Spectra of bivariate \(\mathrm{VAR}(p)\) models

DOI10.1016/j.jspi.2005.12.013zbMath1102.62102OpenAlexW2008843137MaRDI QIDQ861224

Evangelos E. Ioannidis

Publication date: 9 January 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2005.12.013

zbMATH Keywords

VARspectral analysisgroup delaycoherencyvector autoregressive modelsmultivariate autoregressive modelsphase spectrum

Mathematics Subject Classification ID

Related Items (4)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ A new non‐parametric cross‐spectrum estimator ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use

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