EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Autoregressive model"
Narrow search

Narrow search

Year of publication
Subject
All
Autocorrelation 2,438 Autokorrelation 2,437 Theorie 1,003 Theory 1,002 Schätztheorie 802 Estimation theory 801 Time series analysis 743 Zeitreihenanalyse 743 Estimation 411 Schätzung 409 Räumliche Interaktion 363 Spatial interaction 363 Forecasting model 274 Prognoseverfahren 273 Regional economics 245 Regionalökonomik 245 Capital income 231 Kapitaleinkommen 231 Börsenkurs 213 Share price 213 Regressionsanalyse 208 Regression analysis 207 Einheitswurzeltest 202 Statistical test 202 Statistischer Test 202 Unit root test 202 USA 195 United States 195 Volatility 169 Volatilität 169 ARCH model 162 ARCH-Modell 162 Heteroscedasticity 137 Heteroskedastizität 137 Nonlinear regression 135 Nichtlineare Regression 134 Stochastic process 130 Stochastischer Prozess 129 Method of moments 121 Momentenmethode 121
more ... less ...
Online availability
All
Free 906 Undetermined 494 CC license 40
Type of publication
All
Article 1,423 Book / Working Paper 1,083 Other 1
Type of publication (narrower categories)
All
Article in journal 1,314 Aufsatz in Zeitschrift 1,314 Graue Literatur 547 Non-commercial literature 547 Working Paper 540 Arbeitspapier 537 Aufsatz im Buch 69 Book section 69 Hochschulschrift 34 Thesis 27 Collection of articles written by one author 16 Sammlung 16 Conference paper 13 Konferenzbeitrag 13 Amtsdruckschrift 5 Forschungsbericht 5 Government document 5 Article 3 Collection of articles of several authors 3 Sammelwerk 3 Conference proceedings 2 Konferenzschrift 2 Aufsatzsammlung 1 Bibliografie enthalten 1 Bibliography included 1 Festschrift 1 Mikroform 1 Nachschlagewerk 1 Reference book 1 Reprint 1 Systematic review 1 Übersichtsarbeit 1
more ... less ...
Language
All
English 2,426 Undetermined 43 German 20 French 10 Polish 3 Spanish 2 Croatian 1 Russian 1 Ukrainian 1
more ... less ...
Author
All
Phillips, Peter C. B. 61 Lee, Lung-fei 43 Sun, Yixiao 39 Teräsvirta, Timo 23 Lanne, Markku 21 Lesage, James P. 21 Rahbek, Anders 18 Saikkonen, Pentti 18 Pesaran, M. Hashem 16 Bec, Frédérique 15 Franses, Philip Hans 15 Griffith, Daniel A. 15 Ravazzolo, Francesco 15 Egger, Peter 14 Kapetanios, George 14 Koopman, Siem Jan 14 Prucha, Ingmar R. 14 Robinson, Peter M. 14 Cavaliere, Giuseppe 13 Dufour, Jean-Marie 13 Gouriéroux, Christian 13 Kelejian, Harry H. 13 Lieberman, Offer 13 Rossi, Francesca 13 Timmermann, Allan 13 Vogelsang, Timothy J. 13 Jin, Fei 12 Magdalinos, Tassos 12 Sul, Donggyu 12 Abadir, Karim Maher 11 Blasques, Francisco 11 Guggenberger, Patrik 11 Medeiros, Marcelo C. 11 Shin, Yongcheol 11 Sola, Martin 11 Wang, Hansheng 11 Andrews, Donald W. K. 10 Baltagi, Badi H. 10 Bao, Yong 10 Dijk, Dick van 10
more ... less ...
