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Calculating and Analizing Impulse Responses and their Asymptotic Distributions for the ARFIMA and VARMA Models.

Chung, C.F. - Economics Department, Michigan State University - 1994

Persistent link: https://www.econbiz.de/10005671973

Risk and Revelation: Changing the Value of Information.

Creane, A. - Economics Department, Michigan State University - 1993

Persistent link: https://www.econbiz.de/10005781219

Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?

Kwiatkowski, D.; Phillips, P.C.B.; Schmidt, P. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781225

Testing forUnit Root in the Presence of Deterministic Trends.

Schmidt, P.; Phillips, P.C.B. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781228

PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES.

BAILLIE, R.T.; BOLLERSLEV, R.T. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781229

The Minimum Distance Estimator for Fractionally Integrated ARMA Models.

Chung, C.F.; Schmidt, P. - Economics Department, Michigan State University - 1994

Persistent link: https://www.econbiz.de/10005487086

Long Memory Models and Macroeconomic Time Series.

Tieslau, M.A. - Economics Department, Michigan State University - 1991

Persistent link: https://www.econbiz.de/10005487088

Prediction from the Regression Model with one-way Error Components.

Baillie, R.T.; Baltagi, B.H. - Economics Department, Michigan State University - 1994

Persistent link: https://www.econbiz.de/10005487089

More Efficient Estimation under Non-Normality when Higher Moments do not Depend on the Regressors, using Residual-Augmented Lease Squares.

Im. K.S.; Schmidt, P. - Economics Department, Michigan State University - 1999

In this paper we show how the assumption that higher moments do not depend on the regressors can be exploited in a GMM framework, and we provide very simple estimators that are equivalent to GMM estimators. These simple estimators can be calculated by linear regressions which have been augmented...

Persistent link: https://www.econbiz.de/10005256218

A Modification of the Schmidt-Phillips Unit Root Test.

Lee, J.; Schmidt, P. - Economics Department, Michigan State University - 1991

Persistent link: https://www.econbiz.de/10005646698