Search Results - subject:"Autoregressive Models"

Semiparametric spatial autoregressive models with endogenous regressors : with an application to crime data

Hoshino, Tadao - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 160-172

Persistent link: https://www.econbiz.de/10011894483

GMM inference in spatial autoregressive models

Taṣpınar, Süleyman; Doğan, Osman; Vijverberg, Wim P. M. - In: Econometric reviews 37 (2018) 6/10, pp. 931-954

Persistent link: https://www.econbiz.de/10012040422

Fundamentals, speculation or macroeconomic conditions? : modelling and forecasting Arabica coffee prices

Crespo Cuaresma, Jesús; Hlouskova, Jaroslava; … - In: European review of agricultural economics : ERAE 45 (2018) 4, pp. 583-615

Persistent link: https://www.econbiz.de/10012244450

NAIRU and productivity shocks : evidence from three gigantic economies

Mohebi, Mehdi; Komijani, Akbar - In: Applied economics letters 25 (2018) 12, pp. 847-852

Persistent link: https://www.econbiz.de/10012130450

GMM estimation of the spatial autoregressive model in a system of interrelated networks

Wang, Wei; Lee, Lung-fei; Bao, Yan - In: Regional science & urban economics 69 (2018), pp. 167-198

Persistent link: https://www.econbiz.de/10012108158

Bayesian subset selection for two-threshold variable autoregressive models

Ni, Shuxia; Xia, Qiang; Liu, Jinshan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10011965304

Testing for a Unit Root against Transitional Autoregressive Models

Park, Joon Y.; Shintani, Mototsugu - Vanderbilt University Department of Economics - 2005

This paper considers the test of a unit root in transitional autoregressive models. In particular, we develop the … asymptotic theory of the inf-t test for the null hypothesis of a unit root in a wide class of nonlinear autoregressive models … essential feature of the unit root test in transitional autoregressive models, which has been ignored in the literature. For …

Persistent link: https://www.econbiz.de/10005459289

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Blasques, Francisco - 2012

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

Persistent link: https://www.econbiz.de/10010326532

Linear predictability vs. bull and bear market models in strategic asset allocation decisions: Evidence from UK data

Guidolin, Massimo; Hyde, Stuart - 2012

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...

Persistent link: https://www.econbiz.de/10010409436

Oil price dynamics, macro-finance interactions and the role of financial speculation

Morana, Claudio - 2012

What is the role of financial speculation in determining the real oil price? We find that while macroeconomic shocks have been the major upward driver of the real oil price since the mid 1980s, also financial shocks have sizably contributed since the early 2000s, and at a much larger extent...

Persistent link: https://www.econbiz.de/10010282973