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Unit and fractional roots in the presence of abrupt changes with an application to Brazilian inflation rate
Gil-Alaña, Luis A. - 2001
Persistent link: https://www.econbiz.de/10014461170
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Observation-driven filters for timeseries with stochastic trends and mixed causal non-causal dynamics
Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele - 2023
consistent with financial theory, for a decomposition of the time-series in trend and bubble components, and for meaningful real …
Persistent link: https://www.econbiz.de/10014380706
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In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015
We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...
Persistent link: https://www.econbiz.de/10010484891