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subject:"Zeitreihenanalyse"
~isPartOf:"Journal of applied econometrics"
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Zeitreihenanalyse
Microeconometrics
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560
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560
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142
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142
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136
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136
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Pesaran, M. Hashem
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Dijk, Herman K. van
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Neusser, Klaus
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Nielsen, Morten Ørregaard
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Sola, Martin
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Journal of applied econometrics
Journal of econometrics
367
Economics letters
307
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304
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257
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174
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106
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105
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100
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105
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1
Deep distributional time series models and the probabilistic forecasting of intraday electricity prices
Klein, Nadja
;
Smith, Michael S.
;
Nott, David J.
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 493-511
Persistent link: https://www.econbiz.de/10014288014
Saved in:
2
Forecasting low-frequency macroeconomic events with high-frequency data
Galvão, Ana Beatriz C.
;
Owyang, Michael T.
- In:
Journal of applied econometrics
37
(
2022
)
7
,
pp. 1314-1333
Persistent link: https://www.econbiz.de/10013473971
Saved in:
3
The macroeconomy as a random forest
Goulet Coulombe, Philippe
- In:
Journal of applied econometrics
39
(
2024
)
3
,
pp. 401-421
Persistent link: https://www.econbiz.de/10014517490
Saved in:
4
A high-dimensional multinomial logit model
Nibbering, Didier
- In:
Journal of applied econometrics
39
(
2024
)
3
,
pp. 481-497
Persistent link: https://www.econbiz.de/10014517502
Saved in:
5
US weekly economic index : replication and extension
Wegmüller, Philipp
;
Glocker, Christian
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 977-985
Persistent link: https://www.econbiz.de/10014432206
Saved in:
6
Nowcasting tail risk to economic activity at a weekly frequency
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 843-866
Persistent link: https://www.econbiz.de/10013464633
Saved in:
7
Macroeconomic forecasting in a multi-country context
Bai, Yu
;
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, …
- In:
Journal of applied econometrics
37
(
2022
)
6
,
pp. 1230-1255
Persistent link: https://www.econbiz.de/10013464673
Saved in:
8
Individual forecaster perceptions of the persistence of shocks to GDP
Clements, Michael P.
- In:
Journal of applied econometrics
37
(
2022
)
3
,
pp. 640-656
Persistent link: https://www.econbiz.de/10013186706
Saved in:
9
Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei
;
Hara, Naoko
- In:
Journal of applied econometrics
37
(
2022
)
4
,
pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
Saved in:
10
Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Warne, Anders
;
Coenen, Günter
;
Christoffel, Kai
- In:
Journal of applied econometrics
32
(
2017
)
1
,
pp. 103-119
Persistent link: https://www.econbiz.de/10011688267
Saved in:
11
Weak and strong cross-sectional dependence : a panel data analysis of international technology diffusion
Ertur, Kamil C.
;
Musolesi, Antonio
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 477-503
Persistent link: https://www.econbiz.de/10011690519
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12
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
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13
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 263-290
Persistent link: https://www.econbiz.de/10011327609
Saved in:
14
Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
- In:
Journal of applied econometrics
29
(
2014
)
1
,
pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
Saved in:
15
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Gospodinov, Nikolaj
;
Lkhagvasuren, Damba
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 843-859
Persistent link: https://www.econbiz.de/10010414842
Saved in:
16
The dynamics of real exchange rates : a reconsideration
Kaufmann, Hendrik
;
Heinen, Florian
;
Sibbertsen, Philipp
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 758-773
Persistent link: https://www.econbiz.de/10010414852
Saved in:
17
Generalized autoregressive score models with applications
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
28
(
2013
)
5
,
pp. 777-795
Persistent link: https://www.econbiz.de/10010351100
Saved in:
18
Forecasting with medium and large Bayesian VARs
Koop, Gary
- In:
Journal of applied econometrics
28
(
2013
)
2
,
pp. 177-203
Persistent link: https://www.econbiz.de/10009733340
Saved in:
19
Dynamic stochastic copula models : estimation, inference and applications
Hafner, Christian M.
