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Efficient matrix approach for classical inference in state space models

Delle Monache, Davide; Petrella, Ivan - In: Economics letters 181 (2019), pp. 22-27

Persistent link: https://www.econbiz.de/10012121833

On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method

Cacace, Filippo; Germani, Alfredo; Papi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 503-525

Persistent link: https://www.econbiz.de/10012127257

Inference in dynamic stochastic general equilibrium models with possible weak identification

Qu, Zhongjun - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 457-494

for the structural parameter vector based on the frequency domain approximation to the Gaussian likelihood. The …

Persistent link: https://www.econbiz.de/10011757270

Inference in dynamic stochastic general equilibrium models with possible weak identification

Qu, Zhongjun - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 457-494

Persistent link: https://www.econbiz.de/10010409930

Bayesian estimation and model selection in the generalised stochastic unit root model

Yang, Fuyu; Leon-Gonzalez, Roberto - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …

Persistent link: https://www.econbiz.de/10010270805

Forecasting the price of gold using dynamic model averaging

Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266

Persistent link: https://www.econbiz.de/10011508954

Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach

Pozzi, Lorenzo - 2007

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...

Persistent link: https://www.econbiz.de/10011372981

BVAR: Bayesian vector autoregressions with hierarchical prior selection in R

Kuschnig, Nikolas; Vashold, Lukas - 2019

Persistent link: https://www.econbiz.de/10012138222

Bayesian analysis of econometric time series models using hybrid integration rules

Moreira, Ajax; Gamerman, Dani - 2015

This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In … autoregressive model are considered in detail. Inference procedures are based on a hybrid integration scheme where state parameters …

Persistent link: https://www.econbiz.de/10012018632

Modeling and forecasting call center arrivals : a literature survey and a case study

Ibrahim, Rouba; Ye, Han; L'Ecuyer, Pierre; Shen, Haipeng - In: International journal of forecasting 32 (2016) 3, pp. 865-874

Persistent link: https://www.econbiz.de/10011621847