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A simple nonstationary-volatility robust panel unit root test

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Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

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Identification of house price bubbles using user cost in a state space model

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Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...

Persistent link: https://www.econbiz.de/10011309972