Search Results - subject:"differencing"

Using subspace algorithms for the estimation of linear state space models for over-differenced processes

Bauer, Dietmar - In: Econometrics : open access journal 14 (2026) 1, pp. 1-15

differencing to all variables, ignoring potential co-integrating relations. This leads to spectral zeros violating the above … exercise shows that over-differencing (while leading to consistent estimation of the transfer function) also complicates … example. The result also applies to seasonal differencing. The present paper hence suggests working with original data, not …

Persistent link: https://www.econbiz.de/10015640549

Smoothing out momentum and reversal

Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2024

Persistent link: https://www.econbiz.de/10015110735

Moment-based estimation of linear panel data models with factor-augmented errors

Brown, Nicholas L. - In: Journal of econometric methods 13 (2024) 2, pp. 299-317

Persistent link: https://www.econbiz.de/10015117674

Approximate functional differencing

Dhaene, Geert; Weidner, Martin - In: SERIEs : Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 379-416

differencing (Bonhomme in Econometrica 80(4):1337-1385, 2012), which works when the number of time periods T is fixed (and may be …, we provide an approximate version of functional differencing, that is, an approximate solution to the IPP that is …

Persistent link: https://www.econbiz.de/10014462258

Estimation of random cycles in persistent time series

Abadir, Karim Maher; Bailey, Natalia; Distaso, Walter; … - 2023

Persistent link: https://www.econbiz.de/10014533456

Moment-based estimation of linear panel data models with factor-augmented errors

Brown, Nicholas - 2023

with a parameterized quasi-long-differencing (QLD) transformation. The other, referred to as common correlated effects (CCE …

Persistent link: https://www.econbiz.de/10014451097

Approximate functional differencing

Dhaene, Geert; Weidner, Martin - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 379-416

Persistent link: https://www.econbiz.de/10014496053

Moment-based estimation of linear panel data models with factor-augmented errors

Brown, Nicholas - 2023 - Date of draft: February 3, 2023

with a parameterized quasi-long-differencing (QLD) transformation. The other, referred to as common correlated effects (CCE …

Persistent link: https://www.econbiz.de/10013556881

A note on the fractional momentum strategy

Kim, Saejoon; Kim, Hyuksoo - In: Applied economics letters 32 (2025) 18, pp. 2664-2668

Persistent link: https://www.econbiz.de/10015508954

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in Transition new series (SiTns) 23 (2022) 2, pp. 69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de/10013444133