Search Results

Cointegration between trends and their estimators in state space models and CVAR models,
Soren Johansen and Morten Tabor, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: Cointegration of trends, State space models, CVAR models

Los ciclos económicos regionales en Colombia, 1986-2000,
Igor Esteban Zuccardi Huertas, from Banco de la República, Economía Regional (2002)
Keywords: Interrelación

COLOCAR MENOS CARTERA E INVERTIR EN TES: ¿UNA DECISIÓN ÓPTIMA?. ANÁLISIS DE LAS INVERSIONES EN LA BANCA COLOMBIANA, 1995-2003,
Romel Rodríguez Hernández, from Universidad de los Andes, Facultad de Economía, CEDE (2005)
Keywords: TES

Evolution and structure of unemployment in the metropolitan area of Cali 1988-1998. Does the unemployment rate present hysteresis?,
Carlos E. Castellar and José Ignacio Uribe, in Colombian Economic Journal (2005)
Keywords: Unemplyment rate,

Uma Aplicação de Modelos TAR para o Mercado de Carne de Frango no Brasil,
Leonardo de Mattos, Viviani Lirio, João Eustáquio de Lima and Antônio Carvalho Campos, in Economia (2010)
Keywords: Co-integração; integração de mercados; carne de frango; threshold; modelos TAR

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model,
Niels Møller, from Kiel Institute for the World Economy (IfW Kiel) (2008)
Keywords: Cointegrated VAR, unit root approximation, economic theory models, expectations, general equilibrium, DSGE models

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model,
Niels Møller, in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2008)
Keywords: Cointegrated VAR, unit root approximation, economic theory models, expectations, Hybrid New Keynesian Phillips Curve, general equilibrium

Identifying Proxy VARs with Restrictions on the Forecast Error Variance,
Tilmann Härtl, from Verein für Socialpolitik / German Economic Association (2022)

The smoothing of financial markets indices time series with polygonal numbers method,
Yury Agranovich, Natalya Kontsevaya and Vladimir Khatskevich, in Applied Econometrics (2010)
Keywords: Smoothing; polygonal numbers; weight factors; the moving averaging

The Statistical Analysis of the Consumer Attitudes toward the Hospitality Services from Romania,
Ramona Vasilescu and Saierli Olivia, in Ovidius University Annals, Economic Sciences Series (2010)
Keywords: consumer, hospitality services, Helmert unvaried test

An EWMA model application for quality control analysis in the production of primary aluminium: CVG-Venalum case,
Marianela Luzardo Briceño, in Economía (2006)
Keywords: aluminium, arima, weigh exponential moving averages, fluoride, reduction

Valid Inference in Partially Unstable GMM Models,
Hong Li and Ulrich Mueller, from University Library of Munich, Germany (2006)
Keywords: Structural Breaks; Parameter Stability Test; Contiguity; Euler Condition; New Keynesian Phillips Curve

Political Decisions, Defence and Growth,
Oya Erdogdu, from University Library of Munich, Germany (2007)
Keywords: Defense; Political Stability; Growth; VAR

The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?,
Fakhri Hasanov, from University Library of Munich, Germany (2012)
Keywords: Asymmetric adjustment; Threshold autoregressive; Momentum-threshold autoregressive; Exchange Rate; Non-oil Export; Azerbaijan Economy

The seasonal KPSS Test: some extensions and further results,
Ghassen El Montasser, from University Library of Munich, Germany (2014)
Keywords: KPSS test, deterministic seasonality, Brownian motion, LM test

The seasonal KPSS Test: some extensions and further results,
Ghassen El Montasser, from University Library of Munich, Germany (2014)
Keywords: KPSS test, deterministic seasonality, Brownian motion, LM test

Endogenous Money, Output and Prices in India,
Rituparna Das, from University Library of Munich, Germany (2009)
Keywords: Money, Output, Price, WPI, IIP, Credit, Commercial Bank, Endogeneity

Financial Market Dynamics: Superdiffusive or not?,
Sandhya Devi, from University Library of Munich, Germany (2016)
Keywords: Keywords: Tsallis distribution; stock market dynamics; Maximum Likelihood Estimate; nonlinear Fokker-Plank equation; superdiffusion; econophysics

Estudio del fenómeno de inflación importada vía precios del petróleo y su aplicación al caso colombiano mediante el uso de modelos VAR para el periodo 2000-2009,
Heivar Yesid Rodríguez Pinzón, in Estudios Gerenciales (2011)
Keywords: Inflación, inflación importada, modelos VAR, precios del petróleo, Colombia.

