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Seize the last day : period-end-point sampling for forecasts of temporally aggregated data
Ellwanger, Reinhard; Snudden, Stephen; Arango-Castillo, … - 2023
Persistent link: https://www.econbiz.de/10014437443
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Out of sample predictability in predictive regressions with many predictor candidates
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020
Persistent link: https://www.econbiz.de/10012501524
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GLS detrending and regime-wise stationarity testing in small samples
Lopez, Claude (contributor) - 2008
Persistent link: https://www.econbiz.de/10003732589
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Is forecasting with large models informative? : assessing the role of judgement in macroeconomic forecasts
Mestre, Ricardo; McAdam, Peter - 2008
-for breaks in forecast accuracy and off-model judgment. Conclusions reached are that simple mechanical residual adjustments have …
Persistent link: https://www.econbiz.de/10003794046
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A time series approach to estimate discontinuities due to a survey redesign
Brakel, Jan A. van den; Roels, Joeri - 2009
Persistent link: https://www.econbiz.de/10003863474
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Parameter driven multi-state duration models : simulated vs. approximate maximum likelihood estimation
Monteiro, André Antonio - 2008
Persistent link: https://www.econbiz.de/10003690030
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Forecasting based on common trends in mixed frequency samples
Fulekey, Peter; Bonham, Carl Stanley - 2011
Persistent link: https://www.econbiz.de/10009377480
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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Parameter driven multi-state duration models : simulated vs. approximate maximum likelihood estimation
Monteiro, André Antonio - 2008 - This version: February 15, 2008
evaluating the likelihood, two of the methods rely on Monte Carlo integration with importance sampling techniques. The third …
Persistent link: https://www.econbiz.de/10011374420
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Forecasting with mixed frequency samples : the case of common trends
Fuleky, Peter; Bonham, Carl Stanley - 2013
Persistent link: https://www.econbiz.de/10009734218