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Razzak, Weshah A. - 2022

temperature. Visually, there is a clear upward trend in both data. Time series analyses suggest that CO2 is difference …-stationary and temperature is trend-stationary. Thus, the moments (mean, variance, etc.) of the data in levels are functions of time … (and all greenhouse gases) are significantly smaller than the variance of temperature, hence they cannot explain the …

Persistent link: https://www.econbiz.de/10013193782

Heteroskedasticity-and-autocorrelation-consistent bootstrapping

Davidson, Russell; Monticini, Andrea - 2014

In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...

Persistent link: https://www.econbiz.de/10011774249

Generalized autoregressive method of moments

Creal, Drew; Koopman, Siem Jan; Lucas, André; … - 2015

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...

Persistent link: https://www.econbiz.de/10011431471

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

Persistent link: https://www.econbiz.de/10011373810

Likelihood functions for state space models with diffuse initial conditions

Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008

State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...

Persistent link: https://www.econbiz.de/10011374403

Spline smoothing over difficult regions

Koopman, Siem Jan; Wong, Soon Yip - 2008

We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...

Persistent link: https://www.econbiz.de/10011377377

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations. The authors propose a unified...

Persistent link: https://www.econbiz.de/10011554319

Biørn, Erik - 2014 - This version December 2014

The measurement error problem in linear time series regression, with focus on the impact of error memory, modeled as nite-order MA processes, is considered. Three prototype models, two bivariate and one univariate ARMA, and ways of handling the problem by using instrumental variables (IVs) are...

Persistent link: https://www.econbiz.de/10010459136

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different type of situations in which cointegration can appear: I(1), I(2), seasonal, polynomial, etc. There are also different kinds of Vector Error Correction models related to these situations. We propose a unified theoretical and...

Persistent link: https://www.econbiz.de/10011499608

Best linear unbiased estimate using buys-ballot procedure when trend-cycle component is linear

Iwueze, Iheanyi S.; Nwogu, Eleazar C.; Ajaraogu, Jude C. - In: CBN journal of applied statistics 2 (2011) 1, pp. 15-30

The Best linear unbiased estimate (BLUE) of Buys-Ballot estimates when trend-cycle component is linear are discussed in this paper. The estimates are those proposed by Iwueze and Nwogu (2004). Discussed are the Chain Based Estimation (CBE) method and the Fixed Based Estimation (FBE) method. The...

Persistent link: https://www.econbiz.de/10011477643

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