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Applied Statistics and Econometrics : Basic Topics and Tools with Gretl and R

Kivedal, Bjørnar Karlsen - 2024

This accessible textbook introduces the foundations of applied econometrics and statistics for undergraduate students … for upper undergraduate students taking courses in introductory econometrics and statistics, as well as students in … Østfold University College, Norway. He has over 15 years' experience of teaching statistics, mathematics and econometrics. He …

Persistent link: https://www.econbiz.de/10014519030

A new approach for detecting shifts in forecast accuracy

Chiu, Ching Wai Jeremy; Hayes, Simon; Kapetanios, George; … - In: International journal of forecasting 35 (2019) 4, pp. 1596-1612

Persistent link: https://www.econbiz.de/10012305469

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2017

whenever there is structural instability in factor loadings. For empirical applications, we consider forecasting economic …

Persistent link: https://www.econbiz.de/10011637435

Mathematical and statistical modelling of cointegration

Johansen, Søren - 1997

Persistent link: https://www.econbiz.de/10013420117

Comprehensive definitions of breakdown-points for independent and dependent observations

Genton, Marc G.; Lucas, André - 2000

We provide a new definition of breakdown in finite samples with an extension to asymptotic breakdown. Previous …-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …

Persistent link: https://www.econbiz.de/10011303297

Small area estimation with state-space common factor models for rotating panels

Brakel, Jan A. van den; Krieg, Sabine - 2014

Persistent link: https://www.econbiz.de/10010393950

Observation-driven hierarchical density models for missing data imputation

Khanna, Yonas; Lucas, André - 2025

We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...

Persistent link: https://www.econbiz.de/10015373862

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now Published in Journal of the American Statistical Association, 95, (2000), Pp.1229-1243.)

Velasco, Carlos - 2008

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly...

Persistent link: https://www.econbiz.de/10012771056

Measuring discontinuities due to survey process redesigns

Brakel, Jan A. van den; Zhang, Xichuan; Tam, Siu-Ming - 2017

Persistent link: https://www.econbiz.de/10011688001

Handbook of economic forecasting ; Volume 2

Elliott, Graham (ed.); Timmermann, Allan (ed.) - 2013 - 1. ed.

decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate …, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial a …

Persistent link: https://www.econbiz.de/10012254696