A common framework for estimating multivariate autoregressive index models

DOI10.1016/0167-9473(94)90021-3zbMath0937.62621OpenAlexW2028049862MaRDI QIDQ1361519

Jayachandran N. Variyam

Publication date: 25 August 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(94)90021-3

zbMATH Keywords

latent variable modelsreduced rank regressionindex modelsvector autoregressive models

Mathematics Subject Classification ID

Linear inference, regression (62J99)

Uses Software

• LISREL
• EQS

Cites Work

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• Generalized multimode latent variable models: Implementation by standard programs
• Statistical analysis of cointegration vectors
• Reduced-rank regression for the multivariate linear model
• The effect of transformations of variables upon their correlation coefficients
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Reduced rank models for multiple time series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and conditional projection using realistic prior distributions
• Some results on multivariate autoregressive index models