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State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011945700

Threshold autoregressive models for interval-valued time series data

Sun, Yuying; Han, Ai; Hong, Yongmiao; Wang, Shouyang - In: Journal of econometrics 206 (2018) 2, pp. 414-446

Persistent link: https://www.econbiz.de/10012110403

Linear double autoregression

Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174

Persistent link: https://www.econbiz.de/10012116135

Model checks for nonlinear cointegrating regression

Wang, Qiying; Wu, Dongsheng; Zhu, Ke - In: Journal of econometrics 207 (2018) 2, pp. 261-284

Persistent link: https://www.econbiz.de/10012116349

A nonlinear analysis of the real exchange rate-consumption relationship

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Macroeconomic dynamics 22 (2018) 7, pp. 1825-1843

Persistent link: https://www.econbiz.de/10011918182

The accuracy of linear and nonlinear estimation in the presence of the zero lower bound

Atkinson, Tyler; Richter, Alexander W.; Throckmorton, … - 2018

Persistent link: https://www.econbiz.de/10011880508

Estimating and testing nonlinear local dependence between two time series

Lacal, Virginia; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 648-660

Persistent link: https://www.econbiz.de/10012179003

Nonstationary nonlinear quantile regression

Uematsu, Yoshimasa - In: Econometric reviews 38 (2019) 4, pp. 386-416

Persistent link: https://www.econbiz.de/10012181306

Nonlinear autoregressive models with optimality properties

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - In: Econometric reviews 39 (2020) 6, pp. 559-578

Persistent link: https://www.econbiz.de/10012195421

Testing for Constant Parameters in Nonlinear Models : a quick procedure with an empirical illustration

Fernández del Hoyo, Juan J.; Llorente, G.; Rivero, C. - In: Computational economics 54 (2019) 1, pp. 113-137

Persistent link: https://www.econbiz.de/10012134106