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Testing for a Unit Root in Noncausal Autoregressive Models
Saikkonen, Pentti - 2013
and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to … higher than the power of conventional Dickey-Fuller tests and the M-tests of Lucas (1995, Econometric Theory 11, 331-346). In …
Persistent link: https://www.econbiz.de/10013072628
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Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi - 2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.
Persistent link: https://www.econbiz.de/10009388633
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Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi - 2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown. -- CARMA ; maximum-likelihood ;...
Persistent link: https://www.econbiz.de/10009685469
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Dealing with spatial data pooled over time in statistical models
Dubé, Jean; Legros, Diègo - In: Letters in spatial and resource sciences : LSRS 6 (2013) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010194543
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Recession propagation in small regional economies : spatial spillovers and endogenous clustering
Shibaev, Sergei S. - 2016
This paper develops a statistical model for measuring spatial interactions when estimating macroeconomic regimes and regime shifts. The model is applied to study the contagion and propagation of recessions in small regional economies in the United States from 1990 to 2015. The empirical analysis...
Persistent link: https://www.econbiz.de/10011567460
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A spatial econometric multivariate model of Okun's law
Elhorst, J. Paul; Emili, Silvia - In: Regional science & urban economics 93 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013264764
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Estimating and forecasting with a dynamic spatial panel data model
Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2011
Persistent link: https://www.econbiz.de/10009546961
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Estimating and forecasting with a dynamic spatial panel data model
Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - In: Oxford bulletin of economics and statistics 76 (2014) 1, pp. 112-138
Persistent link: https://www.econbiz.de/10010439610
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Smooth Transition Spatial Autoregressive Models
Andree, Bo Pieter Johannes - 2017
geometric ergodicity of the model. Simulation results justify the use of limit theory in empirically relevant settings. The …
Persistent link: https://www.econbiz.de/10012955267
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Spatial dependence in stock returns : local normalization and VaR forecasts
Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1091-1109
Persistent link: https://www.econbiz.de/10011481381