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On characterizations od spectral density matrices by cross validated log likelihood criterion

Matsuda, Yasumasa (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002144601

Determination of cointegrating rank in fractional systems

Robinson, Peter M.; Yajima, Yoshihiro - 2001

Persistent link: https://www.econbiz.de/10001600252

Determination of cointegrating rank in fractional systems

Robinson, Peter M.; Yajima, Yoshihiro - In: Journal of econometrics 106 (2002) 2, pp. 217-241

Persistent link: https://www.econbiz.de/10001638894

Determination of Cointegrating Rank in Fractional Systems

Yajima, Yoshihiro - 2008

This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a...

Persistent link: https://www.econbiz.de/10012771035

Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?

Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560

Persistent link: https://www.econbiz.de/10010259467

Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723

Persistent link: https://www.econbiz.de/10010344463

A threshold extension of spatial dynamic panel model with fixed effects

Wu, Junyue; Matsuda, Yasumasa - 2021

Persistent link: https://www.econbiz.de/10012542409