Search Results - subject:"Index models"

The time-varying multivariate autoregressive index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2024

Persistent link: https://www.econbiz.de/10014515646

On extending Powell, Stock, and Stoker (1989) to indexes with functionally dependent covariates

Ackerberg, Daniel A.; Haiqing Xu - In: Economics letters 242 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015079832

Sparse multiple index models for high-dimensional nonparametric forecasting

Palihawadana, Nuwani K.; Hyndman, Rob J.; Wang, Xiaoqian - 2024

Persistent link: https://www.econbiz.de/10015073818

Semi-parametric single-index predictive regression models with cointegrated regressors

Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015073842

Robust M-estimation for additive single-index cointegrating time series models

Donga, Chaohua; Gao, Jiti; Peng, Bin; Tu, Yundong - 2023

Persistent link: https://www.econbiz.de/10014315933

Non-stationary parametric single-index predictive models : simulation and empirical studies

Zhou, Ying; Kew, Hsein; Gao, Jiti - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 349-365). 2023

Persistent link: https://www.econbiz.de/10014313764

Treatment effect models with strategic interaction in treatment decisions

Hoshino, Tadao; Yanagi, Takahide - In: Journal of econometrics 236 (2023) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10014365544

The economic drivers of volatility and uncertainty

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2020

Persistent link: https://www.econbiz.de/10012301117

Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2014

Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied … convergence rates of the estimators for the single-index models and a trio of convergence rates for the partially linear single-index … models. More precisely, the estimators for single-index model converge along the direction of the true parameter vector at …

Persistent link: https://www.econbiz.de/10010958956

High-dimensional dynamic covariance matrices with homogeneous structure

Ke, Yuan; Lian, Heng; Zhang, Wenyang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 96-110

Persistent link: https://www.econbiz.de/10012804090