SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The importance of common cyclical features in VAR analysis: a Monte-Carlo study
16 references·15 citing·41 second hop
The importance of common cyclical features in VAR analysis: a Monte-Carlo study (2002)The importance of common cyclical feature…Forecasting in cointegrated systems (1995)Forecasting in cointegrated s…Testing for Common Features (1993)Testing for Common FeaturesOn the limitations of comparing mean square forecast errors (1993)On the limitations of compari…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…COMMON TRENDS AND COMMON CYCLES (1993)COMMON TRENDS AND COMMON CYCL…Testing For Common Features (1990)Testing For Common FeaturesNew Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsProduction, growth and business cycles (1988)Production, growth and busine…Production, growth and business cycles (1988)Production, growth and busine…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Understanding business cycles (1977)Understanding business cyclesThe longitudinal effects of internationalization on firm performance: The moderating role of marketing capability (2018)The longitudinal effects of i…The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains (2015)The co-movement and causality…Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data (2013)Testing for Common Cycles in …A characterization of vector autoregressive processes with common cyclical features (2010)A characterization of vector …Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features (2009)Selection of Optimal Lag Leng…A panel data approach to economic forecasting: The bias-corrected average forecast (2009)A panel data approach to econ…VARMA versus VAR for Macroeconomic Forecasting (2008)VARMA versus VAR for Macroeco…Codependence in cointegrated autoregressive models (2007)Codependence in cointegrated …Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling (2006)Making a match: Combining the…Forecasting the Volatility of Australian Stock Returns (2006)Forecasting the Volatility of…VARs, common factors and the empirical validation of equilibrium business cycle models (2005)VARs, common factors and the …The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test (2005)The effect of data transforma…Common cyclical features analysis in VAR models with cointegration (2005)Common cyclical features anal…Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models (2004)Vars, Common Factors and the …Business Cycles in Mexico and the United States: Do They Share Common Movements? (2004)Business Cycles in Mexico and…A Contribution to the Theory of Economic Growth (1956)On the mechanics of economic development (1988)Long-Run Policy Analysis and Long-Run Growth (1991)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Race between Man and Machine: Implications of Technology for Growth, Factor Shares, and Employment (2018)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Long memory and persistence in aggregate output (1989)Financial Intermediation and Endogenous Growth (1991)Sectoral shocks and aggregate fluctuations (2000)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Irreversibility, Uncertainty, and Cyclical Investment (1980)Real Business Cycles (1983)Indivisible labor and the business cycle (1985)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Critical Values for Cointegration Tests (2010)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Econometric policy evaluation: A critique (1976)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Measuring the Output Responses to Fiscal Policy (2012)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Generalized impulse response analysis in linear multivariate models (1998)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1988Testing for Common Trends1,894 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 1977Understanding business cycles1,460 cited
  • 1988Production, growth and business cycles564 cited
  • 1990Testing For Common Features470 cited
  • 1993COMMON TRENDS AND COMMON CYCLES461 cited
  • 1988Testing for Common Trends428 cited
  • 1993On the limitations of comparing mean square forecast errors392 cited
  • 1995Forecasting in cointegrated systems279 cited
  • 1993Testing for Common Features

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

227 cited

Cited by

  • 2015The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains102 cited
  • 2008VARMA versus VAR for Macroeconomic Forecasting99 cited
  • 2005VARs, common factors and the empirical validation of equilibrium business cycle models91 cited
  • 2018The longitudinal effects of internationalization on firm performance: The moderating role of marketing capability75 cited
  • 2006Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling74 cited
  • 2006Forecasting the Volatility of Australian Stock Returns60 cited
  • 2005Common cyclical features analysis in VAR models with cointegration59 cited
  • 2004Business Cycles in Mexico and the United States: Do They Share Common Movements?55 cited
  • 2005The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test39 cited
  • 2009Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features36 cited
  • 2009A panel data approach to economic forecasting: The bias-corrected average forecast36 cited
  • 2007Codependence in cointegrated autoregressive models22 cited
  • 2010A characterization of vector autoregressive processes with common cyclical features19 cited
  • 2004Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models19 cited
  • 2013Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data14 cited