On non-contemporaneous short-run co-movements

DOI10.1016/S0165-1765(01)00514-6zbMath1007.91048OpenAlexW2033636631MaRDI QIDQ5958419

Gianluca Cubadda, Alain Hecq

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00514-6

zbMATH Keywords

adjustment delayscommon cyclesVECM

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (9)

Codependent VAR models and the pseudo-structural form ⋮ Common cyclical features analysis in VAR models with cointegration ⋮ Common trends and cycles in I(2) VAR systems ⋮ The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ Studying co-movements in large multivariate data prior to multivariate modelling ⋮ Macro-panels and reality ⋮ A characterization of vector autoregressive processes with common cyclical features ⋮ Modelling comovements of economic time series: a selective survey ⋮ A unifying framework for analysing common cyclical features in cointegrated time series

Cites Work

• Codependent cycles
• Reduced rank models for multiple time series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The Influence of VAR Dimensions on Estimator Biases
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