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Journal of Computational and Graphical Statistics, ISSN 1061-8600, 01/2010, Volume 19, Issue 3, pp. 724 - 745
Journal Article
International Journal of Innovative Computing, Information and Control, ISSN 1349-4198, 05/2011, Volume 7, Issue 5 B, pp. 2563 - 2577
To exhibit the leading/lagging relationship among groups in a VAR process, we construct a three-group causal path (an extended Granger causality) as well as an... 
Three-group causal path | Impulse response analysis | Vector autoregressive process (var) | Granger causality | Vector autoregressive process (VAR) | LONG-RUN | TIME-SERIES | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE
Journal Article
Journal Article
Econometric Theory, ISSN 0266-4666, 4/1998, Volume 14, Issue 2, pp. 187 - 199
This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of... 
Economic models | Sufficient conditions | Vector autoregression | Economic theory | Time series | Factor theorem | Determinants | Polynomials | Mathematical vectors | Factorization | TIME-SERIES | REPRESENTATION | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | ERROR-CORRECTION
Journal Article
Economics Letters, ISSN 0165-1765, 06/2019, Volume 179, pp. 19 - 23
This note demonstrates that the analysis of separate cointegration can be facilitated by properly allowing for regime shifts in the underlying data generation... 
Separate cointegration | Vector autoregressive (VAR) models | Deterministic breaks | ECONOMICS | Mathematical models | Algebra | Regression analysis | Cointegration analysis
Journal Article
Methods of Information in Medicine, ISSN 0026-1270, 2014, Volume 53, Issue 4, pp. 291 - 295
Journal Article
Signal Processing, ISSN 0165-1684, 04/2017, Volume 133, pp. 122 - 134
In this paper, we introduce novel algorithms for inferring the conditional independence graph of a vector autoregressive (VAR) process. As part of this work,... 
Vector autoregressive model | Conditional independence | Renormalized maximum likelihood | Convex optimization | Maximum entropy | ORDER | KULLBACKS SYMMETRIC DIVERGENCE | SELECTION | IDENTIFICATION | STATIONARY TIME-SERIES | ENGINEERING, ELECTRICAL & ELECTRONIC | Air pollution | Models | Algorithms | Stock markets | Mathematical optimization
Journal Article
IEEE Transactions on Biomedical Engineering, ISSN 0018-9294, 04/2017, Volume 64, Issue 4, pp. 844 - 858
Journal Article
Journal of Time Series Analysis, ISSN 0143-9782, 03/2008, Volume 29, Issue 2, pp. 331 - 358
Journal Article
Econometric Theory, ISSN 0266-4666, 8/2007, Volume 23, Issue 4, pp. 638 - 685
We consider the cointegration tests of Johansen (1988, Journal of Economic Dynamics and Control 12, 231-254; 1991, Econometrica 59, 1551-1580) when a vector... 
Economic models | Mycobacterium avium complex | Determinism | Null hypothesis | Vector autoregression | Approximation | Autoregressive models | Linear regression | Eigenvalues | Root test | REGRESSION | VECTOR AUTOREGRESSIVE PROCESSES | ORDER | LAG | MODEL SELECTION | DEPENDENT ERRORS | TIME-SERIES | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | UNIT-ROOT TESTS | INFERENCE
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 2006, Volume 30, Issue 5, pp. 721 - 739
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2000, Volume 95, Issue 1, pp. 177 - 198
Journal Article
International Journal of Production Economics, ISSN 0925-5273, 03/2007, Volume 106, Issue 1, pp. 204 - 216
Journal Article
International Journal of Computational Economics and Econometrics, ISSN 1757-1170, 01/2011, Volume 1, Issue 3-4, pp. 254 - 277
This paper examines the problem of order selection in connection to the forecasting performance for vector autoregressive (VAR) processes. For this purpose we... 
Divergence | Mathematical analysis | VAR | Mathematical models | Criteria | Vectors (mathematics) | Econometrics | Forecasting
Journal Article
Journal of Neuroscience Methods, ISSN 0165-0270, 2011, Volume 201, Issue 2, pp. 404 - 419
Journal Article
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