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Persistent link: https://www.econbiz.de/10000950816
In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on...
Persistent link: https://www.econbiz.de/10012924785
Persistent link: https://www.econbiz.de/10003900173
This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...
Persistent link: https://www.econbiz.de/10010738625
In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.
Persistent link: https://www.econbiz.de/10009228489
In recent years two classes of switching models have been proposed, the Markov switching models, Hamilton (1989) and the Threshold Auto-Regressive Models (TAR), Lim and Tong (1980). These two models have the advantage of being able to modelel and capture asymmetry, sudden changes and...
Persistent link: https://www.econbiz.de/10014058733