Studying co-movements in large multivariate data prior to multivariate modelling

DOI10.1016/J.JECONOM.2008.08.026zbMath1429.62389OpenAlexW3008613246MaRDI QIDQ301956

Alain Hecq, Franz C. Palm, Gianluca Cubadda

Publication date: 4 July 2016

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

Full work available at URL: http://hdl.handle.net/2108/10044

zbMATH Keywords

interactionscointegrationdynamic panel dataARIMAcommon cyclesco-movementsmultiple time series

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)

Related Items (8)

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ Macro-panels and reality ⋮ On the univariate representation of BEKK models with common factors ⋮ Testing for common autocorrelation in data-rich environments ⋮ Generating univariate fractional integration within a large VAR(1) ⋮ A characterization of vector autoregressive processes with common cyclical features ⋮ The conditional autoregressive Wishart model for multivariate stock market volatility ⋮ Modelling comovements of economic time series: a selective survey

Uses Software

• TRAMO

Cites Work

• Common cyclical features analysis in VAR models with cointegration
• A unifying framework for analysing common cyclical features in cointegrated time series
• Large sample estimation and testing procedures for dynamic equation systems
• On univariate time series methods and simultaneous equation econometric models
• Encompassing univariate models in multivariate time series. A case study
• Codependent cycles
• Time series analysis and simultaneous equation econometric models
• Macro-panels and reality
• The effect of transformations of variables upon their correlation coefficients
• Multiple Time Series Analysis and the Final Form of Econometric Models
• Inference of Vector Autoregressive Models With Cointegration and Scalar Components
• SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
• Some results on multivariate autoregressive index models
• On non-contemporaneous short-run co-movements
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