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Pesaran, M. Hashem; Chudik, Alexander - In: Journal of econometrics 178 (2014) 1, pp. 273-285

Persistent link: https://www.econbiz.de/10010256161

Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks

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Persistent link: https://www.econbiz.de/10010506080

Inference on impulse response functions in structural VAR models

Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010189887

Methods for measuring expectations and uncertainty in Markov-switching models

Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99

Persistent link: https://www.econbiz.de/10011591621

Identification and estimation of non-Gaussian structural vector autoregressions

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304

Persistent link: https://www.econbiz.de/10011818296

Forecasting by factors, by variables, by both or neither?

Castle, Jennifer; Clements, Michael P.; Hendry, David F. - In: Journal of econometrics 177 (2013) 2, pp. 305-319

Persistent link: https://www.econbiz.de/10010255142

Model selection in under-specified equations facing breaks

Castle, Jennifer; Hendry, David F. - In: Journal of econometrics 178 (2014) 1, pp. 286-293

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Big data analytics : a new perspective

Chudik, Alexander; Kapetanios, George; Pesaran, M. Hashem - 2016

Model specification and selection are recurring themes in econometric analysis. Both topics become considerably more complicated in the case of large-dimensional data sets where the set of specification possibilities can become quite large. In the context of linear regression models, penalised...

Persistent link: https://www.econbiz.de/10011444508

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of econometrics 183 (2014) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10010506092

Estimating and testing high dimensional factor models with multiple structural changes

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Journal of econometrics 220 (2021) 2, pp. 349-365

Persistent link: https://www.econbiz.de/10012618518