Showing 51 - 60 of 1,286
countries using time series data. The few previous time series studies in this area have not paid any attention to stationarity …
Persistent link: https://www.econbiz.de/10010369147
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....
Persistent link: https://www.econbiz.de/10010377233
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010491303
stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …
Persistent link: https://www.econbiz.de/10010491317
This paper shows that the structural breaks are an important characteristic of the monthly labor force participation rate (LFPR) series of Australia, Canada and the USA. Therefore we allow for endogenously determined multiple structural breaks in the empirical specifications of fractionally...
Persistent link: https://www.econbiz.de/10010500218
countries using time series data. The few previous time series studies in this area have not paid any attention to stationarity …
Persistent link: https://www.econbiz.de/10009444174
Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time...
Persistent link: https://www.econbiz.de/10009447285
This dissertation presents a detailed study of geostatistics. Included in this workare details of the development of geostatistics and its usefulness both in andoutside of the mining industry, a comprehensive presentation of the theory ofgeostatistics, and a discussion of the application of this...
Persistent link: https://www.econbiz.de/10009447674
Category-management models serve to assist in the development of plans for pricing and promotions of individual brands. Techniques to solve the models can have problems of accuracy and interpretability because they are susceptible to spurious regression problems due to nonstationary time-series...
Persistent link: https://www.econbiz.de/10009447905
A framework for developing marketing category management decision support systems (DSS) based upon the Bayesian Vector Autoregressive (BVAR) model is extended. Since the BVAR model is vulnerable to permanent and temporary shifts in purchasing patterns over time, a form that can correct for the...
Persistent link: https://www.econbiz.de/10009448786