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isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"International journal of forecasting"
~subject:"Theorie"
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State space model
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
International journal of forecasting
Discussion paper / Tinbergen Institute
60
Computational economics
29
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26
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23
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1
Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
Saved in:
2
Factor extraction using Kalman filter and smoothing : this is not just another survey
Poncela, Pilar
;
Ruiz, Esther
;
Miranda, Karen
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1399-1425
Persistent link: https://www.econbiz.de/10013274284
Saved in:
3
Daily news sentiment and monthly surveys : a mixed-frequency dynamic factor model for nowcasting consumer confidence
Algaba, Andres
;
Borms, Samuel
;
Boudt, Kris
;
Verbeken, Brecht
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 266-278
Persistent link: https://www.econbiz.de/10014462779
Saved in:
4
Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging
Alexeev, Vitali
;
Chen, Jun
;
Ignatieva, Ekaterina
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 733-763
Persistent link: https://www.econbiz.de/10014506869
Saved in:
5
The RWDAR model : a novel state-space approach to forecasting
Sbrana, Giacomo
;
Silvestrini, Andrea
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 922-937
Persistent link: https://www.econbiz.de/10014465165
Saved in:
6
Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan
;
Schröder, Maximilian
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295
Saved in:
7
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
Li, Mengheng
;
Mendieta-Muñoz, Ivan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 337-359
Persistent link: https://www.econbiz.de/10013334751
Saved in:
8
Recovering cointegration via wavelets in the presence of non-linear patterns
Martínez Compains, Jorge
;
Rodríguez Carreño, Ignacio
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 255-265
Persistent link: https://www.econbiz.de/10012806528
Saved in:
9
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
10
Variational Bayes approximation of factor stochastic volatility models
Gunawan, David
;
Kohn, Robert
;
Nott, David
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1355-1375
Persistent link: https://www.econbiz.de/10013274279
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