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Selecting between causal and noncausal models with quantile autoregressions

Hecq, Alain W. J.; Sun, Li - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 393-416

Persistent link: https://www.econbiz.de/10012806552

УПРАВЛЕНИЕ ПЕРЕКЛЮЧЕНИЯМИ ТАРИФНЫХ ПЛАНОВ СОТОВОЙ СВЯЗИ

ЯКОВЛЕВИЧ, ВИЛИСОВ ВАЛЕРИЙ - In: Управление большими … (2012) 3, pp. 221-237

Рассматривается одна из прикладных задач такого распространенного на практике направления, как управления переключениями режимов (в данном случае – тарифных...

Persistent link: https://www.econbiz.de/10011270574

Information criteria for impulse response function matching estimation of DSGE models

Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - 2008

tossing out superfluous impulse responses motivates our Redundant Impulse Response Selection Criterion (RIRSC). The RIRSC is …

Persistent link: https://www.econbiz.de/10010292348

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit; Teräsvirta, Timo - 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10010281439

Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions

Strikholm, Birgit; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005

selection criterion, nonlinear modelling, sequential testing, switching regression. JEL Classification Code: C22, C51 ∗This … comparison with two nested models using a model selection criterion is equivalent to a likelihood ratio test) may vary … nested models using an appropriate model selection criterion is equivalent to carrying out the likelihood ratio test, and in …

Persistent link: https://www.econbiz.de/10005649220

Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index

Bechmann, Ken L. - In: Multinational Finance Journal 8 (2004) 1-2, pp. 3-34

-2001. Consistent with the selection criterion used for the index, there is no evidence for a stock price effect at the announcement of … criterion used for the KFX Index. All in all, this paper documents that the selection criterion for and the size of an index as … index.However, the results do not rule out the possibility that part of the stock price effect is due to the selection …

Persistent link: https://www.econbiz.de/10010937186

Some Results on the Identification and Estimation of Vector ARMAX Processes

Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2004

This paper addresses the problem of identifying echelon canonical forms for a vector autoregressive moving average model with exogenous variables using finite algorithms. For given values of the Kronecker indices a method for estimating the structural parameters of a model using ordinary least...

Persistent link: https://www.econbiz.de/10005581137