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subject:"Zeitreihenanalyse"
subject:"Statistical theory"
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Zeitreihenanalyse
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Forni, Mario
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The review of economics and statistics
Journal of econometrics
382
Economics letters
333
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303
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270
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
136
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114
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
107
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103
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
101
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97
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Working paper / Department of Econometrics and Business Statistics, Monash University
82
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1
Why you should never use the Hodrick-Prescott filter
Hamilton, James D.
- In:
The review of economics and statistics
100
(
2018
)
5
,
pp. 831-843
Persistent link: https://www.econbiz.de/10011959934
Saved in:
2
The explicit formula for the Hodrick-Prescott filter in a finite sample
Cornea-Madeira, Adriana
- In:
The review of economics and statistics
99
(
2017
)
2
,
pp. 314-318
Persistent link: https://www.econbiz.de/10011781053
Saved in:
3
Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
The review of economics and statistics
98
(
2016
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011477094
Saved in:
4
The econometrics of the Hodrick-Prescott filter
Jong, Robert M. de
;
Sakarya, Neslihan
- In:
The review of economics and statistics
98
(
2016
)
2
,
pp. 310-317
Persistent link: https://www.econbiz.de/10011477245
Saved in:
5
Dynamic hierarchical factor models
Mönch, Emanuel
;
Ng, Serena
;
Potter, Simon M.
- In:
The review of economics and statistics
95
(
2013
)
5
,
pp. 1811-1817
Persistent link: https://www.econbiz.de/10010350633
Saved in:
6
An alternative asymptotic analysis of residual-based statistics
Werker, Bas J. M.
;
Andreou, Elena
- In:
The review of economics and statistics
94
(
2012
)
1
,
pp. 88-99
Persistent link: https://www.econbiz.de/10009565395
Saved in:
7
Simultaneous confidence regions for impulse responses
Jordà, Òscar
- In:
The review of economics and statistics
91
(
2009
)
3
,
pp. 629-647
Persistent link: https://www.econbiz.de/10003880349
Saved in:
8
Inference on predictability of foreign exchange rates via generalized spectrum and nonlinear time series models
Hong, Yongmiao
;
Lee, Tae-hwy
- In:
The review of economics and statistics
86
(
2004
)
3
,
pp. 840
Persistent link: https://www.econbiz.de/10002223498
Saved in:
9
Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects
Mikosch, Thomas
;
Starica, Catalin
- In:
The review of economics and statistics
86
(
2004
)
1
,
pp. 378-390
Persistent link: https://www.econbiz.de/10002018201
Saved in:
10
Inference on via generalized spectrum and non-linear time series models
Hong, Yongmiao
;
Lee, Tae-hwy
- In:
The review of economics and statistics
85
(
2003
)
4
,
pp. 1048-1062
Persistent link: https://www.econbiz.de/10001832972
Saved in:
11
General model-based filters for extracting cycles and trends in economic time series
Harvey, Andrew C.
;
Trimbur, Thomas M.
- In:
The review of economics and statistics
85
(
2003
)
2
,
pp. 244-255
Persistent link: https://www.econbiz.de/10001762174
Saved in:
12
Cyclical properties of Baxter-King filtered time series
Murray, Christian J.
- In:
The review of economics and statistics
85
(
2003
)
2
,
pp. 472-476
Persistent link: https://www.econbiz.de/10001762843
Saved in:
13
On adjustment the Hodrick-Prescott filter for frequency observations
Ravn, Morten O.
;
Uhlig, Harald
- In:
The review of economics and statistics
84
(
2002
)
2
,
pp. 371-376
Persistent link: https://www.econbiz.de/10001692263
Saved in:
14
A measure of comovement for economic variables : theory and empirics
Croux, Christophe
;
Forni, Mario
;
Reichlin, Lucrezia
- In:
The review of economics and statistics
83
(
2001
)
2
,
pp. 232-241
Persistent link: https://www.econbiz.de/10001579515
Saved in:
15
The generalized dynamic-factor model : identification and estimation
Forni, Mario
(
contributor
)
- In:
The review of economics and statistics
82
(
2000
)
4
,
pp. 540-554
Persistent link: https://www.econbiz.de/10001533459
Saved in:
16
Consumption and credit : a model of time-varying liquidity constraints
Ludvigson, Sydney C.
