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 767-789, May.
    3. Dietmar Bauer & Martin Wagner, 2002. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0204, Universitaet Bern, Departement Volkswirtschaft.
    4. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(3), pages 273-305, September.
    5. Foster, Kenneth A. & Havenner, Arthur M., 1999. "Cointegration And Settlement Of Commodity Futures Contracts," Macroeconomic Dynamics, Cambridge University Press, vol. 3(02), pages 226-242, June.
    6. Dorfman, Jeffrey H. & Havenner, Arthur M., 1992. "A Bayesian approach to state space multivariate time series modeling," Journal of Econometrics, Elsevier, vol. 52(3), pages 315-346, June.
    7. Massimo Franchi, 2017. "On the structure of state space systems with unit roots," DSS Empirical Economics and Econometrics Working Papers Series 2017/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    8. Najand, Mohammad & Noronha, Gregory, 1998. "Causal relations among stock returns, inflation, real activity, and interest rates: Evidence from Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 71-80.
    9. Dietmar Bauer & Martin Wagner, 2003. "The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study," Diskussionsschriften dp0308, Universitaet Bern, Departement Volkswirtschaft.
    10. Bauer, Dietmar & Wagner, Martin, 2009. "Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1954-1973, April.
    11. Alkulaib, Yaser A. & Najand, Mohammad & Mashayekh, Ahmad, 2009. "Dynamic linkages among equity markets in the Middle East and North African countries," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 43-53, February.

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