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Maximum likelihood estimation for generalized autoregressive score models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …

Persistent link: https://www.econbiz.de/10010250505

Maximum likelihood estimation for score-driven models

Blasques, Francisco; Brummelen, Janneke van; Koopman, … - In: Journal of econometrics 227 (2022) 2, pp. 325-346

Persistent link: https://www.econbiz.de/10013442028

Drift criteria for persistence of discrete stochastic processes on the line

Bottazzi, Giulio; Dindo, Pietro - In: Journal of mathematical economics 101 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013538997

Estimating a DSGE model for Japan in a data-rich environment

Iiboshi, Hirokuni; Matsumae, Tatsuyoshi; Namba, Ryoichi; … - In: Journal of the Japanese and international economies : … 36 (2015), pp. 25-55

Persistent link: https://www.econbiz.de/10011380592

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman R. - 2013

In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published …

Persistent link: https://www.econbiz.de/10009766717

Estimation of long memory in integrated variance

Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814

Persistent link: https://www.econbiz.de/10010363876

The effect of round-off error on long memory processes

La Spada, Gabriele; Lillo, Fabrizio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 445-482

Persistent link: https://www.econbiz.de/10010461206

Measurement errors and monetary policy : then and now

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Journal of economic dynamics & control 79 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011817602

On some statistical properties of a stationary Gaussian process in the presence of measurement errors

Bera, Kuntal; Anis, M. Z. - In: Statistics in transition : an international journal of … 25 (2024) 4, pp. 137-155

Process outputs of many production processes like chemical, food processing and pharmaceutical industry follow a stationary Gaussian process. Some amount of measurement error always present in the measured data due to inaccurate measuring processes. Throughout this paper, we discuss some...

Persistent link: https://www.econbiz.de/10015338241

Dynamic model analysis : advanced matrix methods and unit root econometrics representation theorems

Faliva, Mario; Zoia, Maria Grazia - 2009 - 2. ed.

Persistent link: https://www.econbiz.de/10003744397