Tiao, George C; Tsay, Ruey S; Wang, Taychang - In: Empirical Economics 18 (1993) 4, pp. 567-93
Much progress has been made in recent years in multivariate time-series analysis. In this paper we summarize some of the methodological developments that are particularly relevant to empirical economics and highlight especially the usefulness of linear transformations in analyzing multivariate...