1 |
Ahn, S. K. (1997). Inference of vector autoregressive models with cointegration and scalar components, Journal of the American Statistical Association, 92, 350-356.
DOI
ScienceOn
|
2 |
Ahn, S. K. and Reinsel, G. C. (1988). Nested reduced-rank autoregressive models for multiple time-series, Journal of the American Statistical Association, 83, 849-856.
|
3 |
Ahn, S. K. and Reinsel, G. C. (1990). Estimation for partially nonstationary multivariate autoregressive models, Journal of the American Statistical Association, 85, 813-823.
DOI
ScienceOn
|
4 |
Anderson, H. M. and Vahid, F. (1998). Testing multiple equation systems for common nonlinear components, Journal of Econometrics, 84, 1-36.
DOI
ScienceOn
|
5 |
Anderson, T. W. (1951). Estimating linear restrictions on regression coefficients for multivariate normal distributions, Annals of Mathematical Statistics, 22, 327-351.
DOI
|
6 |
Anderson, T.W. (1984). An Introduction to Multivariate Statistical Analysis, (2nd ed.), John Wiley & Sons, New York.
|
7 |
Anderson, T.W. (1999). Asymptotic theory for canonical correlation analysis, Journal of Multivariate Analysis, 70, 1-29.
DOI
ScienceOn
|
8 |
Anderson, T.W. (2002). Canonical correlation analysis and reduced rank regression in autoregressive models, Annals of Statistics, 30, 1134-1154.
DOI
|
9 |
Athanasopoulos, G., de Carvalho Guillen, O. T., Issler, J. V. and Vahid, F. (2011). Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions, Journal of Econometrics, 164, 116-129.
DOI
ScienceOn
|
10 |
Bai, J. and Ng, S. (2006). Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions, Econometrica, 74, 1133-1150.
DOI
ScienceOn
|
11 |
Bernardini, E. and Cubadda, G. (2015). Macroeconomic forecasting and structural analysis through regularized reduced-rank regression, International Journal of Forecasting, 31, 682-691.
DOI
ScienceOn
|
12 |
Beveridge, S. and Nelson, C. R. (1981). A new apporach to decomposition of economic time series into permanent and transitory component with particular attention to measurement of the 'business cycle', Journal of Monetary Economics, 7, 151-174.
DOI
ScienceOn
|
13 |
Bierens, H. J. (2000). Nonparametric nonlinear cotrending analysis, with an application to interest and inflation in the United States, Journal of Business & Economic Statistics, 18, 323-337.
|
14 |
Campbell, J. Y. (1987). Does saving anticipate declining labor income - An alternative test of the permanent income hypothesis, Econometrica, 55, 1249-1273.
DOI
ScienceOn
|
15 |
Campbell, J. Y. and Mankiw, N. G. (1990). Permanent income, current income, and consumption, Journal of Business & Economic Statistics, 8, 265-279.
|
16 |
Cubadda, G. (1999). Common cycles in seasonal non-stationary time series, Journal of Applied Econometrics, 14, 273-291.
DOI
|
17 |
Carriero, A., Kapetanios, G. and Marcellino, M. (2011). Forecasting large datasets with Bayesian reduced rank multivariate models, Journal of Applied Econometrics, 26, 735-761.
DOI
ScienceOn
|
18 |
Centoni, M., Cubadda, G. and Hecq, A. (2007). Common shocks, common dynamics, and the international business cycle, Economic Modelling, 24, 149-166.
DOI
ScienceOn
|
19 |
Chapman, D. A. and Ogaki, M. (1993). Cotrending and the stationarity of the real interest rate, Economics Letters, 42, 133-138.
DOI
ScienceOn
|
20 |
Cubadda, G. (2001). Common features in time series with both deterministic and stochastic seasonality, Econometric Reviews, 20, 201-216.
DOI
ScienceOn
|
21 |
Cubadda, G. (2007). A unifying framework for analyzing common cyclical features in cointegrated time series, Computational Statistics & Data Analysis, 52, 896-906.
