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The relation of the CCA subspace method to a balanced reduction of an autoregressive model

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  • Dahlen, Anders
  • Scherrer, Wolfgang

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  • Dahlen, Anders & Scherrer, Wolfgang, 2004. "The relation of the CCA subspace method to a balanced reduction of an autoregressive model," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 293-312.
    • Handle: RePEc:eee:econom:v:118:y:2004:i:1-2:p:293-312
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    References listed on IDEAS

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    1. Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June.
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    Cited by:

    1. Dietmar Bauer, 2005. "Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 631-668, September.

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