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Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng; Koopman, Siem Jan; Lit, Rutger; Petrova, … - In: Journal of econometrics 214 (2020) 1, pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
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Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb - In: Journal of econometrics 87 (1998) 2, pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
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Missing observations in observation-driven time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - In: Journal of econometrics 221 (2021) 2, pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140
Persistent link: https://www.econbiz.de/10010433402
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Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P.; … - In: Journal of econometrics 193 (2016) 2, pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
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Surveying business uncertainty
Altig, David; Barrero, Jose Maria; Bloom, Nicholas; … - In: Journal of econometrics 231 (2022) 1, pp. 282-303
Persistent link: https://www.econbiz.de/10013441986
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Accelerating score-driven time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - In: Journal of econometrics 212 (2019) 2, pp. 359-376
Persistent link: https://www.econbiz.de/10012304023