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Linear transformations of vector ARMA processes
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Cited by:
- Nijman, Theo & Sentana, Enrique, 1996.
"Marginalization and contemporaneous aggregation in multivariate GARCH processes,"
Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 395cb9d2-89a8-4cbf-923e-c, Tilburg University, School of Economics and Management.
- Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
- Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
- Nijman, T.E. & Sentana, E., 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management.
- Theo Nijman # Enrique Sentana, 1994. "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers wp1994_9419, CEMFI.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Discussion Paper 1993-12, Tilburg University, Center for Economic Research.
- WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012. "Total tourist arrival forecast: aggregation vs. disaggregation," LIDAM Discussion Papers CORE 2012039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pesaran, M. Hashem & Chudik, Alexander, 2014.
"Aggregation in large dynamic panels,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 273-285.
- Hashem M. Pesaran & Alexander Chudik, 2011. "Aggregation in Large Dynamic Panels," CESifo Working Paper Series 3346, CESifo.
- Alexander Chudik & M. Hashem Pesaran, 2011. "Aggregation in large dynamic panels," Globalization Institute Working Papers 101, Federal Reserve Bank of Dallas.
- Pesaran, M. Hashem & Chudik, Alexander, 2011. "Aggregation in Large Dynamic Panels," IZA Discussion Papers 5478, Institute of Labor Economics (IZA).
- Pesaran, M.H. & Chudik, A., 2011. "Aggregation in Large Dynamic Panels," Cambridge Working Papers in Economics 1118, Faculty of Economics, University of Cambridge.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High‐Dimensional Vector Autoregressive Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Trenkler, Carsten & Weber, Enzo, 2016.
"On the identification of multivariate correlated unobserved components models,"
Economics Letters, Elsevier, vol. 138(C), pages 15-18.
- Trenkler, Carsten & Weber, Enzo, 2015. "On the identification of multivariate correlated unobserved components models," Working Papers 15-12, University of Mannheim, Department of Economics.
- Brüggemann, Ralf & Lütkepohl, Helmut, 2013.
"Forecasting contemporaneous aggregates with stochastic aggregation weights,"
International Journal of Forecasting, Elsevier, vol. 29(1), pages 60-68.
- Ralf Brueggemann & Helmut Luetkepohl, 2011. "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Economics Working Papers ECO2011/17, European University Institute.
- Ralf Brüggemann & Helmut Lütkepohl, 2011. "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Working Paper Series of the Department of Economics, University of Konstanz 2011-23, Department of Economics, University of Konstanz.
- Al-Sadoon, Majid M., 2014.
"Geometric and long run aspects of Granger causality,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
- Majid M. Al-Sadoon, 2013. "Geometric and long run aspects of Granger causality," Economics Working Papers 1356, Department of Economics and Business, Universitat Pompeu Fabra.
- Majid M. Al-Sadoon, 2013. "Geometric and Long Run Aspects of Granger Causality," Working Papers 682, Barcelona School of Economics.
- Nathan Bedock & Dalibor Stevanović, 2017.
"An empirical study of credit shock transmission in a small open economy,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(2), pages 541-570, May.
- Nathan Bedock & Dalibor Stevanovic, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics, Canadian Economics Association, vol. 50(2), pages 541-570, May.
- Nathan Bedock & Dalibor Stevanovic, 2012. "An Empirical Study of Credit Shock Transmission in a Small Open Economy," CIRANO Working Papers 2012s-16, CIRANO.
- Sbrana, Giacomo & Silvestrini, Andrea, 2013.
"Aggregation of exponential smoothing processes with an application to portfolio risk evaluation,"
Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
- SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," LIDAM Discussion Papers CORE 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Giacomo Sbrana & Andrea Silvestrini, 2012. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Post-Print hal-00779483, HAL.
- Tobias Hartl & Roland Weigand, 2018.
"Multivariate Fractional Components Analysis,"
Papers
1812.09149, arXiv.org, revised Jan 2019.
- Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
- Marcellino, Massimiliano, 2000.
