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ArticleCommon cyclical features analysis in VAR models with cointegration

Alain Hecq2005

Article2005

Common cyclical features analysis in VAR models with cointegration

Alain Hecq · Franz C. Palm · Jean‐Pierre Urbain

59 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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References

1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1993Introduction to Multiple Time Series Analysis 1991Optimal Inference in Cointegrated Systems 1988Production, growth and business cycles 1990Testing For Common Features 1993COMMON TRENDS AND COMMON CYCLES 1992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING 1999Forecasting Non-Stationary Economic Time Series

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2008Studying co-movements in large multivariate data prior to multivariate modelling 2007A unifying framework for analysing common cyclical features in cointegrated time series 2006Common shocks, common dynamics, and the international business cycle 2007Codependence in cointegrated autoregressive models 2008Exchange Rates and Fundamentals: A Generalization 2008Modelling trends and cycles in economic time series: historical perspective and future developments

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Year2005

Typearticle

Published2005-03-15

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations59

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2005.01.025

openalex_workW2108967620

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2010A characterization of vector autoregressive processes with common cyclical features

2022Dimension Reduction for High‐Dimensional Vector Autoregressive Models*