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Modelling and forecasting linear combinations of time series

Pino, Francisco Alberto - In: International statistical review : a journal of the … 55 (1987) 3, pp. 295-313

Persistent link: https://www.econbiz.de/10001033976

State space Markov switching models using wavelets

Alencar, Airlane P.; Morettin, Pedro A.; Toloi, Clelia M. C. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10010118262

Wavelet estimation of copulas for time series

Morettin, Pedro A.; Toloi, Clelia M. C.; Chiann, Chang; … - In: Journal of time series econometrics 3 (2011) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010029893

Regression with autocorrelated errors using design-adapted haar wavelets

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C. Q. - In: Journal of time series econometrics 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010029897

The effect of overlapping aggregation on time series models : an application to the unemployment rate in Brazil

Hotta, Luiz K. - In: Revista de econometria 12 (1992) 2, pp. 223-240

Persistent link: https://www.econbiz.de/10015169180

State space Markov switching models using wavelets

Alencar, Airlane P.; Morettin, Pedro A.; Toloi, Clelia M. C. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10009739592

Regression with autocorrelated errors using design-adapted haar wavelets

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C. Q. - In: Journal of time series econometrics 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009623492

Wavelet estimation of copulas for time series

Morettin, Pedro A.; Toloi, Clelia M. C.; Chiann, Chang; … - In: Journal of time series econometrics 3 (2011) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10009623563

Time-varying autoregressive conditional duration model

Bortoluzzo, Adriana Bruscato; Morettin, Pedro A.; … - 2009

Persistent link: https://www.econbiz.de/10008797385

Improvement of the Likelihood Ratio Test Statistic in Arma Models

Lagos, Bernardo M.; Morettin, Pedro A. - 2004

In this paper, we develop a Bartlett correction for the likelihood ratio statistic used to test hypotheses about parameters of a Gaussian stationary and invertible model belonging to the ARMA (autoregressive moving average) family. Alternative hypotheses with and without disturbance parameters...

Persistent link: https://www.econbiz.de/10014072952