Similar Search Results

Sensitivity of univariate AR(1) time-series forecasts near the unit root

Banerjee, Anurag Narayan - In: Journal of forecasting 20 (2001) 3, pp. 203-229

Persistent link: https://www.econbiz.de/10001570838

Testing for random coefficient autoregressive and stochastic unit root models

Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129

Persistent link: https://www.econbiz.de/10014288865

Testing for unit roots in panel data using a wavelet ratio method

Li, Yushu; Shukur, Ghazi - In: Computational economics 41 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10009705033

The Kalman filter method for break point estimation in unit root tests

Emirmahmutoglu, Furkan; Köse, Nezir; Yalcin, Yeliz - In: Applied economics letters 15 (2008) 1/3, pp. 193-198

Persistent link: https://www.econbiz.de/10003725184

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

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

Modelling time-varying parameters in panel data state-space frameworks : an application to the Feldstein–Horioka puzzle

Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Computational economics 56 (2020) 1, pp. 87-114

Persistent link: https://www.econbiz.de/10012272020

An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area

Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Recent econometric techniques for macroeconomic and …, (pp. 113-146). 2021

Recent developments in inflation and M3 velocity in the euro area have raised serious doubts about the reliability of M3 growth as a pillar of the ECB's monetary policy strategy. We develop a very flexible and comprehensive state-space framework for modeling the velocity of circulation. Our...

Persistent link: https://www.econbiz.de/10012395397

A wavelet-based variance ratio unit root test for a system of equations

Ali, Abdul Aziz; Månsson, Kristofer; Shukur, Ghazi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10012289399

Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration

Murasawa, Yasutomo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 387-415

Persistent link: https://www.econbiz.de/10013334834