State space modeling of multiple time series

DOI10.1080/07474939108800194zbMath0733.62098OpenAlexW2169655516MaRDI QIDQ3359622

Masanao Aoki, Arthur Havenner

Publication date: 1991

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939108800194

zbMATH Keywords

trendrobustcointegrationdynamic factorsARMA modelsmodel misspecificationerror correction modelsforecastsnonstationary problemsHankel normlinear systems theorycycle componentsdecomposition into long run and short run dynamicsformal approximation problemmoney stock growth ratesmultivariate state space methodU.S. GNP

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 (19)

Modeling economic time series by forward and backward state space innovation models and IV estimators ⋮ Cointegration analysis with state space models ⋮ Improved estimates of the parameters of state space time series models ⋮ Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling ⋮ Empirically feasible solutions and explicit dynamics for rational expectation models ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Model specification tests for balanced representation state space models ⋮ Efficient computation of multiscale entropy over short biomedical time series based on linear state-space models ⋮ State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies) ⋮ ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS ⋮ Joint modeling of multiple time series via the beta process with application to motion capture segmentation ⋮ A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES ⋮ A Bayesian approach to state space multivariate time series modeling ⋮ Model Order Estimation of a Multivariable Stochastic Process ⋮ Forecasting international growth rates with leading indicators: A system- theoretic approach ⋮ A STATE SPACE BIOECONOMIC MODEL OF PACIFIC HALIBUT ⋮ USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS ⋮ Single and multiple error state-space models for signal extraction ⋮ State realization with exogenous variables -- a test on blast furnace data

Cites Work

• A method for approximate representation of vector-valued time series and its relation to two alternatives
• An instrumental variables interpretation of linear systems theory estimation
• Large sample estimation and testing procedures for dynamic equation systems
• Time series analysis and simultaneous equation econometric models
• Optimal Hankel-norm model reductions: Multivariable systems
• Co-Integration and Error Correction: Representation, Estimation, and Testing
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