"Linear aggregation with common trends and cycles,"
Research in Economics, Elsevier, vol. 54(2), pages 117-131, June.
- Massimiliano Marcellino, "undated". "Linear Aggregation with Common Trends and Cycles," Working Papers 160, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
- Hashem Pesaran, M., 2003. "Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation," Economic Modelling, Elsevier, vol. 20(2), pages 383-415, March.
- Al-Sadoon, M.M., 2009. "Causality Along Subspaces: Theory," Cambridge Working Papers in Economics 0919, Faculty of Economics, University of Cambridge.
- Pennings, Clint L.P. & van Dalen, Jan, 2017. "Integrated hierarchical forecasting," European Journal of Operational Research, Elsevier, vol. 263(2), pages 412-418.
- Bidarkota, Prasad V., 1998. "The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting," International Journal of Forecasting, Elsevier, vol. 14(4), pages 457-468, December.
- Ignacio Arbués, 2008. "An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 741-761, September.
- Dr. Marco Huwiler & Daniel Kaufmann, 2013. "Combining disaggregate forecasts for inflation: The SNB's ARIMA model," Economic Studies 2013-07, Swiss National Bank.
- Hubrich, Kirstin, 2005.
"Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?,"
International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
- Hubrich, Kirstin, 2003. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series 247, European Central Bank.
- Kirstin Hubrich, 2004. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004 230, Society for Computational Economics.
- Fabio Canova & Filippo Ferroni, 2022.
"Mind the Gap! Stylized Dynamic Facts and Structural Models,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 104-135, October.
- Fabio Canova & Filippo Ferroni, 2018. "Mind the gap! Stylized dynamic facts and structural models," Working Papers No 13/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Fabio Canova & Filippo Ferroni, 2020. "Mind the gap! Stylized Dynamic Facts and Structural Models," Working Paper Series WP-2020-29, Federal Reserve Bank of Chicago.
- Canova, Fabio & Ferroni, Filippo, 2019. "Mind the gap! Stylized dynamic facts and structural models," CEPR Discussion Papers 13948, C.E.P.R. Discussion Papers.
- Canova, Fabio & Ferroni, Filippo, 2019. "Mind the gap! Stylized dynamic facts and structural models," Working Paper Series 378, Sveriges Riksbank (Central Bank of Sweden).
- Kamel Jlassi, 2015. "Modelling and Forecasting of Tunisian Current Account: Aggregate versus Disaggregate Approach," IHEID Working Papers 13-2015, Economics Section, The Graduate Institute of International Studies.
- Colin Bermingham & Antonello D’Agostino, 2014.
"Understanding and forecasting aggregate and disaggregate price dynamics,"
Empirical Economics, Springer, vol. 46(2), pages 765-788, March.
- D'Agostino, Antonello & Bermingham, Colin, 2010. "Understanding and Forecasting Aggregate and Disaggregate Price Dynamics," Research Technical Papers 8/RT/10, Central Bank of Ireland.
- Bermingham, Colin & D'Agostino, Antonello, 2011. "Understanding and forecasting aggregate and disaggregate price dynamics," Working Paper Series 1365, European Central Bank.
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
- Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Espasa, Antoni & Mayo-Burgos, Iván, 2013.
"Forecasting aggregates and disaggregates with common features,"
International Journal of Forecasting, Elsevier, vol. 29(4), pages 718-732.
- Mayo, Iván, 2012. "Forecasting aggregates and disaggregates with common features," DES - Working Papers. Statistics and Econometrics. WS ws110805, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Athanasopoulos, George & Hyndman, Rob J. & Kourentzes, Nikolaos & Panagiotelis, Anastasios, 2024.
"Forecast reconciliation: A review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 430-456.
- George Athanasopoulos & Rob J Hyndman & Nikolaos Kourentzes & Anastasios Panagiotelis, 2023. "Forecast Reconciliation: A Review," Monash Econometrics and Business Statistics Working Papers 8/23, Monash University, Department of Econometrics and Business Statistics.