The Likelihood of a Continuous-time Vector Autoregressive Model,
J. Roderick McCrorie, from Queen Mary University of London, School of Economics and Finance (2000)
Keywords: Continuous-time, Vector autoregression, Exact likelihood, Time series

Assessment Of The Elasticity Of Republic Of Bulgaria’s Foreign Trade In Energy Resources By Means Of The Almon Model,
Lyubomir Lyubenov, in Business & Management Compass (2013)

A simple test for the equality of integration orders,
Javier Hualde, in Economics Letters (2013)
Keywords: Integration orders; Fractional differencing; Fractional cointegration;

Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility,
Dukpa Kim, in Economics Letters (2014)
Keywords: Heteroskedasticity; Local scale; Iteratively reweighted least squares;

A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables,
Anders Rygh Swensen, in Journal of Econometrics (2011)
Keywords: VAR models; Reduced rank; Stationary regressors; Bootstrap;

Regression-based analysis of cointegration systems,
Javier Gomez-Biscarri and Javier Hualde, in Journal of Econometrics (2015)
Keywords: Cointegrating space; Phillips’ triangular form; Johansen’s methodology; Regression-based cointegration testing;

Causality between economic growth and energy consumption in Croatia,
Tomislav Gelo, in Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics (2009)
Keywords: GDP, growth, energy, consumption, Granger causality

The Liquidity Effect: Identifying Permanent and Transitory Components of Money Growth,
William Crowder, from University Library of Munich, Germany (1997)
Keywords: liquidity effect, cointegration, structural VAR

The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations,
Marcin Faldzinski and Michal Pietrzak, from Institute of Economic Research (2015)
Keywords: DCC-GARCH model, interdependence, conditional variance

Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions,
Hyungsik Moon and Frank Schorfheide, from Institute of Economic Policy Research (IEPR) (2006)
Keywords: Empirical Likelihood Estimation, Generalized Method of Moments, Inequality Moment Conditions, Instrumental Variable Estimation, Monetary Policy Rules

Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions,
Frank Schorfheide and Hyungsik Moon, from C.E.P.R. Discussion Papers (2006)
Keywords: Empirical likelihood estimation; Generalized method of movements; Inequality moment conditions; Instrumental variable estimation; Monetary policy rules

Measuring international business cycles by saving for a rainy day,
Mario Crucini and Mototsugu Shintani, in Canadian Journal of Economics (2015)

Canadian monetary policy analysis using a structural VARMA model,
Mala Raghavan, George Athanasopoulos and Param Silvapulle, in Canadian Journal of Economics (2016)

The Chang-Kim-Park Model of Cointegrated Density-Valued Time Series Cannot Accommodate a Stochastic Trend,
Brendan Beare, in Econ Journal Watch (2017)
Keywords: Nonstationarity, cointegration, functional time series.

Modelos de predicción para la inflación de Chile,
Byron Idrovo and Mauricio Tejada, from University Library of Munich, Germany (2010)
Keywords: Inflación; curva de phillips; series de tiempo

The estimation of continuous time models with mixed frequency data,
Marcus Chambers, in Journal of Econometrics (2016)
Keywords: Continuous time; Mixed frequency data; Exact discrete time models; Stock and flow variables;

The exact discretisation of CARMA models with applications in finance,
Michael Thornton and Marcus Chambers, in Journal of Empirical Finance (2016)
Keywords: Continuous time ARMA process; Discrete time representation; Present value; Term structure;

Separating the wheat from the chaff: A disaggregate analysis of the effects of public spending in the US,
Hafedh Bouakez, Denis Larocque and Michel Normandin, in Canadian Journal of Economics (2018)

A VECM Model of Stockmarket Returns,
Nagaratnam J Sreedharan, from Econometric Society (2004)
Keywords: Cointegration (CI); VECM; VAR; return generation process (RGP).

