Similar Search Results

Regime switching for dynamic correlations

Pelletier, Denis - In: Journal of Econometrics 131 (2006) 1-2, pp. 445-473

Persistent link: https://www.econbiz.de/10005122575

Short run and long run causality in time series: inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Eric - In: Journal of Econometrics 132 (2006) 2, pp. 337-362

Persistent link: https://www.econbiz.de/10005192987

Information criteria for impulse response function matching estimation of DSGE models

Hall, Alastair R.; Inoue, Atsushi; Nason, James M.; … - In: Journal of Econometrics 170 (2012) 2, pp. 499-518

We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...

Persistent link: https://www.econbiz.de/10011052257

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - In: Journal of Econometrics 130 (2006) 2, pp. 273-306

Persistent link: https://www.econbiz.de/10005052787

Efficient estimation and inference in linear pseudo-panel data models

Inoue, Atsushi - In: Journal of Econometrics 142 (2008) 1, pp. 449-466

Persistent link: https://www.econbiz.de/10005052873

Bootstrapping GMM estimators for time series

Inoue, Atsushi; Shintani, Mototsugu - In: Journal of Econometrics 133 (2006) 2, pp. 531-555

Persistent link: https://www.econbiz.de/10005285501

Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394]

Hall, Alastair R.; Inoue, Atsushi - In: Journal of Econometrics 141 (2007) 2, pp. 1417-1418

Persistent link: https://www.econbiz.de/10005238990

Long memory and regime switching

Diebold, Francis X.; Inoue, Atsushi - In: Journal of Econometrics 105 (2001) 1, pp. 131-159

Persistent link: https://www.econbiz.de/10005239088

The large sample behaviour of the generalized method of moments estimator in misspecified models

Hall, Alastair R.; Inoue, Atsushi - In: Journal of Econometrics 114 (2003) 2, pp. 361-394

Persistent link: https://www.econbiz.de/10005192546

Information in generalized method of moments estimation and entropy-based moment selection

Hall, Alastair R.; Inoue, Atsushi; Jana, Kalidas; Shin, … - In: Journal of Econometrics 138 (2007) 2, pp. 488-512

Persistent link: https://www.econbiz.de/10005192776