- In:
The review of economics and statistics
81
(
1999
)
3
,
pp. 434-447
Persistent link: https://www.econbiz.de/10001406168
Saved in:
17
Transition models with measurement errors
Magnac, Thierry
;
Visser, Michael S.
- In:
The review of economics and statistics
81
(
1999
)
3
,
pp. 466-475
Persistent link: https://www.econbiz.de/10001406174
Saved in:
18
Asymmetric time series and temporal aggregation
Brännäs, Kurt
;
Ohlsson, Henry
- In:
The review of economics and statistics
81
(
1999
)
2
,
pp. 341-344
Persistent link: https://www.econbiz.de/10001380910
Saved in:
19
Measuring business cycles : approximate band-pass filters for economic time series
Baxter, Marianne
;
King, Robert G.
- In:
The review of economics and statistics
81
(
1999
)
4
,
pp. 575-593
Persistent link: https://www.econbiz.de/10001437342
Saved in:
20
Maximum-likelihood estimation of fractional cointegration with and application to US and Canadian bond rates
Dueker, Michael
- In:
The review of economics and statistics
80
(
1998
)
3
,
pp. 420-426
Persistent link: https://www.econbiz.de/10001245211
Saved in:
21
On the size and power of system tests for cointegration
Bewley, Ronald A.
- In:
The review of economics and statistics
80
(
1998
)
4
,
pp. 675-679
Persistent link: https://www.econbiz.de/10001254683
Saved in:
22
Bootstrapping multivariate spectra
Berkowitz, Jeremy
- In:
The review of economics and statistics
80
(
1998
)
4
,
pp. 664-666
Persistent link: https://www.econbiz.de/10001254685
Saved in:
23
Forecasting asymmetric unemployment rates
Rothman, Philip
- In:
The review of economics and statistics
80
(
1998
)
1
,
pp. 164-168
Persistent link: https://www.econbiz.de/10001235766
Saved in:
24
Accounting for dropouts in evaluations of social programs
Heckman, James J.
- In:
The review of economics and statistics
80
(
1998
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10001235795
Saved in:
25
On seasonal cycles, unit roots, and mean shifts
Franses, Philip Hans
- In:
The review of economics and statistics
80
(
1998
)
2
,
pp. 231-245
Persistent link: https://www.econbiz.de/10001240839
Saved in:
26
Tests of the specification of univariate and bivariate ordered probit
Butler, John S.
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 343-347
Persistent link: https://www.econbiz.de/10001222396
Saved in:
27
Alternative forms of the score test for heterogeneity in a censored exponential model
Jaggia, Sanjiv
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 340-343
Persistent link: https://www.econbiz.de/10001222398
Saved in:
28
Nonparametric tests for the independence of regressors and disturbances as specification tests
Johnson, David S.
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 335-340
Persistent link: https://www.econbiz.de/10001222402
Saved in:
29
Notes on the dynamic properties of asymmetric models of real GNP
Brunner, Allan D.
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 321-326
Persistent link: https://www.econbiz.de/10001222407
Saved in:
30
Public capital and private productivity
Vijverberg, Wim P. M.
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 267-278
Persistent link: https://www.econbiz.de/10001222415
Saved in:
31
How fast do economies converge?
Evans, Paul D.
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 219-225
Persistent link: https://www.econbiz.de/10001222491
Saved in:
32
Multiple trend breaks and the unit-root hypothesis
Lumsdaine, Robin L.
