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Search: subject:"invertibility"
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invertibility
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ECONIS (ZBW)
34
EconStor
15
RePEc
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BASE
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1
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco
;
van Brummelen, Janneke
;
Gorgi, Paolo
; …
-
2022
We consider an observation-driven location model where the unobserved location variable is modeled as a random walk process and where the error variable is from a mixture of normal distributions. The mixed normal distribution can approximate many continuous error distributions accurately. We...
Persistent link: https://www.econbiz.de/10012797266
Saved in:
2
Dynamic Partial Correlation Models
D'Innocenzo, Enzo
;
Lucas, André
-
2022
recurrence equations, we establish stationarity, ergodicity, and filter
invertibility
in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013427597
Saved in:
3
Identification with external instruments in structural VARs
Miranda-Agrippino, Silvia
;
Ricco, Giovanni
-
2022
Persistent link: https://www.econbiz.de/10013199501
Saved in:
4
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco
;
Brummelen, Janneke van
;
Gorgi, Paolo
; …
-
2022
We consider an observation-driven location model where the unobserved location variable is modeled as a random walk process and where the error variable is from a mixture of normal distributions. The mixed normal distribution can approximate many continuous error distributions accurately. We...
Persistent link: https://www.econbiz.de/10012795401
Saved in:
5
Dynamic partial correlation models
D'Innocenzo, Enzo
;
Lucas, André
-
2022
recurrence equations, we establish stationarity, ergodicity, and filter
invertibility
in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013375366
Saved in:
6
Identification of unobserved distribution factors and preferences in the collective household model
Hubner, Stefan
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 301-326
Persistent link: https://www.econbiz.de/10014364839
Saved in:
7
Identification and estimation of structural VARMA models using higher order dynamics
Velasco, Carlos
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 819-832
Persistent link: https://www.econbiz.de/10014448441
Saved in:
8
Identification with external instruments in structural VARs
Miranda-Agrippino, Silvia
;
Ricco, Giovanni
- In:
Journal of monetary economics
135
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014292056
Saved in:
9
Unified theory for the large family of time varying models with arma representations : one solution fits all
Karanasos, Menelaos
;
Paraskevopoulos, Athanasios
; …
-
2020
Persistent link: https://www.econbiz.de/10012387088
Saved in:
10
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:
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