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Measuring persistence in aggregate output : ARMA models, fractionally integrated ARMA models and nonparametric procedures

Hauser, Michael A.; Pötscher, Benedikt M.; … - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 243-269

Persistent link: https://www.econbiz.de/10001388897

Noninvertibility and pseudo-maximum likelihood estimation of misspecified ARMA models

Pötscher, Benedikt M. - In: Econometric theory 7 (1991) 4, pp. 435-445

Persistent link: https://www.econbiz.de/10001117742

On Gagnon's criticism of ARMA models for real GNP growth

Hauser, Michael A. - In: Economic notes : economic review of Banca Monte dei … 23 (1994) 1, pp. 125-129

Persistent link: https://www.econbiz.de/10001165660

Annals of econometrics: Contributions to econometrics, time-series analysis, and systems identification ; a Festschrift in honor of Manfred Deistler

Pötscher, Benedikt M. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10001822938

Modeling of time series arrays by multistep prediction or likelihood methods

Findley, David F.; Pötscher, Benedikt M.; Wei, Ching-Zong - In: Journal of econometrics 118 (2004) 1/2, pp. 151-187

Persistent link: https://www.econbiz.de/10001823120

Lower risk bounds and properties of confidence sets for ill-posed estimation problems with applications to spectral density and persistence estimation, unit roots, and estimation of long memory parameters

Pötscher, Benedikt M. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1035-1065

Persistent link: https://www.econbiz.de/10001688015

Introduction to the special issue "high-dimensional time series in macroeconomics and finance"

Pötscher, Benedikt M.; Sögner, Leopold; Wagner, Martin - In: Econometrics : open access journal 12 (2024) 1, pp. 1-2

This Special Issue was organized in relation to the fifth Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, which took place at the Institute for Advanced Studies in Vienna on 9 June and 10 June 2022 [...]

Persistent link: https://www.econbiz.de/10014507936

Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters

Pötscher, Benedikt M. - 2002

Important estimation problems in econometrics like estimating the value of a spectral density at frequency zero, which appears in the econometrics literature in the guises of heteroskedasticity and autocorrelation consistent variance estimation and long run variance estimation, are shown to be...

Persistent link: https://www.econbiz.de/10014116200

Measuring Persistence in Aggregate Output : Arma Models, Fractionally Integrated Arma Models and Nonparametric Procedures

Hauser, Michael A.; Pötscher, Benedikt M.; … - 1999

Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...

Persistent link: https://www.econbiz.de/10014193102