Search Results - subject:"Spectral analysis"

Moran's I lasso for models with spatially correlated data

Barde, Sylvain; Cherodian, Rowan; Tchuente, Guy - In: The econometrics journal 28 (2025) 3, pp. 423-441

Persistent link: https://www.econbiz.de/10015459769

On the Hamilton-HP filter controversy: Evidence from German business cycles

Siemers, Lars-H. R. - 2024

James Hamilton put doubt on the quality of the HP filter estimates, and proposed an alternative regression approach to decompose trend and cycle of time series (H filter). We investigate the new H filter in detail and compare it to the HP filter. We apply both to German GDP time series. We find...

Persistent link: https://www.econbiz.de/10015325511

Models of the impact of socio-economic shocks on higher education development

Rayevnyeva, Olena; Ponomarenko, Volodymyr; Matusova, Silvia - In: Administrative Sciences 14 (2024) 11, pp. 1-28

-series decomposition method and cross-spectral analysis were used. The time-series decomposition allowed us to identify cyclical components … of indicators, based on applying cross-spectral analysis, and the most significant local harmonics and the lag of their …

Persistent link: https://www.econbiz.de/10015424381

Models of the impact of socio-economic shocks on higher education development

Rayevnyeva, Olena; Ponomarenko, Volodymyr; Matusova, Silvia - In: Administrative Sciences : open access journal 14 (2024) 11, pp. 1-28

Persistent link: https://www.econbiz.de/10015178409

Value-at-risk under measurement error

Doukali, Mohamed; Song, Xiaojun; Taamouti, Abderrahim - In: Oxford bulletin of economics and statistics 86 (2024) 3, pp. 690-713

Persistent link: https://www.econbiz.de/10014543504

On the Hamilton-HP filter controversy : evidence from German business cycles

Siemers, Lars - 2024 - This version: 12 December, 2024

Persistent link: https://www.econbiz.de/10015199437

Financial cycles : how long and how certain?

Gonzalez, Rodrigo Barbone; Marinho, Leonardo Sousa Gomes; … - In: Brazilian review of econometrics : BRE ; the review of … 41 (2021) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10014253206

Forecast combination in the frequency domain

Faria, Gonçalo; Verona, Fabio - 2023

Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...

Persistent link: https://www.econbiz.de/10013485890

Learning and optimization with seasonal patterns

Chen, Ningyuan; Wang, Chun; Wang, Longlin - In: Operations research 73 (2025) 2, pp. 894-909

Persistent link: https://www.econbiz.de/10015445449

Time Series Econometrics

Neusser, Klaus - 2025 - 2nd ed. 2025.

-- Estimation of ARMA Models -- Spectral Analysis and Linear Filters -- Integrated Processes -- Models of Volatility -- Multivariate …

Persistent link: https://www.econbiz.de/10015406991