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On the performance of information criteria for model identification of count time series

Weiß, Christian; Feld, Martin H.-J. M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10012198497

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018

criteria (BIC) to select the flexibility of the deterministic background intensity. With these methods, we strongly reject the …

Persistent link: https://www.econbiz.de/10011900335

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

loss functions can lead to misspecification ; BIC sometimes indicates the wrong regime switching framework. Depending on …

Persistent link: https://www.econbiz.de/10011297653

Testing for international business cycles : A multilevel factor model with stochastic factor selection

Berger, Tino; Everaert, Gerdie; Pozzi, Lorenzo - In: Journal of economic dynamics & control 128 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012628242

Model selection in time series analysis : using information criteria as an alternative to hypothesis testing

Hacker, R. Scott; Hatemi-J, Abdulnasser - In: Journal of economic studies 49 (2022) 6, pp. 1055-1075

Persistent link: https://www.econbiz.de/10013352921

Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Persistent link: https://www.econbiz.de/10002570513

Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series

Dimitrakopoulos, Stefanos - 2017

We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using simulated data and a real data set. We compare the...

Persistent link: https://www.econbiz.de/10012956581

Is unemployment hysteretic or structural? : a Bayesian model selection approach

Clavijo-Cortes, Pedro - In: Empirical economics : a quarterly journal of the … 65 (2023) 6, pp. 2837-2866

Persistent link: https://www.econbiz.de/10014388985

Specification testing in nonlinear time series with long-range dependence

Gao, Jiti; Wang, Qiying; Yin, Jiying - In: Econometric theory 27 (2011) 2, pp. 260-284

Persistent link: https://www.econbiz.de/10009310805

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180