Institution
All
National Bureau of Economic Research 12 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 9 Ekonomiska forskningsinstitutet <Stockholm> 8 Queen Mary College / Department of Economics 5 Cowles Foundation for Research in Economics, Yale University 4 European University Institute / Department of Economics 4 London School of Economics and Political Science 3 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 3 Umeå Universitet / Institutionen för Nationalekonomi 3 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Columbia University / Department of Economics 2 Dipartimento di Economia, Università degli Studi di Roma 3 2 Département de Sciences Économiques, Université de Montréal 2 Econometrisch Instituut <Rotterdam> 2 Escola de Pós-Graduação em Economia <Rio de Janeiro> 2 Federal Reserve Bank of St. Louis 2 Københavns Universitet / Økonomisk Institut 2 Rodney L. White Center for Financial Research 2 State University of New York at Albany / Department of Economics 2 Suntory-Toyota International Centre for Economics and Related Disciplines 2 Universitat Pompeu Fabra / Departament d'Economia i Empresa 2 University of California, San Diego / Department of Economics 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Aarhus Universitet / Afdeling for Nationaløkonomi 1 Asia-Pacific Real Estate Research Symposium <2010, Hongkong> 1 Asia-Pacific Real Estate Research Symposium <2011, Adelaide> 1 Berkeley Electronic Press 1 Boston College / Department of Economics 1 Center for Economic Research <Tilburg> 1 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 1 Centre for Analytical Finance <Århus> 1 Christian-Albrechts-Universität zu Kiel 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Departamento de Economía, Universidad Carlos III de Madrid 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 1 Department of Economics, University of Sheffield 1 Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften 1 Economic Research Service, Department of Agriculture 1
more ... less ...
Published in...
All
Journal of econometrics 141 Economics letters 72 Econometric theory 61 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 48 Econometric reviews 44 Discussion paper / Tinbergen Institute 29 Journal of forecasting 29 Regional science & urban economics 28 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 28 The econometrics journal 27 Cowles Foundation discussion paper 24 Applied economics letters 23 International journal of forecasting 20 Economic modelling 19 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 19 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 18 Working paper 18 Journal of empirical finance 17 Applied economics 16 Journal of regional science 16 CESifo working papers 15 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 13 CREATES research paper 12 Econometrics : open access journal 12 Journal of applied econometrics 12 The journal of real estate finance and economics 12 Working paper / Department of Econometrics and Business Statistics, Monash University 12 Cowles Foundation Discussion Paper 11 NBER Working Paper 11 Oxford bulletin of economics and statistics 11 Série des documents de travail / Centre de Recherche en Économie et Statistique 11 European journal of operational research : EJOR 10 SSE EFI working paper series in economics and finance 10 The European journal of finance 10 Working paper / National Bureau of Economic Research, Inc. 10 Applied financial economics 9 Discussion papers / Helsinki Center of Economic Research : discussion paper 9 Discussion papers in economics 9 Discussion papers in economics and econometrics 9 Discussion papers of interdisciplinary research project 373 9
more ... less ...
Source
All
ECONIS (ZBW) 2,450 RePEc 50 EconStor 6 BASE 1
Showing 1 - 50 of 2,507
Cover Image
Copula tensor count autoregressions for modeling multidimensional integer-valued time series
Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025
This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195717
Saved in:
Cover Image
Generalised spatial autocorrelation coefficients
Wywiał, Janusz - In: Statistics in transition : an international journal of … 26 (2025) 1, pp. 1-8
The article focuses on properties generalised to the multidimensional case of known coefficients of spatial correlation. The main result of the work is the decomposition of the introduced generalised autocorrelation coefficients into the sum of ordinary autocorrelation coefficients, but...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338287
Saved in:
Cover Image
Uniform inference with general autoregressive processes
Magdalinos, Tassos; Petrova, Petrova - 2025
A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396070
Saved in:
Cover Image
A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015401165
Saved in:
Cover Image
An IID test for functional time series with applications to high-frequency VIX index data
Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25
To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333723
Saved in:
