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Periodic and seasonal (co-)integration in the state space framework

Bauer, Dietmar - In: Economics letters 174 (2019), pp. 165-168

Persistent link: https://www.econbiz.de/10012121077

Are output fluctuations transitory or permanent? : new evidence from a novel global multi-scale modeling approach

Ahmed, Mumtaz; Azam, Muhammad; Bekiros, Stelios; Hina, … - In: Quantitative finance and economics 5 (2021) 3, pp. 373-396

Persistent link: https://www.econbiz.de/10012592473

A note on CO2 emissions using two new tests

Sephton, Peter S.; Omay, Tolga - In: Empirica : journal of european economics 50 (2023) 4, pp. 933-941

Persistent link: https://www.econbiz.de/10014420217

Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...

Persistent link: https://www.econbiz.de/10011309972