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An automatic test of super exogeneity
Hendry, David F.; Santos, Carlos - 2010
Persistent link: https://www.econbiz.de/10003942773
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On the usefulness of the Diebold-Mariano test in the selection of prediction models : some Monte Carlo evidence
Costantini, Mauro; Kunst, Robert M. - 2011
In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...
Persistent link: https://www.econbiz.de/10009685472
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GARCH Models with Long Memory and Nonparametric Specifications
Conrad, Christian - 2006
Persistent link: https://www.econbiz.de/10003402366
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The Econometrics of Bayesian Graphical Models : A Review With Financial Application
Ahelegbey, Daniel Felix - 2019
Recent advances in empirical finance has shown that the adoption of network theory is critical to understand contagion … review networks, however, they do not focus on the econometrics aspects. This paper presents a state-of-the-art review on the … interface between statistics and econometrics in the inference and application of Bayesian graphical models. We specifically …
Persistent link: https://www.econbiz.de/10012904250
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Essays in modeling fat time series data using Bayesian econometrics
Prüser, Jan - 2018
Persistent link: https://www.econbiz.de/10012104866
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Time series models : in econometrics, finance and other fields
Cox, David R. (contributor); Cox, David R. (ed.);  … - 1996 - 1. ed.
Persistent link: https://www.econbiz.de/10013393797
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On the usefulness of the Diebold-Mariano test in the selection of prediction models : some Monte Carlo evidence
Costantini, Mauro; Kunst, Robert M. - 2011
In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...
Persistent link: https://www.econbiz.de/10009388627
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The econometric analysis of recurrent events in macroeconomics and finance
Harding, Don; Pagan, Adrian R. - 2016
Overview -- Methods for describing oscillations, fluctuations, and cycles in univariate series -- Constructing reference cycles with multivariate information -- Model-based rules for describing recurrent events -- Measuring recurrent event features in univariate data -- Measuring synchronization...
Persistent link: https://www.econbiz.de/10011558552
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Time Series Econometrics : Learning Through Replication
Levendis, John D. - 2023 - 2nd ed. 2023.
, Columbia University, Co-Editor of Econometric Theory and Associate Editor of Econometrics Journal. …-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to … find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this …
Persistent link: https://www.econbiz.de/10014443465
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Time Series Econometrics : Learning Through Replication
Levendis, John D. - 2018 - Corrected publication 2021
application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with …
Persistent link: https://www.econbiz.de/10012397044