DOI
ScienceOn
|
22 |
Cubadda, G. and Hecq, A. (2001). On non-contemporaneous short-run co-movements, Economics Letters, 73, 389-397.
DOI
ScienceOn
|
23 |
Cubadda, G. and Hecq, A. (2011). Testing for common autocorrelation in data-rich environments, Journal of Forecasting, 30, 325-335.
DOI
ScienceOn
|
24 |
Cubadda, G., Hecq, A. and Palm, F. C. (2008). Macro-panels and reality, Economics Letters, 99, 537-540.
DOI
ScienceOn
|
25 |
Cubadda, G., Hecq, A. and Palm, F. C. (2009). Studying co-movements in large multivariate data prior to multivariate modelling, Journal of Econometrics, 148, 25-35.
DOI
ScienceOn
|
26 |
Engle, R. F. and Marcucci, J. (2006). A long-run pure variance common features model for the common volatilities of the Dow Jones, Journal of Econometrics, 132, 7-42.
DOI
ScienceOn
|
27 |
Engle, R. F. and Granger, C. W. (1987). Co-integration and error correction: Representation, estimation and testing, Econometrica, 55, 251-276.
DOI
ScienceOn
|
28 |
Engle, R. F. and Issler, J. V. (1995). Estimating common sectoral cycles, Journal of Monetary Economics, 35, 83-113.
DOI
ScienceOn
|
29 |
Engle, R. F. and Kozicki, S. (1993). Testing for common features, Journal of Business & Economic Statistics, 11, 369-380.
|
30 |
Engle, R. F. and Susmel, R. (1993). Common volatility in international equity markets, Journal of Business & Economic Statistics, 11, 167-176.
|
31 |
Ericsson, N. R. (1993). Comment: Testing for common features, Journal of Business & Economic Statistics, 11, 380-383.
|
32 |
Flavin, M. (1993). The excess smoothness of consumption - identification and interpretation, Review of Economic Studies, 60, 651-666.
DOI
ScienceOn
|
33 |
Franchi, M. and Paruolo, P. (2011). A characterization of vector autoregressive processes with common cyclical features, Journal of Econometrics, 163, 105-117.
DOI
ScienceOn
|
34 |
Gourieroux, C. S. and Peaucelle, I. (1988). Detecting a long run relationship (with an application to the p.p.p. hypothesis), Centre d'etudes prospectives d'economie mathematique appliquees a la planification, Paris.
|
35 |
Haldrup, N., Hylleberg, S., Pons, G. and Sanso, A. (2007). Common periodic correlation features and the interaction of stocks and flows in daily airport data, Journal of Business & Economic Statistics, 25, 21-32.
DOI
ScienceOn
|
36 |
Hendry, D. F. (1999). Co-breaking. In M. P. Clements and D. F. Hendry (Eds.), Forecasting Non-stationary Economic Time Series, MIT Press, Cambridge, MA.
|
37 |
Hall, R. E. (1978). Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence, Journal of Political Economy, 86, 971-987.
DOI
ScienceOn
|
38 |
Hecq, A., Palm, F. C. and Urbain, J. P. (2000). Testing for common cyclical features in nonstationary panel data models, Advances in Econometrics, 15, 131-160.
DOI
|
39 |
Hecq, A., Palm, F. C. and Urbain, J. P. (2006). Common cyclical features analysis in VAR models with cointegration, Journal of Econometrics, 132, 117-141.
DOI
ScienceOn
|
40 |
Hendry, D. F. and Massmann, M. (2007). Co-breaking: Recent advances and a synopsis of the literature, Journal of Business & Economic Statistics, 25, 33-51.
DOI
ScienceOn
|
41 |
Hylleberg, S., Engle, R. F., Granger, C.W. and Yoo, B. S. (1990). Seasonal integration and cointegration, Journal of Econometrics, 44, 215-238.
DOI
ScienceOn
|
42 |
Issler, J. V. and Vahid, F. (2001). Common cycles and the importance of transitory shocks to macroeconomic aggregates, Journal of Monetary Economics, 47, 449-475.
