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Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
10 references·2 citing·44 second hop
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this work references cited by second hop

References

  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1974Time series analysis and simultaneous equation econometric models655 cited
  • 1993Southern Economic Journal397 cited
  • 2018HAR Inference: Recommendations for Practice229 cited
  • 2005Diagnostic Checking in ARMA Models With Uncorrelated Errors164 cited
  • 2008VARMA versus VAR for Macroeconomic Forecasting99 cited
  • 1997Analysis of cointegrated VARMA processes54 cited
  • 2002ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION40 cited

Cited by

  • 2024Local projections in unstable environments38 cited
  • 2013Factor-Augmented VARMA Models With Macroeconomic Applications31 cited

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