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
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|---|---|
| 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
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| 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 |
| 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