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A flexible approach to parametric inference in nonlinear time series models

Koop, Gary (contributor); Potter, Simon M. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003519806

Modeling the dynamics of inflation compensation

Jochmann, Markus; Koop, Gary; Potter, Simon M. - In: Journal of empirical finance 17 (2010) 1, pp. 157-167

Persistent link: https://www.econbiz.de/10003943970

Time varying dimension models

Chan, Joshua C. C.; Koop, Gary; Leon-Gonzalez, Roberto; … - 2010

Persistent link: https://www.econbiz.de/10008657953

A new index of financial conditions

Koop, Gary; Korobilis, Dimitris - In: European economic review : EER 71 (2014), pp. 101-116

Persistent link: https://www.econbiz.de/10010512275

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

Persistent link: https://www.econbiz.de/10011302135

Regime-switching cointegration

Jochmann, Markus; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 35-48

Persistent link: https://www.econbiz.de/10011311202

The contribution of structural break models to forecasting macroeconomic series

Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; … - In: Journal of applied econometrics 30 (2015) 4, pp. 596-620

Persistent link: https://www.econbiz.de/10011332857

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

Persistent link: https://www.econbiz.de/10010338455

Large time-varying parameter VARs

Koop, Gary; Korobilis, Dimitris - In: Journal of econometrics 177 (2013) 2, pp. 185-198

Persistent link: https://www.econbiz.de/10010254877

Time varying dimension models

Chan, Joshua C. C.; Koop, Gary; Leon-Gonzalez, Roberto; … - 2011

Persistent link: https://www.econbiz.de/10009405741