Cover Image
Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes
Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025
The multivariate Vasicek model is commonly used to capture mean-reverting dynamics typical for short rates, asset price stochastic log-volatilities, etc. Reparametrizing the discretized problem as a VAR(1) model, the parameters are oftentimes estimated using the multivariate least squares (MLS)...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338665
Saved in:
Cover Image
How do macroaggregates and income distribution interact dynamically? : a novel structural mixed autoregression with aggregate and functional variables
Chang, Yoosoon; Kim, So-yŏng; Park, Joon Y. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410418
Saved in:
Cover Image
Bayesian analysis for functional coefficient conditional autoregressive range model with applications
Wang, Bin; Qian, Yixin; Yu, Enping - In: Economic modelling 144 (2025), pp. 1-12
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193856
Saved in:
Cover Image
A Hawkes model with CARMA(p,q) intensity
Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit - In: Insurance : mathematics and economics 116 (2024), pp. 1-26
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066742
Saved in:
Cover Image
Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order
Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - In: Econometric theory 40 (2024) 5, pp. 1159-1183
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015154320
Saved in:
Cover Image
Forecasting crude oil volatility and stock volatility : new evidence from the quantile autoregressive model
Chen, Yan; Zhang, Lei; Zhang, Feipeng - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-14
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135066
Saved in:
Cover Image
Forecasts of the mortality risk of COVID-19 using the Markov-switching autoregressive model : a case study of Nigeria (2020-2022)
Ayodeji, Idowu Oluwasayo - In: Statistics in transition : an international journal of … 25 (2024) 3, pp. 123-140
The global pandemic due to SARS-Cov-2 ravaged the world and killed more than 6 million people globally within two years. Studies predicting future occurrences are essential to effectively combat the virus. This study modeled daily fatality rate in Nigeria from March 23, 2020 to March 19, 2022...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015127221
Saved in:
Cover Image
Estimation and inference in low frequency factor model regressions with overlapping observations
Dossani, Asad - In: Journal of empirical finance 78 (2024), pp. 1-25
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015132821
Saved in:
Cover Image
The asymmetric effect of G7 stock market volatility on predicting oil price volatility : evidence from quantile autoregression model
Zhang, Feipeng; Gao, Hongfu; Yuan, Di - In: Journal of commodity markets : JCM 35 (2024), pp. 1-17
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077268
Saved in:
Cover Image
A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression
Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16
In this study, we proposed two types of hybrid models based on the heterogeneous autoregressive (HAR) model and support vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is first predicted using the HAR model, and the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480965
Saved in:
Cover Image
Accounting for spatial autocorrelation in algorithm-driven hedonic models : a spatial cross-validation approach
Deppner, Juergen; Cajias, Marcelo - In: The journal of real estate finance and economics 68 (2024) 2, pp. 235-273
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014494209
Saved in:
Cover Image
On testing for bubbles during hyperinflations
Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014506885
Saved in:
Cover Image
Implied probability kernel block bootstrap for times series moment condition models
Parente, Paulo M. D. C.; Smith, Richard J. - 2024
This article generalizes and extends the kernel block bootstrap (KBB) method of Parente and Smith (2018, 2021) to provide a comprehensive treatment of its use for GMM estimation and inference in time-series models formulated in terms of moment conditions. KBB procedures that employ bootstrap...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520806
Saved in:
Cover Image
A consistent and robust test for autocorrelated jump occurrences
Kwok, Simon Sai Man - In: Journal of financial econometrics 22 (2024) 1, pp. 157-186
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526309
Saved in:
Cover Image
Dynamic models for multi-dimensional time series
Wiersma, Quint - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014534933
Saved in:
Cover Image
A hybrid econometrics and machine learning based modeling of realized volatility of natural gas
Kristjanpoller Rodríguez, Werner - In: Financial innovation : FIN 10 (2024), pp. 1-32
