Narrow search
Showing 1 - 10 of 71
Cover Image
A note on the relationship of the ordered and sequential probit models to the multinomial probit model
Nagakura, Daisuke (contributor) - In: Economics bulletin : EB (2004)
Persistent link: https://www.econbiz.de/10003074848
Cover Image
Inconsistency of a unit root test against stochastic unit root processes
Nagakura, Daisuke - 2009
Persistent link: https://www.econbiz.de/10003895464
Cover Image
How are shocks to trend and cycle correlated? : a simple methodology for unidentified unobserved components models
Nagakura, Daisuke - 2011
Persistent link: https://www.econbiz.de/10008935777
Cover Image
How are shocks to trend and cycle correlated? : a simple methodology for unidentified unobserved components models
Nagakura, Daisuke - 2008
Persistent link: https://www.econbiz.de/10003775589
Cover Image
Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
Nagakura, Daisuke - 2007
Persistent link: https://www.econbiz.de/10003595183
Cover Image
A note on the two assumptions of standard unobserved components models
Nagakura, Daisuke - In: Economics letters 100 (2008) 1, pp. 123-125
Persistent link: https://www.econbiz.de/10003747495
Cover Image
How are shocks to trend and cycle correlated? : a simple methodology for unidentified unobserved components models
Nagakura, Daisuke - In: Keio economic studies 55 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012659623
Cover Image
Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
Cover Image
Implications of Two Measures of Persistence for Correlation Between Permanent and Transitory Shocks in U.S. Real GDP
Nagakura, Daisuke; Zivot, Eric - Department of Economics, University of Washington - 2007
Conventionally, shocks to permanent and transitory components in the unobserved components (UC) model for the log of real GDP are assumed to be uncorrelated. This assumption is mainly for identification of model parameters. In this paper, we show important implications of two popular measures of...
Persistent link: https://www.econbiz.de/10005432327
Cover Image
A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Nagakura, Daisuke; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2009
We call the realized variance (RV) calculated with observed prices contaminated by microstructure noises (MNs) the noise-contaminated RV (NCRV) and refer to the component in the NCRV associated with the MNs as the MN component. This paper develops a method for estimating the integrated variance...
Persistent link: https://www.econbiz.de/10004975772