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Cointegration analysis with state space models
Wagner, Martin - 2010
Persistent link: https://www.econbiz.de/10003931105
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Cointegration analysis with state space models
Wagner, Martin - 2010
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …
Persistent link: https://www.econbiz.de/10009733805
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Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - In: Journal of applied econometrics 30 (2015) 3, pp. 377-397
Persistent link: https://www.econbiz.de/10011327583
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Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2012
Persistent link: https://www.econbiz.de/10009719912
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Missing in Asynchronicity : A Kalman-EM Approach for Multivariate Realized Covariance Estimation
Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2013
estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm …
Persistent link: https://www.econbiz.de/10014173246
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Tests for cointegration rank and choice of the alternative
Cavaliere, Giuseppe; Fanelli, Luca; Paruolo, Paolo - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 2, pp. 169-191
Persistent link: https://www.econbiz.de/10003858175
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Testing for unit roots in panel data using a wavelet ratio method
Li, Yushu; Shukur, Ghazi - In: Computational economics 41 (2013) 1, pp. 59-69
Persistent link: https://www.econbiz.de/10009705033
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan (contributor); Ahn, Sung K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496561
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Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
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Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016
We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...
Persistent link: https://www.econbiz.de/10011456728