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The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...
Persistent link: https://www.econbiz.de/10005774248
We consider the problem of estimating missing values in vector time series. We give a method of calculating the minimum least squares estimate and a second method which uses the best linear combination of the forward and backward predictors. We derive the estimators for some simple models. We...
Persistent link: https://www.econbiz.de/10005783581
The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...
Persistent link: https://www.econbiz.de/10005022239
The paper proposes an original class of conditionally heteroskedastic models aimed to capture contemporaneous asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...
Persistent link: https://www.econbiz.de/10005641183
When estimating the parameters of a process, researchers can choose the reference unit of time (unit period) for their study. Frequently, they set the unit period equal to the observation interval. However, I show that decoupling the unit period from the observation interval facilitates the...
Persistent link: https://www.econbiz.de/10010933408
El presente documento analiza un modelo macroeconométrico de corto plazo para la economía colombiana, con el fin de evaluar el impacto de procesos de ajuste y estabilización. Se basa en una estructura que reconoce no neutralidades por rigideces de precios y descompone la economía a través...
Persistent link: https://www.econbiz.de/10005768238
We propose a generalized method of moment (GMM) estimator of the number of latent factors in linear factor models. The method is appropriate for panels a large (small) number of cross-section observations and a small (large) number of time-series observations. It is robust to heteroskedasticity...
Persistent link: https://www.econbiz.de/10005786921
Persistent link: https://www.econbiz.de/10005795225
Persistent link: https://www.econbiz.de/10005795238
conditional bias term which may not vanish at a rate faster than root-N when more than one continuous variable is used for … conditional bias, matching estimators with a fixed number of matches do not reach the semiparametric efficiency bound for average … treatment effects, although the efficiency loss may be small. Third, we propose a bias-correction that removes the conditional …
Persistent link: https://www.econbiz.de/10005832295