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Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Shi, Juehui - 2019

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Persistent link: https://www.econbiz.de/10012904559

Package AdvEMDpy : algorithmic variations of empirical mode decomposition in Python

Jaarsveldt, Cole van; Ames, Matthew; Peters, Gareth; … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 606-642

Persistent link: https://www.econbiz.de/10014436792

Detection of shift in process mean with X chart for autocorrelated data

Singh, Sukhraj; Prajapati, D. R. - In: International journal of quality & reliability management 30 (2013) 7, pp. 765-779

Persistent link: https://www.econbiz.de/10009788881

Parallel sequential Monto Carlo for efficient density combination : the deco matlab toolbox

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2013

Persistent link: https://www.econbiz.de/10009756320

A Matlab program and user's guide for the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the … fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin … (2014), and although the present Matlab program is not compatible with the earlier one, we encourage use of the new program. …

Persistent link: https://www.econbiz.de/10010418272

A hitchhiker guide to empirical macro models

Canova, Fabio; Ferroni, Filippo - 2020

Persistent link: https://www.econbiz.de/10012321243

A hitchhiker's guide to empirical macro models

Ferroni, Filippo; Canova, Fabio - 2021

This paper describes a package which uses MATLAB functions and routines to estimate VARs, local projections and other …

Persistent link: https://www.econbiz.de/10012617682

Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series

Herrero, Agustín Maravall; Cañete, Domingo Pérez - Banco de España - 2011

The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area...

Persistent link: https://www.econbiz.de/10009275521

A Seasonal Unit Root Test with STATA

Depalo, Domenico - 2008

Many economic time series exhibit important systematic fluctuations within the year, i.e. seasonality. Differently from usual practice, we argue that using original data should always be considered, although their process is more complicated than that of seasonally adjusted data. Motivations to...

Persistent link: https://www.econbiz.de/10014220225

A Fast Fractional Difference Algorithm

Jensen, Andreas; Nielsen, Morten Ørregaard - 2013

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T^2, where T is the length of the time series. Our algorithm allows calculation speed of order T log T. For...

Persistent link: https://www.econbiz.de/10014157659