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Local projections, autocorrelation, and efficiency

Lusompa, Amaze - In: Quantitative economics : QE ; journal of the … 14 (2023) 4, pp. 1199-1220

estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator … would be inconsistent. I show that the autocorrelation process of LP can be written as a Vector Moving Average (VMA) process … of the Wold errors and impulse responses and that autocorrelation can be corrected for using a consistent GLS estimator …

Persistent link: https://www.econbiz.de/10014496501

Estimating and applying autoregression models via their eigensystem representation

Krippner, Leo - 2023

Persistent link: https://www.econbiz.de/10014432302

Forecast accuracy of the linear and nonlinear autoregressive models in macroeconomic modeling

Taiebnia, Ali; Mohammadi, Shapour - In: Journal of forecasting 42 (2023) 8, pp. 2045-2062

Persistent link: https://www.econbiz.de/10014432847

Multivariate contemporaneous-threshold autoregressive models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-325

Persistent link: https://www.econbiz.de/10009242250

Estimation and inference for impulse response functions from univariate strongly persistent processes

Baillie, Richard; Kapetanios, George - In: The econometrics journal 16 (2013) 3, pp. 373-399

Persistent link: https://www.econbiz.de/10010253634

Automatic specification testing for vector autoregressions and multivariate nonlinear time series models

Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 426-437

Persistent link: https://www.econbiz.de/10010337859

Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test

Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10010479050

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...

Persistent link: https://www.econbiz.de/10011295703

Dynamic cross-autocorrelation in stock returns

Kinnunen, Jyri - In: Journal of empirical finance 40 (2017), pp. 162-173

Persistent link: https://www.econbiz.de/10011744473

Representation, estimation and forecasting of the multivariate index-augmented autoregressive model

Cubadda, Gianluca; Guardabascio, Barbara - In: International journal of forecasting 35 (2019) 1, pp. 67-79

Persistent link: https://www.econbiz.de/10012300575