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Cointegration analysis with state space models
Wagner, Martin - 2010
Persistent link: https://www.econbiz.de/10003931105
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Cointegration analysis with state space models
Wagner, Martin - 2010
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …
Persistent link: https://www.econbiz.de/10009733805
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Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - In: Journal of applied econometrics 30 (2015) 3, pp. 377-397
Persistent link: https://www.econbiz.de/10011327583
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Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2012
Persistent link: https://www.econbiz.de/10009719912
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Missing in Asynchronicity : A Kalman-EM Approach for Multivariate Realized Covariance Estimation
Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2013
estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm …
Persistent link: https://www.econbiz.de/10014173246
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Tests for cointegration rank and choice of the alternative
Cavaliere, Giuseppe; Fanelli, Luca; Paruolo, Paolo - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 2, pp. 169-191
Persistent link: https://www.econbiz.de/10003858175
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Testing for unit roots in panel data using a wavelet ratio method
Li, Yushu; Shukur, Ghazi - In: Computational economics 41 (2013) 1, pp. 59-69
Persistent link: https://www.econbiz.de/10009705033
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan (contributor); Ahn, Sung K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496561
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Maximum likelihood estimation of a unit root bilinear model with an application to prices
Hristova, Daniela (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10003283123
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A new approach to estimating the natural rate of interest
Benati, Luca - 2021
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10012520193