arXiv 15 Dec 2024 · Econometrics · publishedEconometrics (2025) · 1 citations (OpenAlex)
arXiv:2412.11278 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cubadda, G. and Mazzali, M (2024) The vector error correction index model: Representation, estimation and identification self | 1.000 | 7 | 3 | 100% |
| 2 | Cubadda, G. and Guardabascio, B (2019) Representation, estimation and forecasting of the multivariate index-augmented autoregressive model self | 1.000 | 7 | 3 | 100% |
| 3 | Carriero, A., Corsello, F., and Marcellino, M. G (2022) The global component of inflation volatility | 1.000 | 6 | 3 | 100% |
| 4 | Cubadda, G., Guardabascio, B., and Grassi, S (2025) The time-varying multivariate autoregressive index model self | 1.000 | 5 | 3 | 100% |
| 5 | Reinsel, G (1983) Some results on multivariate autoregressive index models | 1.000 | 5 | 3 | 100% |
| 6 | Cubadda, G., Guardabascio, B., and Hecq, A (2017) A vector heterogeneous autoregressive index model for realized volatility measures self | 0.874 | 5 | 2 | 100% |
| 7 | Johansen, S (1995) Likelihood-based inference in cointegrated vector autoregressive models | 0.843 | 4 | 3 | 75% |
| 8 | Carriero, A., Kapetanios, G., and Marcellino, M (2016) Structural analysis with multivariate autoregressive index models | 0.811 | 4 | 2 | 100% |
| 9 | Cubadda, G. and Hecq, A (2022) Dimension reduction for high dimensional vector autoregressive models self | 0.811 | 4 | 2 | 100% |
| 10 | Cubadda, G. and Hecq, A (2022) Reduced rank regression models in economics and finance self | 0.644 | 2 | 2 | 100% |
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