DOI
ScienceOn
|
43 |
Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-254.
DOI
ScienceOn
|
44 |
Johansen, S. (1996). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford, UK.
|
45 |
Kadiyala, K. R. and Karlsson, S. (1997). Numerical methods for estimation and inference in Bayesian VAR-models, Journal of Applied Econometrics, 12, 99-132.
DOI
|
46 |
Litterman, R. B. (1986). Forecasting with Bayesian vector autoregressions: Five years of experience, Journal of Business & Economic Statistics, 4, 25-38.
|
47 |
King, R. G., Plosser, C. I. and Rebelo, S. T. (1988). Production, growth and business cycles: II.New Directions, Journal of Monetary Economics, 21, 309-341.
DOI
ScienceOn
|
48 |
Koop, G. M. (2013). Forecasting with medium and large Bayesian VARs, Journal of Applied Econometrics, 28, 177-203.
DOI
ScienceOn
|
49 |
Ledoit, O. and Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection, Journal of Empirical Finance, 10, 603-621.
DOI
ScienceOn
|
50 |
Long, J. B. and Plosser, C. I. (1983). Real business cycles, The Journal of Political Economy, 91, 39-69.
DOI
ScienceOn
|
51 |
Lucas, R. E. (1977). Understanding business cycles, Carnegie-Rochester Conference Series on Public Policy, 5, 7-29.
|
52 |
Paruolo, P. (2006). Common trends and cycles in I(2) VAR systems, Journal of Econometrics, 132, 143-168.
DOI
ScienceOn
|
53 |
Reinsel, G. (1983). Some results on multivariate autoregressive index models, Biometrika, 70, 145-156.
DOI
|
54 |
Reinsel, G. C. and Velu, R. P. (1998). Multivariate Reduced Rank Regression, Springer, New York.
|
55 |
Rosipal, R. and Kramer, N. (2006). Overview and recent advances in partial least squares, In C. Saunders et al. (Eds.), Subspace, Latent Structure and Feature Selection, Springer, Berlin, 34-51.
|
56 |
Schleicher, C. (2007). Codependence in cointegrated autoregressive models, Journal of Applied Econometrics, 22, 137-159.
DOI
ScienceOn
|
57 |
Vahid, F. and Engle, R. F. (1993). Common trends and common cycles, Journal of Applied Econometrics, 8, 341-360.
|
58 |
Stock, J. H. and Watson, M. W. (2005). Implications of dynamic factor models for VAR analysis (No. w11467), Cambridge, National Bureau of Economic Research, MA.
|
59 |
Stock, J. H. and Watson, M. W. (2011). Dynamic factor models. In M. P. Clements and D. F. Hendry (Eds.), Oxford Handbook of Economic Forecasting, Oxford University Press, New York, 35-59.
|
60 |
Tiao, G. C. and Tsay, R. S. (1989). Model specification in multivariate time series, Journal of the Royal Statistical Society. Series B (Methodological), 51, 157-213.
|
61 |
Vahid, F. and Engle, R. F. (1997). Codependent cycles, Journal of Econometrics, 80, 199-221.
DOI
ScienceOn
|
62 |
Vahid, F. and Issler, J. V. (2002). The importance of common cyclical features in VAR analysis: A Monte-Carlo study, Journal of Econometrics, 109, 341-363.
DOI
ScienceOn
|
63 |
Velu, R. P., Reinsel, G. C. and Wichern, D. W. (1986). Reduced rank models for multiple time series, Biometrika, 73, 105-118.
DOI
ScienceOn
|
64 |
Vinod, H. D. (1976). Canonical ridge and econometrics of joint production, Journal of Econometrics, 4, 147-166.
DOI
ScienceOn
|
65 |
Zellner, A. and Palm, F. (1974). Time series analysis and simultaneous equation econometric models, Journal of Econometrics, 2, 17-54.
DOI
ScienceOn
|