Search Results - subject:"reduced‐rank regression"

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An econometrician amongst statisticians: T.W. Anderson

Phillips, Peter C. B. - 2022

Persistent link: https://www.econbiz.de/10013326601

L1 common trend filtering

Yamada, Hiroshi; Bao, Ruoyi - In: Computational economics 59 (2022) 3, pp. 1005-1025

Persistent link: https://www.econbiz.de/10013169212

Sequential scaled sparse factor regression

Zheng, Zemin; Li, Yang; Wu, Jie; Wang, Yuchen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 595-604

Persistent link: https://www.econbiz.de/10013533979

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Johansen, Søren; Swensen, Anders Rygh - 2021

Persistent link: https://www.econbiz.de/10012620761

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Johansen, Søren; Swensen, Anders Rygh - 2021

Persistent link: https://www.econbiz.de/10012627501

On the role of partial least squares in path analysis for the social sciences

Cook, R. Dennis; Forzani, Liliana - In: Journal of business research : JBR 167 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014383048

Likelihood based inference for an Identifiable Fractional Vector Error Correction Model

Carlini, Federico; Lasak, Katarzyna - 2018

We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...

Persistent link: https://www.econbiz.de/10011932356