Similar Search Results - EconBiz

Panel data tests of return models with applications to global stock returns

Hjalmarsson, Erik - 2005

Persistent link: https://www.econbiz.de/10003553376

Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure

Pacifico, Antonio - In: Econometrics : open access journal 10 (2022) 3, pp. 1-24

misspecificity involved in compressed regression models. Methodologically, a multicountry large structural Panel Vector …

Persistent link: https://www.econbiz.de/10013459503

ARCH Models for Multi-period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts

Lahiri, Kajal; Liu, Fushang - In: Econometric analysis of financial and economic time series, (pp. 321-363). 2006

relatively small compared to that of the idiosyncratic shocks. Due to grouping error problems and compositional heterogeneity in … the panel, individual densities are used to estimate aggregate forecast uncertainty. During periods of regime change and …

Persistent link: https://www.econbiz.de/10015385513

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

Persistent link: https://www.econbiz.de/10013165978

The nexus between economic sentiment indicator and gross domestic product : a panel cointegration analysis

Tomić, Daniel; Šimurina, Jurica; Jovanov, Luka - In: Zagreb international review of economics & business 23 (2020) 1, pp. 121-140

Persistent link: https://www.econbiz.de/10012601190

Essays on nonlinear panel time series models

Mesters, Geert - 2015

Persistent link: https://www.econbiz.de/10010461080

Optimal forecasting with heterogeneous panels : a Monte Carlo study

Trapani, Lorenzo; Urga, Giovanni - In: International journal of forecasting 25 (2009) 3, pp. 567-586

Persistent link: https://www.econbiz.de/10003877646

Dealing with heterogeneity in panel VARs using sparse finite mixtures

Huber, Florian - 2018

Persistent link: https://www.econbiz.de/10011871455

Panel Bayesian VAR modeling for policy and forecasting when dealing with confounding and latent effects

Pacifico, Antonio - 2018

The paper develops empirical implementations of the standard time-varying Panel Bayesian VAR model to deal with …

Persistent link: https://www.econbiz.de/10011948481

Forecasting distress in cooperative banks : the role of asset quality

Forgione, Antonio Fabio; Migliardo, Carlo - In: International journal of forecasting 34 (2018) 4, pp. 678-695

Persistent link: https://www.econbiz.de/10012031082

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