Determining which variables afect price realized volatility has always been challenging. This paper proposes to explain how fnancial assets infuence realized volatility by developing an optimal day-to-day forecast. The methodological proposal is based on using the best econometric and machine...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014535318
Saved in:
Cover Image
Inference in a stationary/nonstationary autoregressive time-varying-parameter model
Andrews, Donald W. K.; Li, Ming - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014538994
Saved in:
Cover Image
Assessing the asymmetric effect of global climate anomalies on food prices : evidence from local prices
Emediegwu, Lotanna E. - In: Environmental and resource economics 87 (2024) 10, pp. 2743-2772
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078835
Saved in:
Cover Image
Technical efficiency versus land-use efficiency : a spatio-temporal efficiency analysis of China's crop production
Yin, Fang; Sun, Zhanli; You, Liangzhi; Huang, Wei - In: German journal of agricultural economics : GJAE 73 (2024) 2, pp. 1-20
Improved land-use efficiency in agricultural production is crucial to meet increasing demand for agricultural commodities using the finite area of arable land worldwide. By applying a spatial autoregressive stochastic frontier methodology to county-level data spanning from 1980 to 2011, we...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015080955
Saved in:
Cover Image
OLS limit theory for drifting sequences of parameters on the explosive side of unity
Magdalinos, Tassos; Petrova, Katerina - 2024
A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfying ρn → ρ ∈ (-∞, -1] ∪ [1, ∞) and n (|ρn| -1) → ∞. Drifting sequences of innovations and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015051928
Saved in:
Cover Image
The validity of bootstrap testing for threshold autoregression
Giannerini, Simone; Goracci, Greta; Rahbek, Anders - In: Journal of econometrics 239 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015073962
Saved in:
Cover Image
Spherical autoregressive models, with application to distributional and compositional time series
Zhu, Changbo; Müller, Hans-Georg - In: Journal of econometrics 239 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015074458
Saved in:
Cover Image
An autocovariance-based learning framework for high-dimensional functional time series
Chang, Jinyuan; Chen, Cheng; Qiao, Xinghao; Yao, Qiwei - In: Journal of econometrics 239 (2024) 2, pp. 1-25
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015074461
Saved in:
Cover Image
Robust inference on correlation under general heterogeneity
Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B. - In: Journal of econometrics 240 (2024) 1, pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075086
Saved in:
Cover Image
Maximum likelihood estimation of a spatial autoregressive model for origin-destination flow variables
Jeong, Hanbat; Lee, Lung-fei - In: Journal of econometrics 242 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075214
Saved in:
Cover Image
Solving unconstrained binary polynomial programs with limited reach : Application to low autocorrelation binary sequences
Clausen, Jens Vinther; Crama, Yves; Lusby, Richard; … - In: Computers & operations research : an international journal 165 (2024), pp. 1-13
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014563729
Saved in:
Cover Image
Forecast performance of noncausal autoregressions and the importance of unit root pretesting
Bec, Frédérique; Bohn Nielsen, Heino - In: Journal of forecasting 43 (2024) 8, pp. 3072-3088
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110600
Saved in:
Cover Image
Optimal HAR inference
Dou, Liyu - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 1107-1149
This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite‐sample optimal tests in the Gaussian...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190109
Saved in:
Cover Image
Beyond parametric bounds : exploring regional unemployment patterns using semiparametric spatial autoregression
Furková, Andrea; Knížat, Peter - In: Business systems research : a system view accross … 15 (2024) 2, pp. 48-66
Background It is a well-known phenomenon that nonlinearities that are inherent in the relationship among economic variables negatively affect the commonly used estimators in the econometric models. The nonlinearities cause an instability of the estimated parameters that, in particular, are...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015108406
Saved in:
Cover Image
Unbounded Heteroscedasticity in Autoregressive Models
Kourogenis, Nikolaos; Pittis, Nikitas; Samartzis, Panagiotis - 2023
This paper develops the asymptotic theory for stable autoregressive models in which the noise variance grows in a polynomial-like fashion. It is shown that the asymptotic distribution of the OLS estimator of the coefficient vector is multivariate normal with a covariance matrix that depends on...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014353092
Saved in:
Cover Image
When Does Agreement to Disagree Generate Positive Return Autocorrelation?
