This paper extends the multivariate index autoregressive model by Reinsel (1983) to the case of cointegrated time series of order (1, 1). In this new modelling, namely the Vector Error-Correction Index Model (VECIM), the first differences of series are driven by some linear combinations of the...

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal-noncausal vector autoregressive models, we...

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal-noncausal vector autoregressive models, we...

This paper aims to decompose a large dimensional vector autoregessive (VAR) model into two components, the first one being generated by a small-scale VAR and the second one being a white noise sequence. Hence, a reduced number of common components generates the entire dynamics of the large...