Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate
Year of publication: |
2023
|
---|---|
Authors: | Blazsek, Szabolcs ; Escribano, Álvaro ; Licht, Adrian |
Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1469-8056, ZDB-ID 1501533-6. - Vol. 27.2023, 1, p. 203-223
|
Subject: | dynamic conditional score (DCS) | generalized autoregressive score (GAS) | Nonlinear co-integration | nonlinear common trends | quasi-vector autoregressive moving average (QVARMA) | USA | United States | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Kointegration | Cointegration | Theorie | Theory |
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