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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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  • Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, vol. 61(2), pages 197-233, April.
    • Handle: RePEc:eee:econom:v:61:y:1994:i:2:p:197-233
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    Cited by:

    1. Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2019. "Characterizing the financial cycle: Evidence from a frequency domain analysis," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 568-591.
    2. Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Studying co-movements in large multivariate models without multivariate modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    3. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    4. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    5. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
    6. 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.
    7. Galeano, Pedro & Peña, Daniel & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. 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.
    9. Nunzio Cappuccio & Diego Lubian, 2016. "Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series," Econometrics, MDPI, vol. 4(2), pages 1-11, April.
    10. Di Iorio, Francesca & Triacca, Umberto, 2011. "Testing for non-causality by using the Autoregressive Metric," MPRA Paper 29637, University Library of Munich, Germany.
    11. Siem Jan Koopman & John A. D. Aston, 2006. "A non-Gaussian generalization of the Airline model for robust seasonal adjustment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 325-349.

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