- Nijman, Theo E & Palm, Franz C, 1990.
"Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-415, October.
- Nijman, T.E. & Palm, F.C., 1987. "Predictive accuracy gain from disaggregate sampling in ARIMA-models," Research Memorandum FEW 273, Tilburg University, School of Economics and Management.
- Nijman, T.E. & Palm, F.C., 1990. "Predictive accuracy gain from disaggregate sampling in ARIMA models," Other publications TiSEM 50a68aea-1b30-497d-b111-6, Tilburg University, School of Economics and Management.
- Hernandez-Murillo, Ruben & Owyang, Michael T., 2006.
"The information content of regional employment data for forecasting aggregate conditions,"
Economics Letters, Elsevier, vol. 90(3), pages 335-339, March.
- Ruben Hernandez-Murillo & Michael T. Owyang, 2004. "The information content of regional employment data for forecasting aggregate conditions," Working Papers 2004-005, Federal Reserve Bank of St. Louis.
- Zeda Li & William W. S. Wei, 2024. "Measuring the advantages of contemporaneous aggregation in forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1308-1320, August.
- Diogo de Prince & Emerson Fernandes Marçal & Pedro L. Valls Pereira, 2022. "Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy," Econometrics, MDPI, vol. 10(2), pages 1-34, June.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016.
"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
- Sbrana, Giacomo & Silvestrini, Andrea, 2013.
"Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework,"
International Journal of Production Economics, Elsevier, vol. 146(1), pages 185-198.
- Giacomo Sbrana & Andrea Silvestrini, 2013. "Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," Temi di discussione (Economic working papers) 929, Bank of Italy, Economic Research and International Relations Area.
- Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016.
"Testing for Granger causality with mixed frequency data,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013. "Testing for Granger Causality with Mixed Frequency Data," CEPR Discussion Papers 9655, C.E.P.R. Discussion Papers.
- Feijoo, Santiago Rodriguez & Caro, Alejandro Rodriguez & Quintana, Delia Davila, 2003. "Methods for quarterly disaggregation without indicators; a comparative study using simulation," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 63-78, May.
- Petropoulos, Fotios & Spiliotis, Evangelos & Panagiotelis, Anastasios, 2023. "Model combinations through revised base rates," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1477-1492.
- Nijman, T.E. & Palm, F.C., 1987. "Predictive accuracy gain from disaggregate sampling in ARIMA-models," Other publications TiSEM 73cf32e2-d741-45a0-8b3e-f, Tilburg University, School of Economics and Management.
- Michael T. Owyang & Howard J. Wall, 2004. "Structural breaks and regional disparities in the transmission of monetary policy," Working Papers 2003-008, Federal Reserve Bank of St. Louis.
- Duarte, Claudia & Rua, Antonio, 2007. "Forecasting inflation through a bottom-up approach: How bottom is bottom?," Economic Modelling, Elsevier, vol. 24(6), pages 941-953, November.
- Alejandro Rodríguez Caro & Santiago Rodríguez Feijoo & Delia Dávila Quintana, 2003. "La trimestralización de variables flujo. Un estudio de simulación de los métodos de desagregación temporal con indicador," Documentos de trabajo conjunto ULL-ULPGC 2003-01, Facultad de Ciencias Económicas de la ULPGC.
- Mao Takongmo, Charles Olivier & Stevanovic, Dalibor, 2015.
"Selection Of The Number Of Factors In Presence Of Structural Instability: A Monte Carlo Study,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 177-233, Mars-Juin.
- Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014. "Selection of the number of factors in presence of structural instability: a Monte Carlo study," CIRANO Working Papers 2014s-44, CIRANO.
- Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
- Garcia-Ferrer, A. & de Juan, A. & Poncela, P., 2006. "Forecasting traffic accidents using disaggregated data," International Journal of Forecasting, Elsevier, vol. 22(2), pages 203-222.
- Pesaran, M. H., 1999. "On Aggregation of Linear Dynamic Models," Cambridge Working Papers in Economics 9919, Faculty of Economics, University of Cambridge.