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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

Persistent link: https://www.econbiz.de/10003248123

Model-based measurement of latent risk in time series with applications

Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - 2005

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The multi-state latent factor intensity model for credit rating transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - 2005

Persistent link: https://www.econbiz.de/10002983309

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

Persistent link: https://www.econbiz.de/10003115944

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

Persistent link: https://www.econbiz.de/10001718624

The empirical economic growth literature

Florax, Raymond J. G. M.; Groot, Henri L. F. de; … - 2002

Persistent link: https://www.econbiz.de/10001663831

Meta-analysis: A Tool for Upgrading Inputs of Macroeconomic Policy Models

Florax, Raymond J. G. M.; Groot, Henri L. F. de; Mooij, … - 2002

Persistent link: https://www.econbiz.de/10001663843

Accounting for dropouts in evaluations of social experiments

Heckman, James J.; Smith, Jeffrey A.; Taber, Christopher - 1994

Persistent link: https://www.econbiz.de/10000934892

Randomization as an instrumental variable

Heckman, James J. - 1995

Persistent link: https://www.econbiz.de/10000934994

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