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accessRights:"restricted"
subject:"Zeitreihenanalyse"
~person:"Koopman, Siem Jan"
~person:"Lütkepohl, Helmut"
~person:"Omay, Tolga"
~subject:"Consistency"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Consistency
Estimation theory
26
Schätztheorie
26
Time series analysis
19
VAR model
9
VAR-Modell
9
Bootstrap approach
6
Bootstrap-Verfahren
6
Einheitswurzeltest
6
Heteroscedasticity
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Heteroskedastizität
6
Unit root test
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Estimation
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Structural vector autoregression
4
Cointegration
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Conditional heteroskedasticity
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Correlation
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3
Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Strukturbruch
3
Asymptotic normality
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Bayes-Statistik
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Bayesian inference
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Koopman, Siem Jan
Lütkepohl, Helmut
Omay, Tolga
Gao, Jiti
10
Phillips, Peter C. B.
10
Li, Jia
9
Kapetanios, George
8
Zhu, Ke
8
Linton, Oliver
7
Taylor, Robert
7
Teräsvirta, Timo
7
Blasques, Francisco
6
Demetrescu, Matei
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Marcellino, Massimiliano
6
Nielsen, Morten Ørregaard
6
Shang, Han Lin
6
Todorov, Viktor
6
Wang, Shouyang
6
Davis, Richard A.
5
Dong, Chaohua
5
Francq, Christian
5
Sbrana, Giacomo
5
Sucarrat, Genaro
5
Tauchen, George Eugene
5
Zhang, Xinyu
5
Agiakloglou, Christos N.
4
Andersen, Torben
4
Baillie, Richard
4
Bollerslev, Tim
4
Cavaliere, Giuseppe
4
Fan, Jianqing
4
Hassler, Uwe
4
Hendry, David F.
4
Hong, Yongmiao
4
Hyndman, Rob J.
4
Johansen, Søren
4
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Journal of econometrics
5
Computational economics
3
Econometric reviews
2
International journal of forecasting
2
Journal of economic dynamics & control
2
Applied economics
1
Applied economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic surveys
1
The econometrics journal
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ECONIS (ZBW)
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing
Omay, Tolga
;
Iren, Perihan
- In:
Computational economics
61
(
2023
)
1
,
pp. 233-265
Persistent link: https://www.econbiz.de/10014228424
Saved in:
3
Using double frequency in fourier Dickey-Fuller unit root test
Cai, Yifei
;
Omay, Tolga
- In:
Computational economics
59
(
2022
)
2
,
pp. 445-470
Persistent link: https://www.econbiz.de/10013169016
Saved in:
4
Heteroscedastic proxy vector autoregressions
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1268-1281
Persistent link: https://www.econbiz.de/10013539510
Saved in:
5
A time-varying parameter model for local explosions
Blasques, Francisco
;
Koopman, Siem Jan
;
Nientker, Marc
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 65-84
Persistent link: https://www.econbiz.de/10013441623
Saved in:
6
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
Saved in:
7
Comparison of optimization algorithms for selecting the fractional frequency in Fourier form unit root tests
Omay, Tolga
;
Emirmahmutoglu, Furkan
;
Shahzad, Syed …
- In:
Applied economics
53
(
2021
)
7
,
pp. 761-780
Persistent link: https://www.econbiz.de/10012416087
Saved in:
8
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
9
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
10
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
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