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International evidence on the New Keynesian Phillips Curve using aggregate and disaggregate data
Byrne, Joseph P.; Kontonikas, Alexandros; Montagnoli, … - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 913-932
Persistent link: https://www.econbiz.de/10010197601
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The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric - In: Journal of empirical finance 32 (2015), pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
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Estimating aggregate autoregressive processes when only macro data are available
Jondeau, Eric; Pelgrin, Florian - In: Economics letters 124 (2014) 3, pp. 341-347
Persistent link: https://www.econbiz.de/10010493972
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Estimating aggregate autoregressive processes when only macro data are available
Jondeau, Eric; Pelgrin, Florian - 2014
The aggregation of individual random AR(1) models generally leads to an AR(∞∞) process. We provide two consistent …
Persistent link: https://www.econbiz.de/10010412648
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The impact of divorce precedents on the Japanese divorce rate
Sakata, Kei; McKenzie, C.R. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2917-2926
This paper undertakes a time series analysis of the Japanese divorce rate using annual data over the period 1964–2006. One of the key innovations of the paper is to use court decisions on divorce disputes to construct an index that seeks to measure how the probability of success in a divorce...
Persistent link: https://www.econbiz.de/10010748563
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Nonfractional long-range dependence : long memory, antipersistence, and aggregation
Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 4, pp. 1-18
This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in …
Persistent link: https://www.econbiz.de/10012697497
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Temperature anomalies, long memory, and aggregation
Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 1/9, pp. 1-22
-sectional aggregation. Nonetheless, formal analysis regarding the effect that aggregation has on the long memory dynamics of temperature … aggregation may be exacerbating the long memory estimated in regional and global temperature data. The results are robust to the …
Persistent link: https://www.econbiz.de/10012483296
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Weigh(t)ing the basket : aggregate and component-based inflation forecasts for the euro area
Chalmovianský, Jakub; Porqueddu, Mario; Sokol, Andrej - 2020
We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with...
Persistent link: https://www.econbiz.de/10012384462
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Missing aggregate dynamics : on the slow convergence of lumpy adjustment models
Berger, David; Caballero, Ricardo J.; Engel, Eduardo - 2015
Persistent link: https://www.econbiz.de/10011577984
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A new feature selection technique applied to credit scoring data using a rank aggregation approach based on optimization, genetic algorithm, and similarity
Bouaguel, Waad; Mufti, Ghazi Bel; Limam, Mohamed - In: Knowledge discovery process and methods to enhance …, (pp. 347-375). 2015
Persistent link: https://www.econbiz.de/10012123362