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  • Search: subject:"autoregressive moving average process"
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Year of publication
Subject
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Zeitreihenanalyse 3 asymptotic distribution 3 autoregressive moving average process 3 bootstrap 3 heavy tail 3 model checking 3 multivariate GARCH model 3 multivariate time series 3 portmanteau statistic 3 vector autoregressive moving-average process 3 Autoregressive moving average process 2 Fiscal foresight 2 Fiscal policy 2 Structural vector autoregression 2 Theorie 2 Time series analysis 2 Vector Autoregressive Moving Average Process 2 factor augmented VAR 2 forecast mean squared error 2 heteroskedasticity 2 impulse response analysis 2 instantaneous transformation 2 integrated process 2 moving average representation 2 vector autoregressive moving average process 2 ARCH model 1 ARCH-Modell 1 Autokorrelation 1 Autoregressive moving-average process 1 Bayesian VAR 1 Bayesian VAR J 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Brownian bridge 1 Estimation theory 1 Finanzpolitik 1 Forecast mean squared error 1 Heteroskedasticity 1 Instantaneous transformation 1 Integrated process 1
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Online availability
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Free 8 Undetermined 4
Type of publication
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Article 8 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Article 1
Language
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English 8 Undetermined 5
Author
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Luetkepohl, Helmut 3 Lütkepohl, Helmut 3 Tsay, Ruey S. 3 Wang, Yongning 3 Xu, Fang 3 Kriwoluzky, Alexander 2 Kreiss, J. 1 ROSCA, Elisabeta R. 1
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Institution
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CESifo 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Department of Economics, European University Institute 1
Published in...
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Econometrics 2 CESifo Working Paper 1 CESifo Working Paper Series 1 DIW Discussion Papers 1 Discussion Papers of DIW Berlin 1 Econometrics : open access journal 1 Economics Working Papers / Department of Economics, European University Institute 1 Empirical Economics 1 European Economic Review 1 European economic review : EER 1 Metrika 1 The Annals of the "Stefan cel Mare" University of Suceava. Fascicle of The Faculty of Economics and Public Administration 1
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Source
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RePEc 8 EconStor 3 ECONIS (ZBW) 2
Showing 11 - 13 of 13
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Pre-announcement and timing: The effects of a government expenditure shock
Kriwoluzky, Alexander - In: European Economic Review 56 (2012) 3, pp. 373-388
An econometric strategy to identify a pre-announced fiscal policy shock is proposed. I show that the reduced form innovations can be recovered by estimating a Vector-moving-average model using the Kalman filter. The structural effects are identified exploiting the shock's pre-announced nature,...
Persistent link: https://www.econbiz.de/10010573238
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Cover Image
Pre-announcement and timing : the effects of a government expenditure shock
Kriwoluzky, Alexander - In: European economic review : EER 56 (2012) 3, pp. 373-388
Persistent link: https://www.econbiz.de/10009657532
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Estimation of the distribution function of noise in stationary processes
Kreiss, J. - In: Metrika 38 (1991) 1, pp. 285-297
Persistent link: https://www.econbiz.de/10005598723
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