Search Results - subject:"Reduced Rank Regression"

Factor-augmented VARs with noisy factor proxies

Mönch, Emanuel; Soofi-Siavash, Soroosh - 2026

Persistent link: https://www.econbiz.de/10015613969

The time-varying Multivariate Autoregressive Index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - In: International journal of forecasting 41 (2025) 1, pp. 175-190

Persistent link: https://www.econbiz.de/10015440289

Sparse time-varying parameter VECMs with an application to modeling electricity prices

Hauzenberger, Niko; Pfarrhofer, Michael; Rossini, Luca - In: International journal of forecasting 41 (2025) 1, pp. 361-376

Persistent link: https://www.econbiz.de/10015440327

Weak exogeneity, cointegration and stability tests

Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de/10015191531

VAR models with an index structure : a survey with new results

Cubadda, Gianluca - 2025

Persistent link: https://www.econbiz.de/10015476735

VAR models with an index structure : a survey with new results

Cubadda, Gianluca - In: Econometrics : open access journal 13 (2025) 4, pp. 1-32

The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI] and their applications to economic and financial time series. MAI has recently gained momentum because it can be seen as a link between two popular but distinct multivariate time series...

Persistent link: https://www.econbiz.de/10015562093

Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions

Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - In: AStA Advances in Statistical Analysis 108 (2024) 3, pp. 577-609

reduced rank regression models with a part of the parameter space restricted to the Stiefel manifold. Besides inference, we …

Persistent link: https://www.econbiz.de/10015124955

Robust parallel pursuit for large-scale association network learning

Li, Wenhui; Zhou, Xin; Dong, Ruipeng; Zheng, Zemin - In: INFORMS journal on computing : JOC ; charting new … 37 (2025) 2, pp. 428-445

Persistent link: https://www.econbiz.de/10015434296

Robust estimation of multivariate time series data based on reduced rank model

Xu, Tengteng; Deng, Ping; Zhang, Riquan; Zhao, Weihua - In: Journal of forecasting 44 (2025) 2, pp. 474-484

Persistent link: https://www.econbiz.de/10015374055

The vector error correction index model : representation, estimation and identification

Cubadda, Gianluca; Mazzali, Marco - 2023

Persistent link: https://www.econbiz.de/10014248988

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