Codependent cycles

DOI10.1016/S0304-4076(97)00032-8zbMath0929.62115OpenAlexW4252106032MaRDI QIDQ1371367

Robert F. Engle, Farshid Vahid

Publication date: 7 January 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00032-8

zbMATH Keywords

generalized method of momentscommon featuresmultiple time seriescodependencescalar components models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Statistical analysis of cointegration vectors
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
• The LIML and Related Estimators of an Equation with Moving Average Disturbances
• Dynamic Econometrics
• Co-Integration and Error Correction: Representation, Estimation, and Testing
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