[1] T. W. Anderson: The use of factor analysis in the statistical analysis of multiple time series. Psychometrika 28 (1963), 1-25. MR 0165648 | Zbl 0209.20402

[2] G. E. P. Box, G. C. Tiao: A canonical análysis of multiple time series. Biometrika 64 (1977), 355-65. MR 0519089 | Zbl 0362.62091

[3] D. R. Brillinger: Time Series: Data Analysis and Theory. Holt, Rinehart and Wilson, New York 1975. MR 0443257 | Zbl 0321.62004

[4] J. E. H. Davidson D. F. Hendry F. Srba, S. Yeo: Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom. Econom. J. 86 (1978), 661-692.

[5] D. A. Dickey, W. A. Fuller: Distribution of the estimators for autoregressive time series with a unit root. J. Amer. Statist. Soc. 74 (1979), 427-31. MR 0548036 | Zbl 0413.62075

[6] D. A. Dickey, W. A. Fuller: Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49 (1981), 1057-72. MR 0625773 | Zbl 0471.62090

[7] W. Dunsmuir: A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise. Ann. Statist. 7 (1979), 490-506. MR 0527485 | Zbl 0406.62068

[8] W. Dunsmuir, E. J. Hannan: Vector linear time series models. Adv. in Appl. Probab. 8 (1976), 339-364. MR 0451578 | Zbl 0327.62055

[9] R. F. Engle, M. W. Watson: A one-factor multivariate time series model of metropolitan wage rates. J. Amer. Statist. Soc. 76 (1981), 774-781.

[10] R. F. Engle, C. W. J. Granger: Cointegration and error correction: representation, estimation and testing. Econometrica 55 (1987), 251-276. MR 0882095

[11] F. J. Fernández-Macho: Estimation and testing of a multivariate exponential smoothing model. J. Time Ser. Anal. 11 (1990), 89-105. MR 1046982

[12] F. J. Fernández-Macho A. C. Harvey, J. H. Stock: Forecasting and interpolation using vector autoregressions with common trends. Annales Économie Statist. 6-7 (1987), 279-287. MR 0925058

[13] N. G. Fountis, D. A. Dickey: Testing for a unit root nonstationarity in multivariate autoregressive time series. Paper presented in: Statistics: An Appraisal, International Conference to Mark the 50th Anniversary of the Iowa State University Statistical Laboratory, 1983.

[14] W. A. Fuller: Introduction to Statistical Time Series. Wiley, New York 1976. MR 0448509 | Zbl 0353.62050

[15] W. A. Fuller: Nonstationary autoregressive time series. In: Handbook of Statistics 5: Time Series in the Time Domain (E. Hannan, P. Krishnaiah and M. Rao, eds.), North-Holland, Amsterdam 1985, pp. 1-23. MR 0831743

[16] J. Geweke: The dynamic factor analysis of economic time-series models. In: Latent Variables in Socio-Economic Models (D. Aigner and A. Goldberger, eds.), North-Holland, New York 1977. Zbl 0389.62075

[17] J. Geweke, K. Singleton: Maximum likelihood confirmatory factor analysis of economic time series. Internat. Econom. Rev. 22 (1981), 37-54. MR 0614346 | Zbl 0483.90037

[18] J. Gonzalo, C. W. J. Granger: Estimation and common long-memory components in cointegrated systems. J. Business and Economic Statistics 13 (1995), 17-35. MR 1323047

[19] C. W. J. Granger, R. F. Engle: Dynamic model specification with equilibrium constraints: Co-integration and error-correction. Discussion Paper 85-18, University of California, San Diego 1985.

[20] A. C. Harvey, P. H. J. Todd: Forecasting economic time series with structural and Box-Jenkins models (with comments). J. Business and Economic Statistics 1 (1983), 299-315.

[21] S. C. Hillmer, G. C. Tiao: Likelihood function of stationary multiple autoregressive moving average models. J. Amer. Statist. Soc. 74 (1979), 652-660. MR 0548261 | Zbl 0419.62069

[22] S. Johansen: Statistical analysis of cointegration vectors. J. Economic Dynamics Control 12 (1988), 231-254. MR 0986516 | Zbl 0647.62102

[23] S. Johansen: Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica 59 (1991), 6, 1551-1580. MR 1135641 | Zbl 0755.62087

[24] H. S. Lee: Maximum likelihood inference on cointegration and seasonal cointegration. J. Econometrics 54 (1992), 1-47. MR 1192472 | Zbl 0757.62058

[25] J. R. Magnus, H. Neudecker: Matrix differential calculus with applications in Statistics and Econometrics. Wiley, New York 1988. MR 0940471 | Zbl 0651.15001

[26] P. C. M. Molenaar: A dynamic factor model for the analysis of multivariate time series. Psychometrika 50 (1985), 181-202. . Zbl 0603.62099

[27] A. R. Pagan: A note on the extraction of components from time series. Econometrica 43 (1975), 163-168. Zbl 0291.62124

[28] M. B. Priestley T. Subba Rao, H. Tong: Identification of the structure of multivariable stochastic systems. In: Multivariate Analysis III (P. Krishnaiah, ed.), Academic Press, New York 1973, pp. 351-368. MR 0331690

[29] M. B. Priestley T. Subba Rao, H. Tong: Applications of principal component analysis and factor analysis in the identification of multivariate systems. IEEE Trans. Automat. Control 19 (1974), 730-734.

[30] C. R. Rao, S. K. Mitra: Generalized Inverse of Matrices and its Applications. Wiley, New York 1971. MR 0338013 | Zbl 0236.15005

[31] M. Salmon: Error correction mechanisms. Econom. J. 92 (1982), 615-629.

[32] J. D. Sargan: Wages and prices in the UK: a study in econometric methodology. In: Econometric Analysis for National Economic Planning (P. Hart, G. Mills and J. Whittaker, eds.), Butterworths, London 1981.

[33] J. D. Sargan, A. Bhargava: Maximum likelihood estimation of regression models with MA(1) errors when the root lies on the unit circle. Econometrica 51 (1983), 799-820. MR 0712371

[34] C. A. Sims: An autoregressive index model for the U.S., 1948-1975. In: Large-Scale Macro-Econometric Models (J. Kmenta and J. Ramsey, eds.), North-Holland, Amsterdam 1981, pp. 283-327.

[35] J. Stock: Asymptotic properties of least-squares estimators of cointegrating vectors. Econometrica 55 (1987), 1035-56. MR 0913360 | Zbl 0651.62105

[36] J. H. Stock, M. W. Watson: Testing for common trends. J. Amer. Statist. Soc. 83 (1988), 1097-1107. MR 0997588 | Zbl 0673.62099

[37] T. Subba Rao: An innovation approach to the reduction of the dimensions in a multivariate stochastic system. Internat. J. Control 21 (1975), 673-680. MR 0378973

[38] R. P. Velu G. C. Reinsel, D. W. Wichern: Reduced rank models for multiple time series. Biometrika 73 (1986), 105-118. MR 0836438