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Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models
Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10013165161
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011624144
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Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2015
Persistent link: https://www.econbiz.de/10011296884
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Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - In: Journal of applied econometrics 32 (2017) 1, pp. 103-119
Persistent link: https://www.econbiz.de/10011688267
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Forecasting with the standardized self-perturbed Kalman filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - In: Journal of applied econometrics 32 (2017) 2, pp. 318-341
Persistent link: https://www.econbiz.de/10011689787
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai; Bauwens, Luc - 2018
Persistent link: https://www.econbiz.de/10011946395
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Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014
Persistent link: https://www.econbiz.de/10010339076
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Convergence in European GDP series : a multivariate common converging trend-cycle decomposition
Luginbuhl, Rob; Koopman, Siem Jan - In: Journal of applied econometrics 19 (2004) 5, pp. 611-636
Persistent link: https://www.econbiz.de/10002342792
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Trend-stationary GNP : evidence from a new exact pointwise most powerful invariant unit root test
Shively, Philip A. - In: Journal of applied econometrics 16 (2001) 4, pp. 537-551
Persistent link: https://www.econbiz.de/10001601913
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A re-examination of the stationarity of inflation
Cook, Steven - In: Journal of applied econometrics 24 (2009) 6, pp. 1047-1053
Persistent link: https://www.econbiz.de/10003886958