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Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
Armah, Nii Ayi; Swanson, Norman R. - In: Econometric reviews 29 (2010) 5/6, pp. 476-510
Persistent link: https://www.econbiz.de/10008668183
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Long memory regressors and predictive testing : a two-stage rebalancing approach
Maynard, Alex; Smallwood, Aaron D.; Wohar, Mark E. - In: Econometric reviews 32 (2013) 1/4, pp. 318-360
Persistent link: https://www.econbiz.de/10009717790
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A predictive approach for selection of diffusion index models
Ando, Tomohiro; Tsay, Ruey S. - In: Econometric reviews 33 (2014) 1/4, pp. 68-99
Persistent link: https://www.econbiz.de/10010358477
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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Generalized integer-valued autoregression
Brännäs, Kurt; Hellström, Jörgen - In: Econometric reviews 20 (2001) 4, pp. 425-443
Persistent link: https://www.econbiz.de/10001620901
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On asymptotic risk of selecting models for possibly nonstationary time-series
Yu, Shu-Hui; Sin, Chor-yiu - In: Econometric reviews 40 (2021) 4, pp. 387-414
Persistent link: https://www.econbiz.de/10012515606
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Model averaging in a multiplicative heteroscedastic model
Zhao, Shangwei; Ma, Yanyuan; Wan, Alan T. K.; Zhang, Xinyu - In: Econometric reviews 39 (2020) 10, pp. 1100-1124
Persistent link: https://www.econbiz.de/10012406211
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Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779
Persistent link: https://www.econbiz.de/10011592391
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Multistep ahead forecasting of vector time series
McElroy, Tucker; McCracken, Michael W. - In: Econometric reviews 36 (2017) 5, pp. 495-513
Persistent link: https://www.econbiz.de/10011795256
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Forecasting vector autoregressions with mixed roots in the vicinity of unity
Tu, Yundong; Xie, Xinling - In: Econometric reviews 42 (2023) 7, pp. 556-585
Persistent link: https://www.econbiz.de/10014321655