110 citations · 630 across the 32 of their papers we have counts for
Showing 2015 · stat.MEShow all
3 papers · 2 filters
stat.ME2015★ 5 cited
Generalized Yule-Walker Estimation for Spatio-Temporal Models with Unknown Diagonal Coefficients
Baojun Dou, Maria Lucia Parrella, Qiwei Yao
We consider a class of spatio-temporal models which extend popular econometric spatial autoregressive panel data models by allowing the scalar coefficients for each location (or pa…
stat.ME2015★ 2 cited
Identifying Cointegration by Eigenanalysis
Rongmao Zhang, Peter Robinson, Qiwei Yao
We propose a new and easy-to-use method for identifying cointegrated components of nonstationary time series, consisting of an eigenanalysis for a certain non-negative definite mat…
stat.ME2015★ 8 cited
High Dimensional and Banded Vector Autoregressions
Shaojun Guo, Yazhen Wang, Qiwei Yao
We consider a class of vector autoregressive models with banded coefficient matrices. The setting represents a type of sparse structure for high-dimensional time series, though the…