;
Manner, Hans
- In:
Journal of applied econometrics
27
(
2012
)
2
,
pp. 269-295
Persistent link: https://www.econbiz.de/10009618639
Saved in:
20
EViews 7.2
McKenzie, Colin
;
Takaoka, Sumiko
- In:
Journal of applied econometrics
27
(
2012
)
7
,
pp. 1205-1210
Persistent link: https://www.econbiz.de/10009677965
Saved in:
21
Estimating time variation in measurement error from data revisions : an application to backcasting and forecasting in dynamic models
Kapetanios, George
;
Yates, Anthony
- In:
Journal of applied econometrics
25
(
2010
)
5
,
pp. 869-893
Persistent link: https://www.econbiz.de/10008667439
Saved in:
22
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
Creal, Drew
;
Koopman, Siem Jan
;
Zivot, Eric
- In:
Journal of applied econometrics
25
(
2010
)
4
,
pp. 695-719
Persistent link: https://www.econbiz.de/10008667461
Saved in:
23
Forecast comparisons in unstable environments
Giacomini, Raffaella
;
Rossi, Barbara
- In:
Journal of applied econometrics
25
(
2010
)
4
,
pp. 595-620
Persistent link: https://www.econbiz.de/10008667472
Saved in:
24
Dating and forecasting turning points by Bayesian clustering with dynamic structure : a suggestion with an application to Austrian data
Kaufmann, Sylvia
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 309-344
Persistent link: https://www.econbiz.de/10008667598
Saved in:
25
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben
;
Bollerslev, Tim
;
Frederiksen, Per
; …
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
Saved in:
26
A re-examination of the stationarity of inflation
Cook, Steven
- In:
Journal of applied econometrics
24
(
2009
)
6
,
pp. 1047-1053
Persistent link: https://www.econbiz.de/10003886958
Saved in:
27
Assessing the performance of matching algorithms when selection into treatment is strong
Augurzky, Boris
;
Kluve, Jochen
- In:
Journal of applied econometrics
22
(
2007
)
3
,
pp. 533-557
Persistent link: https://www.econbiz.de/10003455473
Saved in:
28
Bayes model averaging of cyclical decompositions in economic time series
Kleijn, Richard
;
Dijk, Herman K. van
- In:
Journal of applied econometrics
21
(
2006
)
2
,
pp. 191-212
Persistent link: https://www.econbiz.de/10003310043
Saved in:
29
Temporal aggregation of an estar process : some implications for purchasing power parity adjustment
Payá, Ivan
;
Peel, David
- In:
Journal of applied econometrics
21
(
2006
)
5
,
pp. 655-668
Persistent link: https://www.econbiz.de/10003360464
Saved in:
30
Structural time series modelling with stamp 6.02
Teyssière, Gilles
;
David, Martin Heidenhain
- In:
Journal of applied econometrics
20
(
2005
)
4
,
pp. 571-577
Persistent link: https://www.econbiz.de/10002988010
Saved in:
31
Evidence on purchasing power parity from univariate models : the case of smooth transition trend-stationarity
Sollis, Robert
- In:
Journal of applied econometrics
20
(
2005
)
1
,
pp. 79-98
Persistent link: https://www.econbiz.de/10003027416
Saved in:
32
Monitoring structural change in dynamic econometric models
Zeileis, Achim
;
Leisch, Friedrich
;
Kleiber, Christian
; …
- In:
Journal of applied econometrics
20
(
2005
)
1
,
pp. 99-121
Persistent link: https://www.econbiz.de/10003027431
Saved in:
33
Partially overlapping time series : a new model for volatility dynamics in commodity futures
Smith, Aaron D.