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 212-218
Persistent link: https://www.econbiz.de/10001222493
Saved in:
33
Growth rates of per-capita income and aggregate welfare : an international comparison
Kakwani, Nanak
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 201-211
Persistent link: https://www.econbiz.de/10001222495
Saved in:
34
Estimating deterministic trends in the presence of serially correlated errors
Canjels, Eugene
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 184-200
Persistent link: https://www.econbiz.de/10001222497
Saved in:
35
Estimating the density tail index for financial time series
Kearns, Phillip
- In:
The review of economics and statistics
79
(
1997
)
2
,
pp. 171-175
Persistent link: https://www.econbiz.de/10001222499
Saved in:
36
Inference in cointegrated VAR systems
Warne, Anders
- In:
The review of economics and statistics
79
(
1997
)
3
,
pp. 508-511
Persistent link: https://www.econbiz.de/10001225755
Saved in:
37
Autoregressive transformations in cointegrated regressions
McNown, Robert F.
- In:
The review of economics and statistics
79
(
1997
)
3
,
pp. 503-507
Persistent link: https://www.econbiz.de/10001225756
Saved in:
38
Testing the rationality of survey data using the weighted double-bootstrapped method of moments
Jeong, Jinook
- In:
The review of economics and statistics
78
(
1996
)
2
,
pp. 296-302
Persistent link: https://www.econbiz.de/10001222835
Saved in:
39
Randomization as an instrumental variable
Heckman, James J.
- In:
The review of economics and statistics
78
(
1996
)
2
,
pp. 336-341
Persistent link: https://www.econbiz.de/10001204609
Saved in:
40
Finding cointegration rank in high dimensional systems using the Johansen test : an illustration using data based Monte Carlo simulations
Ho, Mun S.
- In:
The review of economics and statistics
78
(
1996
)
4
,
pp. 726-732
Persistent link: https://www.econbiz.de/10001209682
Saved in:
41
Exact nonparametric orthogonality and random walk tests
Campbell, Bryan
- In:
The review of economics and statistics
77
(
1995
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10001180427
Saved in:
42
Periodic cointegration : representation and inference
Boswijk, Herman Peter
- In:
The review of economics and statistics
77
(
1995
)
3
,
pp. 436-454
Persistent link: https://www.econbiz.de/10001192712
Saved in:
43
Bayesian semi-nonparametric arch models
Koop, Gary
- In:
The review of economics and statistics
76
(
1994
)
1
,
pp. 176-181
Persistent link: https://www.econbiz.de/10001167709
Saved in:
44
Recovering information from incomplete or partial multisectoral economic data
Golan, Amos
- In:
The review of economics and statistics
76
(
1994
)
3
,
pp. 541-549
Persistent link: https://www.econbiz.de/10001176029
Saved in:
45
A Monte Carlo comparison of time varying parameter and multiprocess mixture models in the presence of structural shifts and outliers
Gamble, James A.
- In:
The review of economics and statistics
75
(
1993
)
3
,
pp. 515-519
Persistent link: https://www.econbiz.de/10001162848
Saved in:
46
Kalman filter model with qualitative dependent variables
Tanizaki, Hisashi
- In:
The review of economics and statistics
75
(
1993
)
4
,
pp. 747-752
Persistent link: https://www.econbiz.de/10001167567
Saved in:
47
A note on spurious inference in a linearly detrended vector autoregression
Ohanian, Lee E.
- In:
The review of economics and statistics
73
(
1991
)
3
,
pp. 568-571
Persistent link: https://www.econbiz.de/10001114438
Saved in:
48
On the rationality of forecasts
Lee, Bong-soo
- In:
The review of economics and statistics
73
(
1991
)
2
,
pp. 365-370
Persistent link: https://www.econbiz.de/10001114505
Saved in:
49
In search of a "strictly rational" forecast
Bonham, Carl Stanley
- In:
The review of economics and statistics
73
(
1991
)
2
,
pp. 245-253
Persistent link: https://www.econbiz.de/10001114522
Saved in:
50
The estimation of M disaggregate time series when contemporaneous and temporal aggregates are known
Di Fonzo, Tommaso
- In:
The review of economics and statistics
72
(
1990
)
1
,
pp. 178-182
Persistent link: https://www.econbiz.de/10001085567
Saved in:
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