SURGAT Seasonal Unit Roots Graphical Analysis and Testing device,
Ignacio Díaz-Emparanza, from University Library of Munich, Germany (2004)
Keywords: Seasonality, HEGY, Canova-Hansen

Yet another look at MIDAS regression,
Philip Hans Franses, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
Keywords: high frequency, low frequency, MIDAS regression

The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics,
Anthony Garratt, Kevin Lee and Kalvinder Shields, in Canadian Journal of Economics (2018)

A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects,
Clifford Hurvich and Yi Wang, from University Library of Munich, Germany (2009)
Keywords: Tick Time; Long Memory Stochastic Duration; Information Share

Unveiling the Carbon Footprint of Europe and Central Asia: Insights into the Impact of Key Factors on CO2 Emissions,
Muhammad Tufail Khan and Muhammad Imran, from University Library of Munich, Germany (2023)
Keywords: Carbon emissions; Economic growth; Renewable energy; FDI inflows; Industry value added, Population density; ARDL estimator.

Identification of Structural Vector Autoregressions by Stochastic Volatility,
Dominik Bertsche and Robin Braun, from Verein für Socialpolitik / German Economic Association (2018)
Keywords: Structural Vector Autoregression (SVAR), Identification via heteroskedasticity, Stochastic Volatility, Proxy SVAR

Volatility Spillover between Oil and Stock Market Returns,
B. Anand, Sunil Paul and M Ramachandran, in Indian Economic Review (2014)
Keywords: Crude Oil; Volatility Spillover; BEKK; Continuous Wavelet Transform

Temperature anomalies, radiative forcing and ENSO,
Claudio Morana and Giacomo Sbrana, from Rimini Centre for Economic Analysis (2017)
Keywords: Temperature anomaly, global warming, warming hiatus, radiative forcing, ENSO, El Niño, conditional heteroskedasticity, semiparametric dynamic conditional correlation model

Temperature anomalies, radiative forcing and ENSO,
Claudio Morana and Giacomo Sbrana, from University of Milano-Bicocca, Department of Economics (2017)
Keywords: Temperature anomaly, global warming, warming hiatus, radiative forcing, ENSO, El Niño, conditional heteroskedasticity, semiparametric dynamic conditional correlation model.

Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models,
Byeongseon Seo, from Econometric Society (2004)
Keywords: Nonlinearity; Smooth Transition; VECM

Continuous time ARMA processes: Discrete time representation and likelihood evaluation,
Michael Thornton and Marcus Chambers, in Journal of Economic Dynamics and Control (2017)
Keywords: Continuous time; ARMA process; State space; Discrete time representation; Mixed frequency;

Spectral density of Markov-switching VARMA models,
Maddalena Cavicchioli, in Economics Letters (2013)
Keywords: Markov-switching VARMA; Spectral density; Stable VARMA representation;

Nonstationary GARCH with t-distributed innovations,
Rasmus Pedersen and Anders Rahbek, in Economics Letters (2016)
Keywords: Asymptotic theory; GARCH; Maximum likelihood; Nonstationarity; t-distribution;

Least squares estimation in a simple random coefficient autoregressive model,
Soren Johansen and Theis Lange, in Journal of Econometrics (2013)
Keywords: Time series; Explosive processes; Bubble models; Stable limits;

Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data,
Marcus Chambers, in Journal of Econometrics (2020)
Keywords: Mixed frequency data; Mixed sample data; Cointegration; Spectral regression;

Unit root vector autoregression with volatility induced stationarity,
Heino Bohn Nielsen and Anders Rahbek, in Journal of Empirical Finance (2014)
Keywords: Vector autoregression; Unit root; Reduced rank; Volatility induced stationarity; Term structure; Double autoregression;

Temperature Anomalies, Radiative Forcing and ENSO,
Claudio Morana and Giacomo Sbrana, from Fondazione Eni Enrico Mattei (2017)
Keywords: Temperature Anomaly, Global Warming, Warming Hiatus, Radiative Forcing, ENSO, El Niño, Conditional Heteroskedasticity, Semiparametric Dynamic Conditional Correlation Model

Estimating structural VARMA models with uncorrelated but non-independent error terms,
Yacouba Boubacar Mainassara and Christian Francq, from University Library of Munich, Germany (2009)
Keywords: Echelon form; Lagrange Multiplier test; Likelihood Ratio test; Nonlinear processes; QMLE; Structural representation; VARMA models; Wald test.

