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  • Search: subject:"step-indicator saturation"
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Year of publication
Subject
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step-indicator saturation 2 Autometrics 1 Equilibrium-mean shifts 1 Estimation theory 1 Forecast 1 Forecasting 1 Forecasting model 1 GETS 1 General-so-specific 1 Model selection 1 Monte Carlo 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Multiplicative indicators 1 Prognose 1 Prognoseverfahren 1 SIS 1 Schätztheorie 1 State space model 1 Step-indicator saturation (SIS) 1 Structural break 1 Strukturbruch 1 Time series analysis 1 Zeitreihenanalyse 1 Zustandsraummodell 1 general-to-specific 1 location shifts 1 model section 1 model selection 1 state-space model 1 structural breaks 1 test power 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Doornik, Jurgen A. 2 Castle, Jennifer 1 Farid Zamani Che Rose 1 Hendry, David 1 Hendry, David F. 1 Mohd Tahir Ismail 1 Nur Aqilah Khadijah Rosili 1 Pretis, Felix 1
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Institution
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Department of Economics, Oxford University 1
Published in...
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Economics Series Working Papers / Department of Economics, Oxford University 1 International journal of computational economics and econometrics : IJCEE 1 International journal of forecasting 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Improving models and forecasts after equilibrium-mean shifts
Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F. - In: International journal of forecasting 40 (2024) 3, pp. 1085-1100
Persistent link: https://www.econbiz.de/10014547258
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Structural breaks detection using step-indicator saturation technique in state-space model
Farid Zamani Che Rose; Mohd Tahir Ismail; Nur Aqilah … - In: International journal of computational economics and … 14 (2024) 1, pp. 61-80
Persistent link: https://www.econbiz.de/10015062778
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Cover Image
Step-indicator Saturation
Hendry, David; Doornik, Jurgen A.; Pretis, Felix - Department of Economics, Oxford University - 2013
Using an extension of general-to-specific modelling, based on the recent developments of impulse-indicator saturation (IIS), we consider selecting significant step indicators from a saturating set to capture location shifts.  The approximate non-centrality of the test is derived for a variety...
Persistent link: https://www.econbiz.de/10011004445
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