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A comparison between bias approximations applied to bivariate VAR models

Brännström, Tomas - 1994

Persistent link: https://www.econbiz.de/10000893698

Lag-length selection in VAR-models using equal and unequal lag-length procedures

Gredenhoff, Mikael P.; Karlsson, Sune - 1997

Persistent link: https://www.econbiz.de/10000968575

A method to generate multivariate data with moments arbitrary close to the desired moments

Lyhagen, Johan (contributor) - 2001 - [Elektronische Ressource]

examplified with an Monte Carlo simulation where the importance of the ability of generating data with control of higher moments …

Persistent link: https://www.econbiz.de/10001629177

A smooth permanent surge process

González, Andrés (contributor) - 2004 - [Elektronische Ressource]

In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...

Persistent link: https://www.econbiz.de/10002465176