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Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
Catania, Leopoldo; Billé, Anna Gloria - In: Journal of applied econometrics 32 (2017) 6, pp. 1178-1196
Persistent link: https://www.econbiz.de/10011862573
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A Bayesian analysis of complete multiple breaks in a panel autoregressive (CMB-PAR(1)) time series model
Agiwal, Varun; Kumar, Jitendra; Shangodoyin, Dahud Kehinde - In: Statistics in transition : an international journal of … 21 (2020) 5, pp. 133-149
paper discusses a panel autoregressive model with multiple breaks present in all parameters, i.e. in the autoregressive … Bayes estimator and then it is compared with the maximum likelihood estimator. A simulation experiment is conducted and an …
Persistent link: https://www.econbiz.de/10012655765
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Data-driven nonparametric spectral density estimators for economic time series : a Monte Carlo study
Birgean, Ionel; Kilian, Lutz - In: Econometric reviews 21 (2002) 4, pp. 449-476
Persistent link: https://www.econbiz.de/10001718225
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Data-driven nonparametric spectral density estimators for economic time series : a Monte Carlo study
Birgean, Ionel; Kilian, Lutz - 1999
Persistent link: https://www.econbiz.de/10001410062
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Mixed causal-noncausal autoregressions : bimodality issues in estimation and unit root testing
Bec, Frédérique; Bohn Nielsen, Heino; Sai͏̈di, Sarra - 2019
Persistent link: https://www.econbiz.de/10012237317
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Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter
Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130
Persistent link: https://www.econbiz.de/10012181397
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Multivariate contemporaneous threshold autoregressive models
Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - 2007
Persistent link: https://www.econbiz.de/10003740624
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren (contributor);  … - 2008
This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...
Persistent link: https://www.econbiz.de/10003742080
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Diagnostic tests based on quantile residuals for nonlinear time series models
Kalliovirta, Leena - 2009
Persistent link: https://www.econbiz.de/10003885269
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Journal of econometrics 158 (2010) 1, pp. 51-66
Persistent link: https://www.econbiz.de/10008826876