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Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

Teräsvirta, Timo; Yang, Yukai - 2014

Persistent link: https://www.econbiz.de/10010336592

Automatic specification testing for vector autoregressions and multivariate nonlinear time series models

Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 426-437

Persistent link: https://www.econbiz.de/10010337859

Estimation and inference for impulse response functions from univariate strongly persistent processes

Baillie, Richard; Kapetanios, George - In: The econometrics journal 16 (2013) 3, pp. 373-399

Persistent link: https://www.econbiz.de/10010253634

The effect of macroeconomic variables on the capital structure decisions of Indian firms@a vector error correction model/vector autoregressive approach

Khanna, Sakshi; Srivastava, Amit; Medury, Yajulu - In: International journal of economics and financial issues … 5 (2015) 4, pp. 968-978

Persistent link: https://www.econbiz.de/10011455345

Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios

Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164

Persistent link: https://www.econbiz.de/10010422318

Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test

Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10010479050