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Citations for "Prediction of multivariate time series by autoregressive model fitting"

by Lewis, Richard & Reinsel, Gregory C.

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  1. Yun-Yeong Kim, 2016. "Dynamic Analyses Using VAR Model with Mixed Frequency Data through Observable Representation," Korean Economic Review, Korean Economic Association, vol. 32, pages 41-75.
  2. Oscar Jorda & Sharon Kozicki, 2006. "Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models," Working Papers 623, University of California, Davis, Department of Economics.
  3. Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, vol. 23(04), pages 638-685, August.
  4. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics.
  5. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
  6. Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 10, pages 1-41.
  7. Bunzel, Helle, 2003. "Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors," Staff General Research Papers Archive 10685, Iowa State University, Department of Economics.
  8. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
  9. Bouhaddioui, Chafik & Roy, Roch, 2006. "On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 58-68, January.
  10. Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
  11. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
  12. Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
  13. Choi, In & Kurozumi, Eiji, 2012. "Model selection criteria for the leads-and-lags cointegrating regression," Journal of Econometrics, Elsevier, vol. 169(2), pages 224-238.
  14. Hansen, Bruce E., 2005. "Challenges For Econometric Model Selection," Econometric Theory, Cambridge University Press, vol. 21(01), pages 60-68, February.
  15. Helle Bunzel, 2004. "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings 219, Econometric Society.
  16. H. Lütkepohl & P. Saikkonen, 1995. "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," SFB 373 Discussion Papers 1995,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  17. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  18. Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
  19. Dahlen, Anders & Scherrer, Wolfgang, 2004. "The relation of the CCA subspace method to a balanced reduction of an autoregressive model," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 293-312.
  20. Oscar Jorda, 2007. "Inference for Impulse Responses," Working Papers 77, University of California, Davis, Department of Economics.
  21. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
  22. DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques.
  23. Chafik Bouhaddioui & Roch Roy, 2004. "A Generalized Portmanteau Test for Independence of Two Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2004s-06, CIRANO.
  24. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014. "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
  25. Arbus, Ignacio, 2009. "Departure from normality of increasing-dimension martingales," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1304-1315, July.
  26. John Galbraith & Aman Ullah & Victoria Zinde-Walsh, 2002. "Estimation Of The Vector Moving Average Model By Vector Autoregression," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 205-219.
  27. Oscar Jorda & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Working Papers 78, University of California, Davis, Department of Economics.
  28. Patrick Fève & Alain Guay, 2007. "Identification of Technology Shocks in Structural VARs," Cahiers de recherche 0736, CIRPEE.
  29. Oscar Jorda & Massimiliano Marcellino, 2008. "Path Forecast Evaluation," Working Papers 85, University of California, Davis, Department of Economics.
  30. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
  31. Chafik Bouhaddioui & Roch Roy, 2003. "On the Distribution of the Residual Cross-Correlations between Two Uncorrelated Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2003s-41, CIRANO.
  32. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
  33. Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, EconWPA.
  34. Thomai Filippeli & Konstantinos Theodoridis, 2015. "DSGE priors for BVAR models," Empirical Economics, Springer, vol. 48(2), pages 627-656, March.
  35. Andy Snell, "undated". "Testing For R Versus R-1 Cointegrating Vectors," Discussion Papers 1995-10, Edinburgh School of Economics, University of Edinburgh.
  36. Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.
  37. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
  38. Bühlmann, Peter, 1995. "Moving-average representation of autoregressive approximations," Stochastic Processes and their Applications, Elsevier, vol. 60(2), pages 331-342, December.
  39. Lütkepohl, Helmut & Saikkonen, Pentti, 1997. "Order selection in testing for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,93, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  40. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164 Edward Elgar Publishing.
  41. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  42. Taamouti, Abderrahim & Dufour, Jean-Marie, 2008. "Short and long run causality measures: theory and inference," UC3M Working papers. Economics we083720, Universidad Carlos III de Madrid. Departamento de Economía.
  43. M. Salau, 2003. "The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models," Statistical Papers, Springer, vol. 44(1), pages 89-105, January.
  44. You, Jinhong & Zhou, Xian & Zhu, Li-Xing, 2009. "Inference on a regression model with noised variables and serially correlated errors," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1182-1197, July.
  45. Demetrescu Matei, 2009. "Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-30, December.
  46. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  47. Alain DeSerres & Alain Guay, 1995. "Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions," Econometrics 9510001, EconWPA.
  48. McKenzie, C.R., 1997. "The properties of some two step estimators of ARMA Models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 451-456.
  49. Mary C. Daly & John G. Fernald & Òscar Jordà & Fernanda Nechio, 2013. "Okun’s macroscope and the changing cyclicality of underlying margins of adjustment," Working Paper Series 2013-32, Federal Reserve Bank of San Francisco.
  50. Anderson, Paul L. & Kavalieris, Laimonis & Meerschaert, Mark M., 2008. "Innovations algorithm asymptotics for periodically stationary time series with heavy tails," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 94-116, January.
  51. R. Bhansali, 1996. "Asymptotically efficient autoregressive model selection for multistep prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(3), pages 577-602, September.
  52. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de Estadística.
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