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Nonlinearity induced weak instrumentation

Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos - In: Econometric reviews 33 (2014) 5/6, pp. 676-712

Persistent link: https://www.econbiz.de/10010363893

Characterizing economic trends by Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - 2010

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...

Persistent link: https://www.econbiz.de/10011524121

Validity of stationary probabilistic models for wind speed records of varying duration

Arwade, Sanjay R.; Gioffrè, Massimiliano - In: Renewable Energy 69 (2014) C, pp. 74-81

A method for assessing the degree of non-stationarity in annual wind speed records is presented. The method uses … quantitative tests on the wind speed records to assess the length of the period over which an assumption of stationarity in the … wind record can be considered to provide reasonable engineering accuracy. The tests evaluate stationarity in second moment …

Persistent link: https://www.econbiz.de/10011045279

Stationary random processes

Rozanov, Jurij A. - 1967

Persistent link: https://www.econbiz.de/10000040911

Statistische Eigenschaften von Prozessen mit autoregressiver bedingter Wartezeit

Ornau, Frederik - 2005

Persistent link: https://www.econbiz.de/10002795429

Asymptotic inference for a sign-double autoregressive (SDAR) model of order one

Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334

Persistent link: https://www.econbiz.de/10015196603

Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests

Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11

mainly employed traditional unit-root tests, our research stands out for its use of novel panel stationarity tests that …

Persistent link: https://www.econbiz.de/10014501140

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

and relationships with previously proposed specifications are discussed and stationarity conditions are derived. An …

Persistent link: https://www.econbiz.de/10009767120

Weighted temporal utility

Gerber, Anke; Rohde, Kirsten I. M. - 2013

We propose a novel utility representation for preferences over risky timed outcomes. The weighted temporal utility model generalizes many well known utility functions for intertemporal decision making under risk. A decision maker with a weighted temporal utility function can have time consistent...

Persistent link: https://www.econbiz.de/10010224796

Maximum likelihood estimation for generalized autoregressive score models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....

Persistent link: https://www.econbiz.de/10010250505