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Penalized sieve estimation and inference of seminonparametric dynamic models : a selective review

Chen, Xiaohong - 2013

Persistent link: https://www.econbiz.de/10010247717

Macroeconomics and volatility : data, models, and estimation

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2013

Persistent link: https://www.econbiz.de/10010247745

Recent developments in cointegration

Jusélius, Katarina (ed.) - 2018

The Cointegrated VAR model allows the user to study both long-run and shortrun effects in the same model. It describes an economic system where variables have been pushed away from long-run equilibria by exogenous shocks (the pushing forces) and where short-run adjustments forces pull them back...

Persistent link: https://www.econbiz.de/10011953882

Estimation of (dynamic) games : a discussion

Pesendorfer, Martin - 2013

Persistent link: https://www.econbiz.de/10010247760

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010421299

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97

derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …

Persistent link: https://www.econbiz.de/10010421302

Credible Granger-causality inference with modest sample lengths: A cross-sample validation approach

Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91

-consequential a priori partitioning of the data into an "in-sample" period - purportedly utilized only for model specification/estimation …

Persistent link: https://www.econbiz.de/10010421306

Do seasonal adjustments induce noncausal dynamics in inflation rates?

Hecq, Alain; Telg, Sean; Lieb, Lenard - In: Econometrics 5 (2017) 4, pp. 1-22

This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynamics on white noise series, a phenomenon already...

Persistent link: https://www.econbiz.de/10011995196

Jackknife bias reduction in the presence of a near-unit root

Chambers, Marcus J.; Kyriacou, Maria - In: Econometrics 6 (2018) 1, pp. 1-28

This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife estimator are derived, and the joint moment...

Persistent link: https://www.econbiz.de/10011995212

An overview of modified semiparametric memory estimation methods

Busch, Marie; Sibbertsen, Philipp - In: Econometrics 6 (2018) 1, pp. 1-21

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to … performance of nine semiparametric estimation methods. Among them are two standard methods, four modified approaches to account … the log-absolute return series of the S&P 500 shows that the estimation results combined with a long-memory test indicate …

Persistent link: https://www.econbiz.de/10011995214