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Some cautions on the use of nonlinear panel unit root tests : evidence from a modified series-specific non-linear panel unit-root test

Lau, Chi Keung; Suvankulov, Farrukh; Su, Yongyang; … - In: Economic modelling 29 (2012) 3, pp. 810-816

Persistent link: https://www.econbiz.de/10009545513

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

Persistent link: https://www.econbiz.de/10011809984

Estimation and inference of a partially linear panel threshold spatial model with individual fixed effects

Zhang, Xishu; Wang, Xuanhui; Ye, Azhong - In: Applied economics letters 31 (2024) 21, pp. 2271-2276

Persistent link: https://www.econbiz.de/10015095210

A Bayesian semiparametric analysis of ARCH models

Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000

Persistent link: https://www.econbiz.de/10001497195

An empirical evaluation of value at risk by scenario simulation

Abken, Peter A. - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 12-29

Persistent link: https://www.econbiz.de/10001500033

Computer automation of general-to-specific model selection procedures

Krolzig, Hans-Martin; Hendry, David F. - 2000

Persistent link: https://www.econbiz.de/10001503808

Small sample adjustments for the J-test

Godfrey, L. G.; Pesaran, M. Hashem - 1982

Persistent link: https://www.econbiz.de/10001532016

A comparison of the forecast performance of Markov-switching and treshold autoregressive models of US GNP

Clements, Michael P.; Krolzig, Hans-Martin - In: The econometrics journal 1 (1998) 1, pp. 47-75

Persistent link: https://www.econbiz.de/10001443672

A framework for economic forecasting

Ericsson, Neil R.; Marquez, Jaime R. - In: The econometrics journal 1 (1998) 1, pp. 228-266

Persistent link: https://www.econbiz.de/10001443693

The behavior of real exchange rates during the post-Bretton Woods period

Taylor, Mark P.; Sarno, Lucio - In: Journal of international economics 46 (1998) 2, pp. 281-312

Persistent link: https://www.econbiz.de/10001395897