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Testing for parameter instability across different modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
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Testing for parameter instability in competing modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
Persistent link: https://www.econbiz.de/10010229896
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The macroeconomy as a random forest
Goulet Coulombe, Philippe - In: Journal of applied econometrics 39 (2024) 3, pp. 401-421
Persistent link: https://www.econbiz.de/10014517490
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The generalized addilog demand system applied to Australian cross-section and time series data in mixed estimation
Bewley, R. A. - 1981
Persistent link: https://www.econbiz.de/10001909325
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Time-varying coefficients in the almost ideal demand system : an empirical appraisal
Mazzocchi, Mario - In: European review of agricultural economics : ERAE 30 (2003) 2, pp. 241-270
Persistent link: https://www.econbiz.de/10001778739
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Modelling the trend and seasonals within an AIDS model of the demand for alcoholic beverages in the United Kingdom
Moosa, Imad A.; Baxter, J. L. - In: Journal of applied econometrics 17 (2002) 2, pp. 95-106
Persistent link: https://www.econbiz.de/10001667478
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A long-run disaggregated cross-section and time-series demand system : an application to Italy
Bardazzi, Rossella; Barnabani, Marco - In: Economic systems research : journal of the … 13 (2001) 4, pp. 365-389
Persistent link: https://www.econbiz.de/10001635296
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Age, trend, and cohort effects in a macro model of Canadian expenditure patterns
Denton, Frank T.; Mountain, Dean C.; Spencer, Byron G. - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 430-443
Persistent link: https://www.econbiz.de/10001412853
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A simple test of the law of demand for the United States
Zambrano, Eduardo; Vogelsang, Timothy J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 4, pp. 1011-1020
Persistent link: https://www.econbiz.de/10001500180
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A demand system approach to network technology expenditure forecasting with short time-series
Cooper, Russel; Madden, Gary - In: The economics of digital markets, (pp. 165-189). 2009
Persistent link: https://www.econbiz.de/10003853255