Testing for the cointegration rank between Periodically Integrated processes,
Tomás del Barrio Castro, from University Library of Munich, Germany (2021)
Keywords: Reduced Rank Regression,Periodic Cointegration, Periodically Integrated Processes.

Testing for the cointegration rank between Periodically Integrated processes,
Tomás del Barrio Castro, from University Library of Munich, Germany (2022)
Keywords: Reduced Rank Regression,Periodic Cointegration, Periodically Integrated Processes.

Periodic Integration and Seasonal Unit Roots,
Tomás del Barrio Castro and Denise Osborn, from University Library of Munich, Germany (2023)
Keywords: Periodic Integration, Seasonal Integration, Vector of Seasons, Circulant Matrices, Demodulator Operator, Industrial Production.

Alternative forms of fractional Brownian motion,
D Marinucci and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (1998)
Keywords: Fractional Brownian motion; nonstationary time series; longrange dependence.

Weak convergence of multivariate fractional processes,
D Marinucci and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (1998)
Keywords: Nonstationary fractional integration; functional central limit theorem

Multiple local whittle estimation in stationary systems,
Peter M. Robinson, from London School of Economics and Political Science, LSE Library (2007)
Keywords: Long memory; phase; cointegration; semiparametric estimation; consistency; asymptotic normality.

Diagnostic testing for cointegration,
Peter Robinson, from London School of Economics and Political Science, LSE Library (2007)
Keywords: Fractional cointegration; Diagnostic testing; Specification testing; Cointegrating rank; Semiparametric estimation.

Semiparametric Estimation of Fractional Cointegration,
Javier Hualde and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (2006)
Keywords: Fractional cointegration; semiparametric model; unknown integration orders

Instrumental variables estimation of stationary and nonstationary cointegrating regressions,
Peter M. Robinson and Margherita Gerolimetto, from London School of Economics and Political Science, LSE Library (2006)
Keywords: Cointegration; Instrumental variables estimation; I (d) processes

Root-n-consistent estimation of weak fractional cointegration,
J. Hualde and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (2006)
Keywords: Fractional cointegration; Parametric estimation; Asymptotic normality

On discrete sampling of time-varying continuous-time systems,
Peter Robinson, from London School of Economics and Political Science, LSE Library (2007)
Keywords: Stochastic differential equations; time-varying coefficients; discrete sampling; irregular sampling.

Estimation of nonlinear error correction models,
Myung Hwan Seo, from London School of Economics and Political Science, LSE Library (2007)
Keywords: Threshold Cointegration; Smooth Transition Error Correction; Least Squares; Smoothed Least Squares; Consistency; Convergence Rate

Band spectrum regression for cointegrated time series with long memory innovations,
D. Marinucci, from London School of Economics and Political Science, LSE Library (1998)
Keywords: Long-range dependence; band spectrum regression; cointegration

Inference on nonparametrically trending time series with fractional errors,
Peter Robinson, from London School of Economics and Political Science, LSE Library (2008)

ON THE DYNAMICS OF UNEMPLOYMENT IN A DEVELOPING ECONOMY: COLOMBIA,
Ana Iregui and Jesus Otero, from Banco de la Republica (2002)
Keywords: Unemployment,

The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis,
Ghassen El Montasser, Talel Boufateh and Fakhri Issaoui, from Economics and Econometrics Research Institute (EERI), Brussels (2013)
Keywords: Deterministic seasonality, Seasonal KPSS Test, Monte Carlo Simulations.

