Search Results - subject:"differencing"

Moment-based estimation of linear panel data models with factor-augmented errors

Brown, Nicholas - 2023

with a parameterized quasi-long-differencing (QLD) transformation. The other, referred to as common correlated effects (CCE …

Persistent link: https://www.econbiz.de/10014451097

Approximate functional differencing

Dhaene, Geert; Weidner, Martin - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 379-416

differencing (Bonhomme in Econometrica 80(4):1337-1385, 2012), which works when the number of time periods T is fixed (and may be …, we provide an approximate version of functional differencing, that is, an approximate solution to the IPP that is …

Persistent link: https://www.econbiz.de/10014496053

Estimation of random cycles in persistent time series

Abadir, Karim Maher; Bailey, Natalia; Distaso, Walter; … - 2023

Persistent link: https://www.econbiz.de/10014533456

Approximate functional differencing

Dhaene, Geert; Weidner, Martin - In: SERIEs : Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 379-416

Persistent link: https://www.econbiz.de/10014462258

Moment-based estimation of linear panel data models with factor-augmented errors

Brown, Nicholas - 2023 - Date of draft: February 3, 2023

with a parameterized quasi-long-differencing (QLD) transformation. The other, referred to as common correlated effects (CCE …

Persistent link: https://www.econbiz.de/10013556881

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in Transition new series (SiTns) 23 (2022) 2, pp. 69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de/10013444133

Momentum Without Crashes

Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022

We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...

Persistent link: https://www.econbiz.de/10014236192

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87

Persistent link: https://www.econbiz.de/10013419429

Functional differencing in networks

Bonhomme, Stéphane; Dano, Kevin - In: Revue économique : revue bimestrielle 75 (2024) 1, pp. 147-175

Persistent link: https://www.econbiz.de/10014518672

Nonfractional long-range dependence: Long memory, antipersistence, and aggregation

Vera-Valdés, J. Eduardo - In: Econometrics 9 (2021) 4, pp. 1-18

This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we showed that the antipersistent phenomenon is...

Persistent link: https://www.econbiz.de/10012705255

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