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Multiple Time Series Analysis and the Final Form of Econometric Models

Citations

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Cited by:

  1. Ravenna, Federico, 2007. "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2048-2064, October.
  2. E. Philip Howrey, 1980. "The Role of Time Series Analysis in Econometric Model Evaluation," NBER Chapters, in: Evaluation of Econometric Models, pages 275-307, National Bureau of Economic Research, Inc.
  3. Anna Mikusheva & Mikkel Sølvsten, 2025. "Linear regression with weak exogeneity," Quantitative Economics, Econometric Society, vol. 16(2), pages 367-403, May.
  4. 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).
  5. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  6. Renée Fry & Adrian Pagan, 2011. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
  7. Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  8. D.S. Poskitt, 2009. "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers 12/09, Monash University, Department of Econometrics and Business Statistics.
  9. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016. "Canadian monetary policy analysis using a structural VARMA model," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 347-373, February.
  10. 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.
  11. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
  12. Raghavan, Mala & Athanasopoulos, George, 2019. "Analysis of shock transmissions to a small open emerging economy using a SVARMA model," Economic Modelling, Elsevier, vol. 77(C), pages 187-203.
  13. Shonkwiler, J.S. & Spreen, T.H., 1986. "Bootstrapping The Hog Cycle," 1986 Annual Meeting, July 27-30, Reno, Nevada 278160, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  14. Ronayne, David, "undated". "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
  15. Marc Nerlove, 1979. "The Dynamics of Supply: Retrospect and Prospect," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(5), pages 874-888.
  16. Antoni Espasa & Daniel Peña, 1990. "Los modelos Arima, el estado de equilibrio en variables económicas y su estimación," Investigaciones Economicas, Fundación SEPI, vol. 14(2), pages 191-211, May.
  17. Kapetanios, G. & Pagan, A. & Scott, A., 2007. "Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling," Journal of Econometrics, Elsevier, vol. 136(2), pages 565-594, February.
  18. Miller, Stephen E., 1982. "Predicting Time Series Turning Points with Arima Models," Working Papers 116869, Clemson University, Department of Agricultural and Applied Economics.
  19. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  20. Poskitt, D.S., 2016. "Vector autoregressive moving average identification for macroeconomic modeling: A new methodology," Journal of Econometrics, Elsevier, vol. 192(2), pages 468-484.
  21. Emre Kahraman & Gazanfer Unal, 2016. "Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices," Papers 1602.01960, arXiv.org.
  22. Tsung-Wu Ho, 2008. "On the dynamic relationship of exchange rates and monetary fundamentals: an impulse-response analysis by local projections," Applied Economics Letters, Taylor & Francis Journals, vol. 15(14), pages 1141-1145.
  23. Lutkepohl, Helmut, 2007. "General-to-specific or specific-to-general modelling? An opinion on current econometric terminology," Journal of Econometrics, Elsevier, vol. 136(1), pages 319-324, January.
  24. Weaver, Robert D. & Stefanou, Spiro E., 1984. "Toward A Behavioral Approach To Modelling Dynamic Production Choice Structures," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 13(2), pages 1-14, October.
  25. Haraldsen, Kristine Wika & Ragnar, Nymoen & Sparrman, Victoria, 2019. "Labour market institutions, shocks and the employment rate," Memorandum 6/2019, Oslo University, Department of Economics.
  26. 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.
  27. Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  28. Spreen, Thomas H. & Shonkwiler, J. Scott, 1981. "The Hog Cycle Revisited," 1981 Annual Meeting, July 26-29, Clemson, South Carolina 279384, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  29. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
  30. John McDonald, 1979. "A time series approach to forecasting Australian total live-births," Demography, Springer;Population Association of America (PAA), vol. 16(4), pages 575-601, November.
  31. Özer Karagedikli & Rishab Sethi & Christie Smith & Aaron Drew, 2008. "Changes in the transmission mechanism of monetary policy in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/03, Reserve Bank of New Zealand.
  32. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2009. "VARMA models for Malaysian Monetary Policy Analysis," Monash Econometrics and Business Statistics Working Papers 6/09, Monash University, Department of Econometrics and Business Statistics.
  33. Kristine Wika Haraldsen & Ragnar Nymoen & Victoria Sparrman, 2019. "Labour market institutions, shocks and the employment rate," Discussion Papers 901, Statistics Norway, Research Department.
  34. Mardi Dungey & Adrian Pagan, 2009. "Extending a SVAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 85(268), pages 1-20, March.
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