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Finite sample lag adjusted critical values and probability values for the fourier wavelet unit root test

Sephton, Peter S. - In: Computational economics 64 (2024) 2, pp. 693-705

Persistent link: https://www.econbiz.de/10015078056

Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...

Persistent link: https://www.econbiz.de/10011309972

Forecasting us commercial property price indexes using dynamic factor models

Minne, Alex van de; Francke, Marc; Geltner, David - In: Journal of real estate research : JRER ; a publication … 44 (2022) 1, pp. 29-55

Persistent link: https://www.econbiz.de/10013167610

Macroeconomic nowcasting using Google probabilities

Koop, Gary; Onorante, Luca - 2019

Persistent link: https://www.econbiz.de/10012244142

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

Autocorrelation in an unobservable global trend : does it help to forecast market returns?

Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169

Persistent link: https://www.econbiz.de/10011713553

Staying positive : challenges and solutions in using pure multiplicative ETS models

Svetunkov, Ivan; Boylan, John Edward - In: IMA journal of management mathematics 35 (2024) 3, pp. 403-425

Persistent link: https://www.econbiz.de/10014634207

Analysis forecasting of gasoline prices in some ASEAN countries by using state space representation on vector autoregressive model

Mustofa Usman; Komarudin, M.; Nurhanurawati, Nurhanurawati - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 6, pp. 194-202

Persistent link: https://www.econbiz.de/10014433779

Nowcasting Mexico's quarterly GDP using factor models and bridge equations

Gálvez-Soriano, Oscar de J. - In: Estudios económicos 35 (2020) 2, pp. 213-265

Persistent link: https://www.econbiz.de/10014228459

Forecasting with trending data

Elliott, Graham - 2006

Persistent link: https://www.econbiz.de/10003338439