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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021
Persistent link: https://www.econbiz.de/10013259517
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Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752
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Forecasting consumer price index inflation in India : vector error correction mechanism vs. dynamic factor model approach for non-stationary time series
Bhattacharya, Rudrani; Kapoor, Mrigankshi - 2020
Persistent link: https://www.econbiz.de/10012542444
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Dynamic factor models, cointegration, and error correction mechanisms
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - 2016
of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …
Persistent link: https://www.econbiz.de/10011499818
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Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Barigozzi, Matteo - 2016
estimation of Non-Stationary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of …
Persistent link: https://www.econbiz.de/10013006677
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Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
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Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Barigozzi, Matteo - 2016
of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …
Persistent link: https://www.econbiz.de/10013210379
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Special section : 30 years of cointegration and dynamic factor models
Escribano, Álvaro (ed.); Peña, Daniel (ed.);  … - 2021
Persistent link: https://www.econbiz.de/10013274618
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A parametric factor model of the term structure of mortality
Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22
when the factors have unit roots. We suggest two estimation procedures similar to the estimation of the dynamic Nelson …
Persistent link: https://www.econbiz.de/10012025646
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Estimation of a dynamic multi-level factor model with possible long-range dependence
Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - In: International journal of forecasting 39 (2023) 1, pp. 405-430
Persistent link: https://www.econbiz.de/10014462789