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Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in …

Persistent link: https://www.econbiz.de/10014024953

Chapter 8 Forecasting economic variables with nonlinear models

Teräsvirta, Timo - 2006

building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating …

Persistent link: https://www.econbiz.de/10014023698

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...

Persistent link: https://www.econbiz.de/10010478989

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...

Persistent link: https://www.econbiz.de/10012487589

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

Persistent link: https://www.econbiz.de/10011775136

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Autoregressive Spectral Averaging Estimator

Liu, Chu-An - 2017

This paper considers model averaging in spectral density estimation. We construct the spectral density function by …

Persistent link: https://www.econbiz.de/10012947449

Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models

Motegi, Kaiji - 2020

time-varying thresholds and simple estimation via least squares. We show via Monte Carlo simulations that the MAT-HAR has …

Persistent link: https://www.econbiz.de/10012848474

Conditional Threshold Autoregression (CoTAR)

Motegi, Kaiji; Dennis, Jay; Hamori, Shigeyuki - 2022

parameters. The estimation and hypothesis testing of the CoTAR model satisfy desired statistical properties in both large and …

Persistent link: https://www.econbiz.de/10013313908

On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations

Rossen, Anja - 2011

over almost 400 time series which span from 1996:3 up to 2008:12 (production indices, price indices, unemployment rates …

Persistent link: https://www.econbiz.de/10009310287