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Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …
Persistent link: https://www.econbiz.de/10010364739
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Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014
which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …
Persistent link: https://www.econbiz.de/10011272581
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014
processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …
Persistent link: https://www.econbiz.de/10010377233
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Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …
Persistent link: https://www.econbiz.de/10010250505
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2014
processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …
Persistent link: https://www.econbiz.de/10011256845
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Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2016
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical … obtain an asymptotic test and confidence bounds for the unfeasible “true” invertibility region of the parameter space. …
Persistent link: https://www.econbiz.de/10011586697
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Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2016
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical … obtain an asymptotic test and confidence bounds for the unfeasible "true" invertibility region of the parameter space. …
Persistent link: https://www.econbiz.de/10011556144
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Estacionariedad, cambios estructurales y crecimiento económico en México: 1895-2008
Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10010322550
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Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
in choosing what test implementation to employ when testing for stationarity in small-sample situations. …
Persistent link: https://www.econbiz.de/10013208507
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Stationarity, structural breaks, and economic growth in Mexico: 1895-2008
Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - Banco de México - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10009318030