Search Results - subject:"STochastic process"

Stochastic Technical Progress, Nearly Smooth Trends and Distinct Business Cycles

Rotemberg, Julio - 2022

This paper investigates whether it is possible to entertain simultaneously two attractive views about US GDP. The first is that long term growth in US GDP is attributable to an empirically plausible specification of random technical progress. The second is that deviations of GDP from a fitted...

Persistent link: https://www.econbiz.de/10013321578

Stochastic local and moderate departures from a unit root and its application to unit root testing

Nishi, Mikihito; Kurozumi, Eiji - 2022

Persistent link: https://www.econbiz.de/10013364485

Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data

Bravo, Francesco - In: Econometric reviews 41 (2022) 6, pp. 583-606

Persistent link: https://www.econbiz.de/10013364895

Optimal model averaging for divergent-dimensional Poisson regressions

Zou, Jiahui; Wang, Wendun; Zhang, Xinyu; Zou, Guohua - In: Econometric reviews 41 (2022) 7, pp. 775-805

Persistent link: https://www.econbiz.de/10013364906

Extensions on the Hatzopoulos-Sagianou multiple-components stochastic mortality model

Sagianou, Aliki; Hatzopoulos, Peter - In: Risks : open access journal 10 (2022) 7, pp. 1-30

In this paper, we present extensions of the Hatzopoulos-Sagianou (2020) (HS) multiple-component stochastic mortality model. Our aim is to thoroughly evaluate and stress test the HS model by deploying various link functions, using generalised linear models, and diverse distributions in the...

Persistent link: https://www.econbiz.de/10013365106