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On the degree of homogeneity in dynamic heterogeneous panel data models

Offermanns, Christian J. - 2014

We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing … equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more …

Persistent link: https://www.econbiz.de/10010414225

Penalized estimation of panel vector autoregressive models : a panel LASSO approach

Camehl, Annika - In: International journal of forecasting 39 (2023) 3, pp. 1185-1204

Persistent link: https://www.econbiz.de/10014465265

Does the long-run monetary model hold for Sub-Saharan Africa? : a time series and panel-cointegration study

Ibhagui, Oyakhilome - In: Research in international business and finance 47 (2019), pp. 279-303

Persistent link: https://www.econbiz.de/10012135734

Testing of parameter's instability in a balanced panel : an application to real effective exchange rate for SAARC countries

Agiwal, Varun; Kumar, Jitendra; Sharma, Sumit Kumar - 2017

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

Persistent link: https://www.econbiz.de/10011785064

A reconsideration of the meese-rogoff puzzle : an alternative approach to model estimation and forecast evaluation

Burns, Kelly - In: Multinational finance journal : MF ; quarterly … 20 (2016) 1, pp. 41-83

Persistent link: https://www.econbiz.de/10012106895

Averaged-calibration-length prediction for currency exchange rates by a time-dependent Vasicek model

Serafin, Tomasz; Michalak, Anna; Bielak, Łukasz; … - In: Theoretical economics letters 10 (2020) 3, pp. 579-599

Persistent link: https://www.econbiz.de/10012492075

A Reconsideration of the Meese-Rogoff Puzzle : An Alternative Approach to Model Estimation and Forecast Evaluation

Burns, Kelly - 2016

This study revisits the Meese-Rogoff puzzle by estimating the traditional monetary models of exchange rate determination in state-space form and comparing the accuracy of these forecasts against the naïve random walk model using a wide range of conventional and alternative measures of...

Persistent link: https://www.econbiz.de/10012996977

Mortality forecasting using stacked regression ensembles

Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M. - 2021

Persistent link: https://www.econbiz.de/10012616204

Mortality forecasting using stacked regression ensembles

Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M. - In: Scandinavian actuarial journal 2022 (2022) 7, pp. 591-626

Persistent link: https://www.econbiz.de/10013370726

Major agricultural trade volume in Ethiopia : trade balance and exchange rate relations a structural break analysis (using stability chow test, CUSUM and CUSUM squared residuals)

Gebeyehu, AB - In: Inventi impact: international trade (2015) 4, pp. 207-216

Persistent link: https://www.econbiz.de/10011456070

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