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Modelling Comovements of Economic Time Series: A Selective Survey

Centoni, Marco; Cubadda, Gianluca - Centro di Studi Internazionali Sull'Economia e la … - 2011

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...

Persistent link: https://www.econbiz.de/10009351525

SEASONALITY, PRODUCTIVITY SHOCKS, AND SECTORAL COMOVEMENTS IN A REAL BUSINESS CYCLE MODEL FOR ITALY

Cubadda, Gianluca; Savio, Giovanni; Zelli, Roberto - In: Macroeconomic dynamics 6 (2002) 3, pp. 337-356

Persistent link: https://www.econbiz.de/10006033604

Optimization of the generalized covariance estimator in noncausal processes

Cubadda, Gianluca; Giancaterini, Francesco; Hecq, Alain … - 2024

Persistent link: https://www.econbiz.de/10014549054

Studying co-movements in large multivariate data prior to multivariate modelling

Cubadda, Gianluca; Hecq, Alain; Palm, Franz C. - In: Journal of econometrics 148 (2009) 1, pp. 25-35

Persistent link: https://www.econbiz.de/10008170384

A Reduced Rank Regression Approach to Coincident and Leading Indexes Building

Cubadda, Gianluca - In: Oxford bulletin of economics and statistics 69 (2007) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10007718381

A medium-N approach to macroeconomic forecasting

Cubadda, Gianluca; Guardabascio, Barbara - In: Economic modelling 29 (2012) 4, pp. 1099-1106

Persistent link: https://www.econbiz.de/10009979285

A general to specific approach for constructing composite business cycle indicators

Cubadda, Gianluca; Guardabascio, Barbara; Hecq, Alain - In: Economic modelling 33 (2013), pp. 367-374

Persistent link: https://www.econbiz.de/10010161403

Common serial correlation and common business cycles: A cautious note

Cubadda, Gianluca - In: Empirical economics : a journal of the Institute for … 24 (1999) 3, pp. 529-536

Persistent link: https://www.econbiz.de/10006296983

Complex Reduced Rank Models for Seasonally Cointegrated Time Series

Cubadda, Gianluca - In: Oxford bulletin of economics and statistics 63 (2001) 4, pp. 497

Persistent link: https://www.econbiz.de/10006444639

Technology shocks, structural breaks and the effects on the business cycle

Atella, Vincenzo; Centoni, Marco; Cubadda, Gianluca - In: Economics letters 100 (2008) 3, pp. 392-395

Persistent link: https://www.econbiz.de/10008092885