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Nonparametric estimation of missing values in time series

Noack, Thomas; Schlittgen, Rainer - In: Allgemeines statistisches Archiv : AStA ; journal of … 84 (2000) 1, pp. 23-32

Persistent link: https://www.econbiz.de/10001473468

Nonparametric estimation of missing values in time series

Noack, Thomas; Schlittgen, Rainer - 1999

Persistent link: https://www.econbiz.de/10001379096

Estimation of long memory in integrated variance

Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814

Persistent link: https://www.econbiz.de/10010363876

Nonparametric regression with serially correlated errors

Gooijer, Jan G. de; Gannoun, Ali; Larramendy, Irène - 1999

Motivated by the problem of setting prediction intervals in time seriesanalysis, this investigation is concerned with recovering a regression functionm(X_t) on the basis of noisy observations taking at random design pointsX_t.It is presumed that the corresponding observations are corrupted by...

Persistent link: https://www.econbiz.de/10011302141

Rolling window selection for out-of-sample forecasting with time-varying parameters

Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10011743498

Bandwidth selection for the local polynomial double conditional smoothing under spatial ARMA errors

Schäfer, Bastian - 2021

Persistent link: https://www.econbiz.de/10012806378

Nonparametric time varying IV-SVARs : estimation and inference

Braun, Robin; Kapetanios, George; Marcellino, Massimiliano - 2024

Persistent link: https://www.econbiz.de/10015271384

Nonparametric Impulse Response Analysis in Changing Macroeconomic Conditions

Nyberg, Henri; Lanne, Markku - 2021

the structural shock of interest. Then, to trace out the dynamic effects of the structural shock, we compare the evolution …

Persistent link: https://www.econbiz.de/10013216683

Identifying financial instability conditions using high frequency data

Mancino, Maria Elvira; Sanfelici, Simona - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 221-242

Persistent link: https://www.econbiz.de/10012226914

Perceived shocks and impulse responses

Giacomini, Raffaella; Lu, Jason; Smetanina, Katja - 2024

single perceived shock that closely aligns with observed inflation surprises. The time-varying impulse responses indicate a … significant decline in the perceived persistence of this shock, suggesting that inflation expectations have become more "anchored …

Persistent link: https://www.econbiz.de/10015123512