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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2412.11278 |
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| _version_ | 1866916928940933120 |
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| author | Cubadda, Gianluca |
| author_facet | Cubadda, Gianluca |
| contents | The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI], originally proposed by Reinsel (1983), 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 approaches: vector autoregressive modeling [VAR] and the dynamic factor model [DFM]. Indeed, on the one hand, the MAI is a VAR model with a peculiar reduced-rank structure; on the other hand, it allows for identification of common components and common shocks in a similar way as the DFM. The focus is on recent developments of the MAI, which include extending the original model with individual autoregressive structures, stochastic volatility, time-varying parameters, high-dimensionality, and cointegration. In addition, new insights on previous contributions and a novel model are also provided. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_11278 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | VAR models with an index structure: A survey with new results Cubadda, Gianluca Econometrics The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI], originally proposed by Reinsel (1983), 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 approaches: vector autoregressive modeling [VAR] and the dynamic factor model [DFM]. Indeed, on the one hand, the MAI is a VAR model with a peculiar reduced-rank structure; on the other hand, it allows for identification of common components and common shocks in a similar way as the DFM. The focus is on recent developments of the MAI, which include extending the original model with individual autoregressive structures, stochastic volatility, time-varying parameters, high-dimensionality, and cointegration. In addition, new insights on previous contributions and a novel model are also provided. |
| title | VAR models with an index structure: A survey with new results |
| topic | Econometrics |
| url | https://arxiv.org/abs/2412.11278 |