Similar Search Results

Forecasting simultaneously high-dimensional time series : a robust model-based clustering approach

Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; … - In: Journal of forecasting 32 (2013) 8, pp. 673-684

Persistent link: https://www.econbiz.de/10010344465

A medium-N approach to macroeconomic forecasting

Cubadda, Gianluca; Guardabascio, Barbara - In: Economic modelling 29 (2012) 4, pp. 1099-1105

Persistent link: https://www.econbiz.de/10009667434

A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note

Maeshiro, Asatoshi - In: Applied economics 31 (1999) 3, pp. 381-396

Persistent link: https://www.econbiz.de/10001364531

Semiparametric sieve-type GLS inference in regressions with long-range dependence

Kapetanios, George (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428547

Finite sample lag adjusted critical values of the ADF-GLS test

Sephton, Peter S. - In: Computational economics 59 (2022) 1, pp. 177-183

Persistent link: https://www.econbiz.de/10013168958

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

An alternative approach for testing for linear association for two independent stationary AR(1) processess

Agiakloglou, Christos N.; Tsimpanos, Apostolos - In: Applied economics 44 (2012) 34/36, pp. 4799-4803

Persistent link: https://www.econbiz.de/10009713321

Multivariate stochastic volatility with dynamic cross leverage

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437486

Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466

Persistent link: https://www.econbiz.de/10009730816

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543