The Vector Error Correction Index Model: Representation, Estimation and Identification
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Gianluca Cubadda & Marco Mazzali, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
References listed on IDEAS
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017.
"A vector heterogeneous autoregressive index model for realized volatility measures,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
- Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016. "A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures," CEIS Research Paper 391, Tor Vergata University, CEIS, revised 23 Jul 2016.
- Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
- Paul Beaudry & Franck Portier, 2014.
"News-Driven Business Cycles: Insights and Challenges,"
Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
- Paul Beaudry & Franck Portier, 2013. "News Driven Business Cycles: Insights and Challenges," NBER Working Papers 19411, National Bureau of Economic Research, Inc.
- Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
- Portier, Franck & Beaudry, Paul, 2013. "News Driven Business Cycles: Insights and Challenges," CEPR Discussion Papers 9624, C.E.P.R. Discussion Papers.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022.
"Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity],"
The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
- Bernardini, Emmanuela & Cubadda, Gianluca, 2015.
"Macroeconomic forecasting and structural analysis through regularized reduced-rank regression,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 682-691.
- Emmanuela Bernardini & Gianluca Cubadda, 2013. "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," CEIS Research Paper 289, Tor Vergata University, CEIS, revised 03 Oct 2013.
- Gregory C. Reinsel & Sung K. Ahn, 1992. "Vector Autoregressive Models With Unit Roots And Reduced Rank Structure:Estimation. Likelihood Ratio Test, And Forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(4), pages 353-375, July.
- Matteo Barigozzi & Lorenzo Trapani, 2022. "Testing for Common Trends in Nonstationary Large Datasets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1107-1122, June.
- George-Marios Angeletos & Fabrice Collard & Harris Dellas, 2020.
"Business-Cycle Anatomy,"
American Economic Review, American Economic Association, vol. 110(10), pages 3030-3070, October.
- George-Marios Angeletos & Fabrice Collard & Harris Dellas, 2018. "Business Cycle Anatomy," NBER Working Papers 24875, National Bureau of Economic Research, Inc.
- Collard, Fabrice & Dellas, Harris & Angeletos, George-Marios, 2020. "Business Cycle Anatomy," TSE Working Papers 20-1065, Toulouse School of Economics (TSE).
- George-Marios Angeletos & Fabrice Collard & Harris Dellas, 2020. "Business-Cycle Anatomy," Post-Print hal-03039252, HAL.
- Gary M. Koop, 2013.
"Forecasting with Medium and Large Bayesian VARS,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, March.
- Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper series 43_10, Rimini Centre for Economic Analysis.
- Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
- Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
- Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M., 2018.
"Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order,"
Econometric Theory, Cambridge University Press, vol. 34(2), pages 349-382, April.
- Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR, 2016. "Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order," Essex Finance Centre Working Papers 17454, University of Essex, Essex Business School.
- Dieppe, Alistair & Francis, Neville & Kindberg-Hanlon, Gene, 2021. "The identification of dominant macroeconomic drivers: coping with confounding shocks," Working Paper Series 2534, European Central Bank.
- Hsu, Nan-Jung & Hung, Hung-Lin & Chang, Ya-Mei, 2008. "Subset selection for vector autoregressive processes using Lasso," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3645-3657, March.
- Jushan Bai & Serena Ng, 2004.
"A PANIC Attack on Unit Roots and Cointegration,"
Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
- Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
- Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020.
"Common Component Structural VARs,"
CEPR Discussion Papers
15529, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Alexei Onatski & Chen Wang, 2018.
"Alternative Asymptotics for Cointegration Tests in Large VARs,"
Econometrica, Econometric Society, vol. 86(4), pages 1465-1478, July.
- Alexei Onatski & Chen Wang, 2016. "Alternative Asymptotics for Cointegration Tests in Large VARs," Cambridge Working Papers in Economics 1637, Faculty of Economics, University of Cambridge.
- repec:ulb:ulbeco:2013/13388 is not listed on IDEAS
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015.
"A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 106-128, February.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013. "A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009.
"Opening The Black Box: Structural Factor Models With Large Cross Sections,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
- Harald Uhlig, 2004. "What moves GNP?," Econometric Society 2004 North American Winter Meetings 636, Econometric Society.
- Gonzalo, Jesus & Granger, Clive W J, 1995.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016.
"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2011.
"Forecasting large datasets with Bayesian reduced rank multivariate models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 735-761, August.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," CEPR Discussion Papers 7446, C.E.P.R. Discussion Papers.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Kock, Anders Bredahl & Callot, Laurent, 2015.
"Oracle inequalities for high dimensional vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 325-344.
- Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, Department of Economics and Business Economics, Aarhus University.
- Gianluca Cubadda & Alain Hecq, 2011.
"Testing for common autocorrelation in data‐rich environments,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 325-335, April.
