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Autocovariance and linear transformations of Markov switching VARMA processes

Cavicchioli, Maddalena - In: Central European journal of economic modelling and … 6 (2014) 4, pp. 275-289

Persistent link: https://www.econbiz.de/10010503008

Dynamic stochastic general equilibrium (DSGE) modelling in practice : identification, estimation and evaluation

Nachane, Dilip M. - In: Macroeconomics and finance in emerging market economies 10 (2017) 1/3, pp. 107-134

Persistent link: https://www.econbiz.de/10011904813

Identification-robust moment-based tests for Markov switching in autoregressive models

Dufour, Jean-Marie; Luger, Richard - In: Econometric reviews 36 (2017) 6/9, pp. 713-727

Persistent link: https://www.econbiz.de/10011795382

Modeling multivariate time series with copula-linked univariate D-vines

Zhao, Zifeng; Shi, Peng; Zhang, Zhengjun - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 690-704

Persistent link: https://www.econbiz.de/10013534062

Intersection bounds: Estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam - 2012

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. We show that...

Persistent link: https://www.econbiz.de/10010318689