We examine the conditions under which each individual series that is generated by a vector autoregressive model can be represented as an autoregressive model that is augmented with the lags of few linear combinations of all the variables in the system. We call this modelling Multivariate...

This chapter surveys the importance of reduced rank regression techniques (RRR) for modelling economic and financial time series. We mainly focus on models that are capable to reproduce the presence of common dynamics among variables such as the serial correlation common feature and the...