Similar Search Results

Local projections, autocorrelation, and efficiency

Lusompa, Amaze - In: Quantitative economics : QE ; journal of the … 14 (2023) 4, pp. 1199-1220

estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator … would be inconsistent. I show that the autocorrelation process of LP can be written as a Vector Moving Average (VMA) process … of the Wold errors and impulse responses and that autocorrelation can be corrected for using a consistent GLS estimator …

Persistent link: https://www.econbiz.de/10014496501

Estimating and applying autoregression models via their eigensystem representation

Krippner, Leo - 2023

Persistent link: https://www.econbiz.de/10014432302

Forecast accuracy of the linear and nonlinear autoregressive models in macroeconomic modeling

Taiebnia, Ali; Mohammadi, Shapour - In: Journal of forecasting 42 (2023) 8, pp. 2045-2062

Persistent link: https://www.econbiz.de/10014432847

Forecasting nonlinear aggregates and aggregates with time-varying weights

Lütkepohl, Helmut - 2010

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a...

Persistent link: https://www.econbiz.de/10003966437

Econometric analysis of financial count data and portfolio choice : a dynamic approach

Rengifo, Erick W. - 2005

Persistent link: https://www.econbiz.de/10003987160

Multivariate contemporaneous-threshold autoregressive models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-325

Persistent link: https://www.econbiz.de/10009242250

Estimation and inference for impulse response functions from univariate strongly persistent processes

Baillie, Richard; Kapetanios, George - In: The econometrics journal 16 (2013) 3, pp. 373-399

Persistent link: https://www.econbiz.de/10010253634

Automatic specification testing for vector autoregressions and multivariate nonlinear time series models

Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 426-437

Persistent link: https://www.econbiz.de/10010337859

Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil

Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213

Persistent link: https://www.econbiz.de/10009779296

Forecasts in a slightly misspecified finite order var

Müller, Ulrich K.; Stock, James H. - 2011

"We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding...

Persistent link: https://www.econbiz.de/10008825323