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Search: subject:"invertibility"
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invertibility
57
Invertibility
27
asymptotic properties
18
stationarity
17
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13
Estimation theory
11
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11
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11
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dynamic conditional covariance
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vector random coefficient moving average
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Free
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23
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59
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McAleer, Michael
20
Blasques, Francisco
14
Koopman, Siem Jan
14
Martinet, Guillaume Gaetan
11
Forni, Mario
6
Gambetti, Luca
6
Gorgi, Paolo
6
Lucas, André
6
Sala, Luca
6
Miranda-Agrippino, Silvia
5
Ricco, Giovanni
5
Wintenberger, Olivier
5
Covarrubias, Enrique
4
Franchi, Massimo
4
Hafner, Christian M.
4
Beckert, Walter
3
Ng, Serena
3
Akram, Muhammad
2
Archibald, Blyth
2
Blanchard, Olivier J.
2
Blundell, Richard
2
Brummelen, Janneke van
2
Canova, Fabio
2
Chahrour, Ryan
2
D'Innocenzo, Enzo
2
Giloni, Avi
2
Gospodinov, Nikolay
2
Hurvich, Clifford M.
2
Jurado, Kyle
2
Lorenzoni, Guido
2
Lucas, Andre
2
Poskitt, D. S.
2
Vidotto, Anna
2
Ahn, Hyungtaik
1
Berry, Steven
1
Bibi, Abdelouahab
1
Brännäs, Kurt
1
Cai, Sixiang
1
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1
Cha, Ji Hwan
1
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Tinbergen Instituut
5
C.E.P.R. Discussion Papers
3
Department of Econometrics and Business Statistics, Monash Business School
3
Dipartimento di Scienze Statistiche, Facoltà di Scienze Statistiche
3
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
3
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2
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2
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2
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1
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1
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1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
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1
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1
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5
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3
DSS Empirical Economics and Econometrics Working Papers Series
3
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Journal of econometrics
3
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3
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2
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2
Development Research Working Paper Series
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Economics Letters
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1
Journal of Risk and Financial Management
1
Journal of Risk and Uncertainty
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1
PIER Working Paper Archive
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Source
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RePEc
44
ECONIS (ZBW)
34
EconStor
15
BASE
2
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95
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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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