Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate

Szabolcs Blazsek, Alvaro Escribano and Adrian Licht

Year of publication:	2023
Authors:	Blazsek, Szabolcs ; Escribano, Álvaro ; Licht, Adrian
Subject:	dynamic conditional score (DCS) \| generalized autoregressive score (GAS) \| Nonlinear co-integration \| nonlinear common trends \| quasi-vector autoregressive moving average (QVARMA) \| Zeitreihenanalyse \| Time series analysis \| USA \| United States \| Inflationsrate \| Inflation rate \| Nichtlineare Regression \| Nonlinear regression \| Schätztheorie \| Estimation theory \| ARMA-Modell \| ARMA model \| VAR-Modell \| VAR model \| Kointegration \| Cointegration \| Nationaleinkommen \| National income \| Wirtschaftswachstum \| Economic growth

freely available

Full text |

More access options

doi.org

Check Google Scholar

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1017/S1365100521000365 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014247362

A service of the