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Co-integração e suas representações : uma resenha

Pereira, Pedro L. Valls - In: Revista de econometria 11 (1991) 2, pp. 185-215

Persistent link: https://www.econbiz.de/10001133312

Missing observations in stochastic difference equation with arma errors

Pereira, Pedro L. Valls - In: Revista de econometria 7 (1987) 1, pp. 5-34

Persistent link: https://www.econbiz.de/10001058448

Exact likelihood function for a regression model with MA(1) errors

Pereira, Pedro L. Valls - In: Economics letters 2 (1987), pp. 145-149

Persistent link: https://www.econbiz.de/10001032594

Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534

Persistent link: https://www.econbiz.de/10013274311

Testing for first order serial correlation in temporally aggregated regression models

Pereira, Pedro L. Valls - 2015

This paper shows that the LM statistic for testing first order serial correlation in regression models can be computed using the Kalman Filter. It is shown tha.t when there are missing observations, the LM statistic for this tesi is equivalent to the tesi statistic derived by Robinson (1985)...

Persistent link: https://www.econbiz.de/10011933981

On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - 2019

Persistent link: https://www.econbiz.de/10012179660