Kyle, Albert S.; Wang, Yajun - 2023
Banerjee, Kaniel, and Kremer (2009) claim that specific models of disagreement (their Examples 3 and 4) illustrate positive return autocorrelation (price drift). Based on a formal definition of equilibrium with heterogeneous beliefs, we prove that these examples do not actually generate price...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014356304
Saved in:
Cover Image
Bayesian SAR model with stochastic volatility and multiple time-varying weights
Costola, Michele; Iacopini, Matteo; Wichers, Casper - 2023
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014416011
Saved in:
Cover Image
Asymmetric wealth effect between US stock markets and US housing market and European stock markets : evidences from TAR and MTAR
Coelho, Pedro Pacheco; Gomes, Luís; Ramos, Patrícia - In: Risks : open access journal 11 (2023) 7, pp. 1-14
Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014340266
Saved in:
Cover Image
Agglomeration effects and unemployment to work : evidence from French data
Duguet, Emmanuel; L'Horty, Yannick; Sari, Florent - In: Papers in regional science : the journal of the … 102 (2023) 1, pp. 129-166
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014342333
Saved in:
Cover Image
Co-Occurrence : A New Perspective on Portfolio Diversification
Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023
Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014343662
Saved in:
Cover Image
Heterogeneous Autoregressions in Short T Panel Data Models
Pesaran, M. Hashem; Yang, Liying - 2023
This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients, with a focus on the first two...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014347822
Saved in:
Cover Image
Autoregressive conditional durations : an application to the Surinamese dollar versus the US dollar exchange rate
Ooft, Gavin; Franses, Philip Hans; Bhaghoe, Sailesh - In: Review of development economics : an essential resource … 27 (2023) 4, pp. 2618-2637
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014427710
Saved in:
Cover Image
Estimating and applying autoregression models via their eigensystem representation
Krippner, Leo - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014432302
Saved in:
Cover Image
Modeling inflation rate factors on present consumption price index in Ethiopia : threshold autoregressive models approach
Abebe, Alebachew; Temesgen, Aboma; Kebede, Belete - In: Future Business Journal 9 (2023), pp. 1-12
Background Inflation is the industrious and non-stop ascent in the overall prices of any given commodity in an economy. During the global food crisis, Ethiopia experienced an unprecedented increase in inflation ranked the highest in Africa. It is among the most macroeconomic variable described...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014381931
Saved in:
Cover Image
Non-linearities in international prices
Yi, In-gu; Park, Sang Soo; Zachariadis, Marios - In: The Canadian journal of economics : the journal of the … 56 (2023) 3, pp. 1032-1062
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014364427
Saved in:
Cover Image
The cost of deviation: a generalized spatial autoregressive model
Shin, Jaekyeong - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532131
Saved in:
Cover Image
Simultaneous equations with censored outcomes and social interactions
Zhou, Sutianjie - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532155
Saved in:
Cover Image
A time-varying threshold STAR model with applications
Dueker, Michael; Jackson, Laura; Owyang, Michael T.; … - In: Oxford open economics 2 (2023), pp. 1-12
Smooth-transition autoregressive (STAR) models, competitors of Markov-switching models, are limited by an assumed time-invariant threshold level. We augment the STAR model with a time-varying threshold that can be interpreted as a 'tipping level' where the mean and dynamics of the VAR shift....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014492218
Saved in:
Cover Image
Local projections, autocorrelation, and efficiency
Lusompa, Amaze - In: Quantitative economics : QE ; journal of the … 14 (2023) 4, pp. 1199-1220
It is well known that Local Projections (LP) residuals are autocorrelated. Conventional wisdom says that LP have to be 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...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014496501
Saved in:
Cover Image
Impact of public transportation on European countries' development : a spatial perspective
Matyas, Andreea - In: Central European economic journal 10 (2023) 57, pp. 403-413
Sustainability is a key topic nowadays, mostly because in the last decade the pollution levels have reached an all-time high. National governments are searching for sustainable and environmentally friendly solutions to decrease the amount of pollution. This study is a cross-sectional study on 27...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014445233
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...