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Common trends and common cycles
Vahid, Farshid; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841625
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Arch models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000878183
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ARCH models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000899195
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Chapter 49 Arch models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - In: Handbook of econometrics : volume 4, (pp. 2959-3038). 1994
This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...
Persistent link: https://www.econbiz.de/10014024959
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Common Seasonal Features : Global Unemployment
Hylleberg, Svend; Engle, Robert F. - 2008
types of seasonality. Restrictions such as cointegration and common cycles are here applied also to examine multivariate …
Persistent link: https://www.econbiz.de/10014029581
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Stochastic Permanent Breaks
Smith, Aaron; Engle, Robert F. - 2008
This paper aims to bridge the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long run impact of each innovation is time varying and stochastic. Frequent transitory shocks are supplemented by occasional permanent shifts. The...
Persistent link: https://www.econbiz.de/10014048032
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Estimating sectoral cycles using cointegration and common features
Engle, Robert F.; Issler, João Victor - 1992
Persistent link: https://www.econbiz.de/10000841638
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Non-cointegration and econometric evaluation of models of regional shift and share
Brown, Scott James; Coulson, N. Edward; Engle, Robert F. - 1990
Persistent link: https://www.econbiz.de/10000786474
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[Rezension von: Engle, Robert F., ...,, Cointegration, causality, and forecasting]
Bewley, Ronald A. - In: Journal of economic literature 40 (2002) 3, pp. 931-933
Persistent link: https://www.econbiz.de/10001735218
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Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J.; Engle, Robert F.; Coulson, N. Edward - 2021
This paper tests for cointegration between regional output of an industry and national output of the same industry. An … equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …
Persistent link: https://www.econbiz.de/10013221307