- Gianluca Cubadda & Alain Hecq, 2009. "Testing for Common Autocorrelation in Data Rich Environments," CEIS Research Paper 153, Tor Vergata University, CEIS, revised 04 Dec 2009.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High‐Dimensional Vector Autoregressive Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Barsky, Robert B. & Sims, Eric R., 2011. "News shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 273-289.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Mario Forni & Luca Gambetti & Luca Sala, 2019. "Structural VARs and noninvertible macroeconomic models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 221-246, March.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
- Cubadda, Gianluca & Guardabascio, Barbara, 2019.
"Representation, estimation and forecasting of the multivariate index-augmented autoregressive model,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 67-79.
- Gianluca Cubadda & Barbara Guardabascio, 2017. "Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model," CEIS Research Paper 397, Tor Vergata University, CEIS, revised 13 Jul 2018.
- Centoni, Marco & Cubadda, Gianluca, 2003. "Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series," Economics Letters, Elsevier, vol. 80(1), pages 45-51, July.
- Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
- Gianluca Cubadda & Alain Hecq, 2020.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
Papers
2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Engle, Robert F. & Issler, João Victor, 1993. "Common trends and common cycles in Latin America," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 47(2), April.
- Ho, Mun S & Sorensen, Bent E, 1996. "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 726-732, November.
- Rongmao Zhang & Peter Robinson & Qiwei Yao, 2019. "Identifying Cointegration by Eigenanalysis," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 916-927, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
- G. Cubadda & S. Grassi & B. Guardabascio, 2022.
"The Time-Varying Multivariate Autoregressive Index Model,"
Papers
2201.07069, arXiv.org.
- Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024. "The Time-Varying Multivariate Autoregressive Index Model," CEIS Research Paper 571, Tor Vergata University, CEIS, revised 10 Jan 2024.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High‐Dimensional Vector Autoregressive Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
Papers
2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Cubadda, Gianluca & Guardabascio, Barbara, 2019.
"Representation, estimation and forecasting of the multivariate index-augmented autoregressive model,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 67-79.
- Gianluca Cubadda & Barbara Guardabascio, 2017. "Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model," CEIS Research Paper 397, Tor Vergata University, CEIS, revised 13 Jul 2018.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2022.
"The global component of inflation volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018. "The global component of inflation volatility," Temi di discussione (Economic working papers) 1170, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
- G. Cubadda & S. Grassi & B. Guardabascio, 2022.
"The Time-Varying Multivariate Autoregressive Index Model,"
Papers
2201.07069, arXiv.org.
- Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024. "The Time-Varying Multivariate Autoregressive Index Model," CEIS Research Paper 571, Tor Vergata University, CEIS, revised 10 Jan 2024.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014.
"Dynamic Factor Models, Cointegration and Error Correction Mechanisms,"
Working Papers ECARES
ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Dynamic Factor Models, Cointegration, and Error Correction Mechanisms," Finance and Economics Discussion Series 2016-018, Board of Governors of the Federal Reserve System (U.S.).
- Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
- Rangan Gupta & Alain Kabundi & Stephen Miller & Josine Uwilingiye, 2014.
"Using large data sets to forecast sectoral employment,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(2), pages 229-264, June.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 201101, University of Pretoria, Department of Economics.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working papers 2011-02, University of Connecticut, Department of Economics, revised Aug 2012.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 1106, University of Nevada, Las Vegas , Department of Economics.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022.
"Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity],"
The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022.
"Nowcasting with large Bayesian vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
- Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019.
"Bayesian compressed vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 2016_09, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Business School.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2017. "Bayesian Compressed Vector Autoregressions," Working Paper series 17-32, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103R, Brandeis University, Department of Economics and International Business School, revised Apr 2016.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020.
"Estimating Non-stationary Common Factors: Implications for Risk Sharing,"
Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Corona, Francisco & Poncela, Pilar, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016.
"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2020. "The economic drivers of volatility and uncertainty," Temi di discussione (Economic working papers) 1285, Bank of Italy, Economic Research and International Relations Area.
- David Greasley & Les Oxley, 2010.
"Cliometrics And Time Series Econometrics: Some Theory And Applications,"
Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
- David Grreasley, 2010. "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics 10/56, University of Canterbury, Department of Economics and Finance.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023.
"Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models,"
Econometrics, MDPI, vol. 11(1), pages 1-16, March.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022. "Detecting common bubbles in multivariate mixed causal-noncausal models," Papers 2207.11557, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
More about this item
Keywords
Vector autoregressive models; multivariate autoregressive index model; cointegration; reduced-rank regression; dimension reduction; main business cycle shock.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-04-24 (Econometrics)
- NEP-ETS-2023-04-24 (Econometric Time Series)
- NEP-MAC-2023-04-24 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rtv:ceisrp:556. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Barbara Piazzi (email available below). General contact details of provider: https://edirc.repec.org/data/csrotit.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.