Search Results - subject:"distributedlag"

Bias correction in a stable AD(1,1) model

Giersbergen, Noud P. A. van - 2001

examined through large-sample asymptotics in a stable first-order autoregressive distributed-lag model with weakly exogenous …

Persistent link: https://www.econbiz.de/10011325660

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes

Dufour, Jean-Marie; Torrès, Olivier - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

Persistent link: https://www.econbiz.de/10005100872

USE OF THE ALMON MODEL TO DETERMINE THE DELAY IN THE PROPAGATION SHOCKS - GENERATED BY CHANGES IN SOME INFLATION COMPONENTS – IN THE CONSUMER PRICE INDEX

Nicolae, Mariana - In: Journal for Economic Forecasting (2003) 2, pp. 112-121

alteration of each of these factors and of the consumer price index was determined with a distributed-lag model, the Almon …

Persistent link: https://www.econbiz.de/10005612210