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System estimation of panel data models under long-range dependence

Ergemen, Yunus Emre - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 13-26

Persistent link: https://www.econbiz.de/10012175866

Parametric estimation of long memory in factor models

Ergemen, Yunus Emre - 2022

Persistent link: https://www.econbiz.de/10013367389

Forecasting inflation rates with multi-level international dependence

Ergemen, Yunus Emre - In: Economics letters 214 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013448147

Parametric estimation of long memory in factor models

Ergemen, Yunus Emre - In: Journal of econometrics 235 (2023) 2, pp. 1483-1499

Persistent link: https://www.econbiz.de/10014471404

Estimation of a dynamic multi-level factor model with possible long-range dependence

Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - In: International journal of forecasting 39 (2023) 1, pp. 405-430

Persistent link: https://www.econbiz.de/10014462789

A dynamic multi-level factor model with long-range dependence

Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - 2016

Persistent link: https://www.econbiz.de/10011524107

Fractionally Integrated Panel Data Systems

Ergemen, Yunus Emre - 2015

We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross-section dependence, and possibly correlated persistent innovations that are assumed fractionally integrated. In the model, a) persistence in the innovations and the common factor allows for...

Persistent link: https://www.econbiz.de/10013031907

Estimation of fractionally integrated panels with fixed effects and cross-section dependence

Ergemen, Yunus Emre; Velasco, Carlos - In: Journal of econometrics 196 (2017) 2, pp. 248-258

Persistent link: https://www.econbiz.de/10011818289