Modelling comovements amongst multiple economic variables takes up a relevant part of the literature in time series econometrics. Comovement can be defined as "move together", that is as movement that several series have in common. The pattern of the series could be of different nature, such as...

This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not su¢ciently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a...

Combining economic time series with the aim to obtain an indicator for business cycle analyses is an important issue for policy makers. In this area, econometric techniques usually rely on systems with either a small number of series, N, (VAR or VECM) or, at the other extreme, a very large N...

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and...

This paper proposes a strategy to detect and impose reduced-rank restrictions in medium vector autoregressive models. In this framework, it is known that Canonical Correlation Analysis (CCA) does not perform well because inversions of large covariance matrices are required. We propose a method...

This paper proposes an econometric framework to assess the importance of common shocks and common transmission mechanisms in generating international business cycles. Then we show how to decompose the cyclical effects of permanent-transitory shocks into those due to their domestic and those due...

This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features, namely the weak form of polynomial serial...

This paper considers cointegration tests for dynamic systems where the number of variables is large relative to the sample size. Typical examples include tests for unit roots in panels, where the units are linked by complicated dynamic relationships. It is well known that conventional...

This paper proposes a strategy to detect the presence of common serial correlation in high-dimensional systems. We show by simulations that univariate autocorrelation tests on the factors obtained by partial least squares outperform traditional tests based on canonical correlations.

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency w, where w [0, p]. When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data...