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Forecasting in large cointegrated processes

Chigira, Hiroaki (contributor); Yamamoto, Taku (contributor) - 2006

Persistent link: https://www.econbiz.de/10003370820

A bias-corrected estimation for dynamic models in small samples

Chigira, Hiroaki (contributor); Yamamoto, Taku (contributor) - 2006

Persistent link: https://www.econbiz.de/10003370897

Bayesian estimation of unknown heteroscedastic variances

Chigira, Hiroaki (contributor); Shiba, Tsunemasa (contributor) - 2006

Persistent link: https://www.econbiz.de/10003370963

Dirichlet prior for estimating unknown regression error heteroscedasticity

Chigira, Hiroaki; Shiba, Tsunemasa - 2012

Persistent link: https://www.econbiz.de/10009656889

Dirichlet prior for estimating unknown regression error heteroskedasticity

Chigira, Hiroaki; Shiba, Tsunemasa - 2015

Persistent link: https://www.econbiz.de/10011804434

The Effect of Estimating Parameters on Long‐Term Forecasts for Cointegrated Systems

Chigira, Hiroaki; Yamamoto, Taku - In: Journal of Forecasting 31 (2012) 4, pp. 344-360

Persistent link: https://www.econbiz.de/10011006288

A test of serial independence of deviations from cointegrating relations

Chigira, Hiroaki - In: Economics Letters 92 (2006) 1, pp. 52-57

Persistent link: https://www.econbiz.de/10005297205

Bayesian Estimation of Unknown Regression Error Heteroscedasticity

Chigira, Hiroaki; Shiba, Tsunemasa - Institute of Economic Research, Hitotsubashi University - 2009

We propose a Bayesian procedure to estimate heteroscedastic variances of the regression error term ƒÖ, when the form of heteroscedasticity is unknown. The prior information on ƒÖ is elicited from the wellknown Eicker-White Heteroscedasticity Consistent Variance-Covariance Matrix Estimator....

Persistent link: https://www.econbiz.de/10005207851

Forecasting in large cointegrated processes

Chigira, Hiroaki; Yamamoto, Taku - In: Journal of forecasting 28 (2009) 7, pp. 631

Persistent link: https://www.econbiz.de/10008326716

The Effect of Estimating Parameters on Long‐Term Forecasts for Cointegrated Systems

Chigira, Hiroaki; Yamamoto, Taku - In: Journal of forecasting 31 (2012) 4, pp. 344-361

Persistent link: https://www.econbiz.de/10009971922