- In:
Journal of applied econometrics
20
(
2005
)
3
,
pp. 405-422
Persistent link: https://www.econbiz.de/10002807215
Saved in:
34
Selection correction and sensitivity analysis for ordered treatment effect on count response
Lee, Myoung-jae
- In:
Journal of applied econometrics
19
(
2004
)
3
,
pp. 323-337
Persistent link: https://www.econbiz.de/10002102159
Saved in:
35
Modelling low income transitions
Cappellari, Lorenzo
;
Jenkins, Stephen
- In:
Journal of applied econometrics
19
(
2004
)
5
,
pp. 593-610
Persistent link: https://www.econbiz.de/10002342779
Saved in:
36
A general test for time dependence in parameters
Becker, Ralf
;
Enders, Walter
;
Hurn, Stan
- In:
Journal of applied econometrics
19
(
2004
)
7
,
pp. 899-906
Persistent link: https://www.econbiz.de/10002467876
Saved in:
37
Individual heterogeneity and censoring in panel data estimates of tobacco expenditure
Jones, Andrew M.
;
Labeaga, José M.
- In:
Journal of applied econometrics
18
(
2003
)
2
,
pp. 157-177
Persistent link: https://www.econbiz.de/10001754937
Saved in:
38
Time irreversibility and EGARCH effects in US stock index returns
Chen, Yi-ting
;
Kuan, Chung-ming
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 565-578
Persistent link: https://www.econbiz.de/10001709316
Saved in:
39
Censored latent effects autoregression, with an application to US unemployment
Franses, Philip Hans
;
Paap, Richard
- In:
Journal of applied econometrics
17
(
2002
)
4
,
pp. 347-366
Persistent link: https://www.econbiz.de/10001690455
Saved in:
40
Bounds testing approaches to the analysis of level relationships
Pesaran, M. Hashem
;
Shin, Yongcheol
;
Smith, Richard J.
- In:
Journal of applied econometrics
16
(
2001
)
3
,
pp. 289-326
Persistent link: https://www.econbiz.de/10001591901
Saved in:
41
Descriptive econometrics for non-stationary time series with empirical illustrations
Phillips, Peter C. B.
- In:
Journal of applied econometrics
16
(
2001
)
3
,
pp. 389-413
Persistent link: https://www.econbiz.de/10001592353
Saved in:
42
Testing against smooth stochastic trends
Nyblom, Jukka
;
Harvey, Andrew C.
- In:
Journal of applied econometrics
16
(
2001
)
3
,
pp. 415-429
Persistent link: https://www.econbiz.de/10001592354
Saved in:
43
Bayesian semiparametric estimation of discrete duration models : an application of the Dirichlet process prior
Campolieti, Michele
- In:
Journal of applied econometrics
16
(
2001
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001557362
Saved in:
44
Trend-stationary GNP : evidence from a new exact pointwise most powerful invariant unit root test
Shively, Philip A.
- In:
Journal of applied econometrics
16
(
2001
)
4
,
pp. 537-551
Persistent link: https://www.econbiz.de/10001601913
Saved in:
45
A score test for non-nested hypotheses with applications to discrete data models
Silva, João Santos
- In:
Journal of applied econometrics
16
(
2001
)
5
,
pp. 577-597
Persistent link: https://www.econbiz.de/10001619254
Saved in:
46
Near unit roots, cointegration, and the term structure of interest rates
Lanne, Markku
- In:
Journal of applied econometrics
15
(
2000
)
5
,
pp. 513-529
Persistent link: https://www.econbiz.de/10001533584
Saved in:
47
The error structure of time series cross-section hedonic models with sporadic event timing and serial correlation
Amacher, Gregory S.
;
Hellerstein, Daniel
- In:
Journal of applied econometrics
14
(
1999
)
3
,
pp. 233-252
Persistent link: https://www.econbiz.de/10001405126
Saved in:
48
Common cycles in seasonal non-stationary time series
Cubadda, Gianluca
- In:
Journal of applied econometrics
14
(
1999
)
3
,
pp. 273-291
Persistent link: https://www.econbiz.de/10001405546
Saved in:
49
Testing for ARCH in the presence of addiative outliers
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
- In:
Journal of applied econometrics
14
(
1999
)
5
,
pp. 539-562
Persistent link: https://www.econbiz.de/10001421498
Saved in:
50
A Monte Carlo study of the forecasting performance of empirical SETAR models
Clements, Michael P.
;
Smith, Jeremy
- In:
Journal of applied econometrics
14
(
1999
)
2
,
pp. 123-141
Persistent link: https://www.econbiz.de/10001387355
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