Similar Search Results

Determining the number of factors when the number of factors can increase with sample size

Li, Hongjun; Li, Qi; Shi, Yutang - In: Journal of econometrics 197 (2017) 1, pp. 76-86

Persistent link: https://www.econbiz.de/10011818343

A focused information criterion for quantile regression : evidence for the rebound effect

Behl, Peter; Dette, Holger; Frondel, Manuel; Vance, Colin - 2018

In contrast to conventional model selection criteria, the Focused Information Criterion (FIC) allows for the purpose-specific choice of model specifications. This accommodates the idea that one kind of model might be highly appropriate for inferences on a particular focus parameter, but not for...

Persistent link: https://www.econbiz.de/10011897904

Determining the number of factors after stationary univariate transformations

Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Empirical economics : a journal of the Institute for … 53 (2017) 1, pp. 351-372

Persistent link: https://www.econbiz.de/10011941375

Energy substitution : when model selection depends on the focus

Behl, Peter; Dette, Holger; Frondel, Manuel; Tauchmann, … - In: Energy economics 39 (2013), pp. 233-238

Persistent link: https://www.econbiz.de/10010234940

Penalized leads-and-lags cointegrating regression : a simulation study and two empirical applications

Neto, David - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 949-971

Persistent link: https://www.econbiz.de/10014329094

On the volatility of cryptocurrencies

Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2022

Persistent link: https://www.econbiz.de/10012938838

Modeling and forecasting by the vector autoregressive moving average model for export of coal and oil data (case study from Indonesia over the years 2002-2017)

Warsono; Russel, Edwin; Wamiliana; Widiarti; Mustofa Usman - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 4, pp. 240-247

Persistent link: https://www.econbiz.de/10012386807

Model combinations through revised base rates

Petropoulos, Fotios; Spiliotis, Evangelos; … - In: International journal of forecasting 39 (2023) 3, pp. 1477-1492

Persistent link: https://www.econbiz.de/10014465296

On the volatility of cryptocurrencies

Panagiōtidēs, Theodōros; Papapanagiotou, Georgios; … - In: Research in international business and finance 62 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10014248505

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388

Persistent link: https://www.econbiz.de/10012483394