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Spectral based methods to identify common trends and common cycles

Camba-Méndez, Gonzalo - 2001

Persistent link: https://www.econbiz.de/10013434350

Estimating the rank of the spectral density matrix

Camba-Méndez, Gonzalo - 2004

Persistent link: https://www.econbiz.de/10013434685

Forecasting Euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo - 2004

Persistent link: https://www.econbiz.de/10013434750

On robust inference in time series regression

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022

Persistent link: https://www.econbiz.de/10013384711

A New Test for Market Efficiency and Uncovered Interest Parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2022

We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity. This new approach is asymptotically more...

Persistent link: https://www.econbiz.de/10013462687