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Identifying the time-effect factors of multiple time series

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  • Yu-pin Hu

    (National Chi Nan University, Taiwan)

Abstract

The Pena-Box model is considered for finding the time-effect factors of a multiple time series. This paper first establishes the connection between the Pena-Box model and the vector ARMA model. According to the Pena-Box model, some series can be ignored while modelling the vector ARMA model. A consistent estimator is then proposed to identify the model for nonlinear and nonstationary time series. Finally, the finite-sample behaviour of the estimator is illustrated via simulations. Copyright © 2005 John Wiley & Sons, Ltd.

Suggested Citation

  • Yu-pin Hu, 2005. "Identifying the time-effect factors of multiple time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(5), pages 379-387.
    • Handle: RePEc:jof:jforec:v:24:y:2005:i:5:p:379-387
    DOI: 10.1002/for.948
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    1. repec:bla:jtsera:v:24:y:2003:i:5:p:529-538 is not listed on IDEAS
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    4. Lewbel, Arthur, 1991. "The Rank of Demand Systems: Theory and Nonparametric Estimation," Econometrica, Econometric Society, vol. 59(3), pages 711-730, May.
    5. Li K-C. & Shedden K., 2002. "Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 759-765, September.
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