Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models …

. Our framework takes into account factor estimation error and it does not depend on a specific factor estimation … factor estimation error. We show through Monte Carlo and empirical applications that these modified information criteria are …

when transferring the HC technology to time series environments via heteroskedasticity and autocorrelation consistent … inconsistent, so that OLS-HAC inference fails even asymptotically. Second, most economic time series have autocorrelation, which … renders OLS parameter estimates inefficient. Third, autocorrelation similarly renders conditional predictions based on OLS …

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and … modelling that enables stochastic structural change in model parameters and on model estimation by Bayesian or non …-parametric kernel methods. In the context of the estimation of covariance matrices of large dimensional panels, such data requires …