Identifiability, cointegration and the gravity model,
Andrew Hunt and David Blake, in Insurance: Mathematics and Economics (2018)
Keywords: Mortality modelling; Age/period/cohort models; Multi-population modelling; Coherent mortality projection; Gravity model;

On the application of the rank tests for nonlinear cointegration to PPP: The case of Papua New Guinea,
Venus Liew, Tai-Hu Ling, Ricky Chia and Gawon Yoon, in Economic Modelling (2012)
Keywords: Nonlinearity; Cointegration; Rank tests; Purchasing power parity;

Arbeitstageeffekt und Bruttoinlandsprodukt: eine empirische Analyse mit einem strukturellen Komponentenmodel,
Gebhard Flaig, in ifo Schnelldienst (2000)
Keywords: Sozialprodukt, Konjunkturforschung, Ökonometrisches Makromodell

Time-varying Business Cycles Synchronisation in Europe,
Stavros Degiannakis, David Duffy and George Filis, from University Library of Munich, Germany (2013)
Keywords: Scalar-BEKK, Multivariate Riskmetrics, time varying correlation, EU business cycle, business cycle synchronisation.

Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities,
Martin Sola and Zacharias Psaradakis, from Universidad Torcuato Di Tella (2017)
Keywords: Markov-switching models; Maximum likelihood; Monte Carlo experiments; Time-varying transition probabilities

Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis,
Francisco Estrada and Pierre Perron, in Revista Economía (2019)
Keywords: Segmented trends; Temperatures; Greenhouse gases; Radiative forcings; Anthropogenic influence

Are VAR Models Good Enough?,
Farshid Vahid and George Athanasopoulos, from Econometric Society (2004)
Keywords: Multivariate time series models, VARMA models, identification, forecasting.

Bayesian Methods for Empirical Macroeconomics,
Gary Koop, in Review of Economic Analysis (2017)
Keywords: "multivariate time series, vector autoregression, state space model"

Estimation of the Long-run GDP Growth Rate Using the TVP-ARX-SV Model,
Ekaterina V. Malikova and Nikita Fokin, in Russian Economic Development (2022)
Keywords: real GDP, oil prices, long-term growth rate, time-varying parameters

Оценка трендового темпа роста ВВП при помощи TVP-ARX-SV-модели,
Ekaterina V. Malikova and Nikita Fokin, in Russian Economic Development (in Russian) (2022)
Keywords: реальный ВВП, цены на нефть, трендовый темп роста, меняющиеся во времени параметры

Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes,
Javier Hualde and Fabrizio Iacone, in Economics Letters (2017)
Keywords: Long run variance estimation; Fractional integration; Large-m and fixed-m asymptotic theory;

Testing for Strong Exogeneity in Proxy-VARS,
Martin Bruns and Sascha Keweloh, from School of Economics, University of East Anglia, Norwich, UK. (2023)
Keywords: Structural vector autoregression, proxy VAR, exogeneity test

Generalized dynamic factor models and volatilities: recovering the market volatility shocks,
Matteo Barigozzi and Marc Hallin, from London School of Economics and Political Science, LSE Library (2015)
Keywords: Volatility; Dynamic Factor Models; Block Structure

Generalized dynamic factor models and volatilities estimation and forecasting,
Matteo Barigozzi and Marc Hallin, from London School of Economics and Political Science, LSE Library (2017)
Keywords: volatility; dynamic factor models; GARCH models

Modeling the Behavior of Prague Stock Exchange Index (PX-50),
Martina Hornikova, from University Library of Munich, Germany (2003)
Keywords: Czech stock exchange PX-50 GARCH

Powerful Trend Function Tests That are Robust to Strong Serial Correlation with an Application to the Prebisch Singer Hypothesis,
Helle Bunzel and Timothy Vogelsang, from University Library of Munich, Germany (2003)
Keywords: Estimator, Fixed-b Asymptotics, Power Envelope, Unit Root, Nearly Integrated, Partial Sum, Deterministic Trend, Linear Trend.

Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints,
Tommaso Proietti and Filippo Moauro, from University Library of Munich, Germany (2004)

Error correction models for fractionally cointegrated time series,
Ingolf Dittmann, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000)
Keywords: error correction model, fractional cointegration, Granger Representation Theorem