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Numerical aspects of Bayesian VAR-modeling
Kadiyala, K. Rao; Karlsson, Sune - 1994
Persistent link: https://www.econbiz.de/10000885969
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Confidence about inflation forecasts : tests of variance rationality
Batchelor, R. A.; Jonung, L. - 1989
Persistent link: https://www.econbiz.de/10000087688
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Solution of macromodels with Hansen-Sargent robust policies : summary and some extensions
Giordani, Paolo (contributor); Söderlind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. May 15, 2003
applications to the term structure of interest rates, the time inconsistency of optimal monetary policy, the effects of …
Persistent link: https://www.econbiz.de/10001664234
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A nonlinear time series model of El Niño
Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998
Persistent link: https://www.econbiz.de/10000994162
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On the effects of imposing or ignoring long memory when forecasting
Andersson, Michael K. - 1998
Persistent link: https://www.econbiz.de/10000981126
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A Monte Carlo analysis of technical inefficiency predictors
Kumbhakar, Subal; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000984768
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Parametric covariance matrix modeling in Bayesian panel regression
Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005
The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...
Persistent link: https://www.econbiz.de/10002595455
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On seasonal error correction when the processes include different numbers of unit roots
Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001
We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...
Persistent link: https://www.econbiz.de/10001600047
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Forecasting with artificial network models
Rech, Gianluigi (contributor) - 2002 - [Elektronische Ressource]
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The … in comparison to other more sophisticated ANN models. -- Neural networks ; forecasting ; nonlinear time series …
Persistent link: https://www.econbiz.de/10001645582
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Common factors in conditional distributions
Granger, C. W. J. (contributor);  … - 2002 - [Elektronische Ressource]
application to the income-consumption relationship, using monthly US time series. Evidence is found to support the claim that the … business cycle is thus a common factor in distributions of the type defined and discussed in the paper. -- bivariate time … series ; business cycles ; conditional distribution ; consumption-income relationship ; copula ; multivariate time …
Persistent link: https://www.econbiz.de/10001714617