Identifying the time-effect factors of multiple time series

Yu-pin Hu
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Yu-pin Hu: National Chi Nan University, Taiwan, Postal: National Chi Nan University, Taiwan

Journal of Forecasting, 2005, vol. 24, issue 5, 379-387

Abstract: The Pena-Box model is considered for finding the time-effect factors of a multiple time series. This paper first establishes the connection between the Pena-Box model and the vector ARMA model. According to the Pena-Box model, some series can be ignored while modelling the vector ARMA model. A consistent estimator is then proposed to identify the model for nonlinear and nonstationary time series. Finally, the finite-sample behaviour of the estimator is illustrated via simulations. Copyright © 2005 John Wiley & Sons, Ltd.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:24:y:2005:i:5:p:379-387

DOI: 10.1002/for.948

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