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Semiparametric estimation of the canonical permanent‐transitory model of earnings dynamics
Hu, Yingyao; Moffitt, Robert A.; Sasaki, Yuya - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1495-1536
This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher‐order...
Persistent link: https://www.econbiz.de/10012202860
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Regression analysis of marketing time series : a wavelet approach with some frequency domain insights
Michis, Antonis A. - In: Review of marketing science 7 (2009) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10003888814
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Maximum likelihood estimation of the Cox–Ingersoll–Ross model using particle filters
De Rossi, Giuliano - In: Computational economics 36 (2010) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10003992469
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Tree-structured wavelet estimation in a mixed effects model for spectra of replicated time series
Freyermuth, Jean-Marc; Ombao, Hernando; Sachs, Rainer von - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 634-646
Persistent link: https://www.econbiz.de/10008736085
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Signal diffusion mapping : optimal forecasting with time-varying lags
Gaskell, Paul; McGroarty, Frank; Tiropanis, Thanassis - In: Journal of forecasting 35 (2016) 1, pp. 70-85
Persistent link: https://www.econbiz.de/10011417716
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Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling
Nonejad, Nima - In: Economics letters 133 (2015), pp. 35-39
Persistent link: https://www.econbiz.de/10011431849
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What are the differences in trend cycle decompositions by Beveridge and Nelson and by unobserved component models?
Iwata, Shigeru; Li, Han - In: Econometric reviews 34 (2015) 1/5, pp. 146-173
Persistent link: https://www.econbiz.de/10011373299
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Tractable latent state filtering for non-linear DSGE models using a second-order approximation and pruning
Kollmann, Robert - In: Computational economics 45 (2015) 2, pp. 239-260
Persistent link: https://www.econbiz.de/10011325720
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Wavelet estimation of copulas for time series
Morettin, Pedro A.; Toloi, Clelia M. C.; Chiann, Chang; … - In: Journal of time series econometrics 3 (2011) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10009623563
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Estimating the state vector of linearized DSGE models without the Kalman filter
Kollmann, Robert - In: Economics letters 120 (2013) 1, pp. 65-66
Persistent link: https://www.econbiz.de/10009760472