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A flexible state-space model with application to stochastic volatility

Gouriéroux, Christian; Lu, Yang - 2016

Persistent link: https://www.econbiz.de/10012196330

Auxiliary likelihood-based approximate Bayesian computation in state space models

Martin, Gael M.; McCabe, Brendon P. M.; Frazier, David T.; … - 2016

Persistent link: https://www.econbiz.de/10011781699

Estimation of continuous-time linear DSGE models from discrete-time measurements

Christensen, Bent Jesper; Neri, Luca; Parra-Alvarez, … - 2023

Persistent link: https://www.econbiz.de/10014280884

Asymmetric stable stochastic volatility models : estimation, filtering, and forecasting

Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023

accounting for the leverage effect. We adopt simulation-based methods to address key challenges in parameter estimation, the …

Persistent link: https://www.econbiz.de/10014433826

Testing for cointegration with threshold adjustment in the presence of structural breaks

Schweikert, Karsten - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10012406026

On the long-run sustainability of current account deficits in India : some insights from linear and non-linear cointegration tests

Deheri, Abdhut - In: The Indian economic journal 72 (2024) 4, pp. 585-601

Persistent link: https://www.econbiz.de/10014632369

A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models

Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220

Persistent link: https://www.econbiz.de/10013262506

A flexible state-space model with lagged states and lagged dependent variables : simulation smoothing

Hauber, Philipp; Schumacher, Christian; Zhang, Jiachun - 2019

We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian … efficient simulation smoother, which relies on mean corrections for unconditional vectors. When applied to a factor model, the … proposed simulation smoother for the states is efficient compared to other state-space models without lagged states and …

Persistent link: https://www.econbiz.de/10012000564

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...

Persistent link: https://www.econbiz.de/10010356541

Semiparametric estimation of the canonical permanent‐transitory model of earnings dynamics

Hu, Yingyao; Moffitt, Robert A.; Sasaki, Yuya - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1495-1536

This paper presents identification and estimation results for a flexible state space model. Our modification of the …. We apply the identification and estimation method to the earnings dynamics of U.S. men using the Panel Survey of Income …

Persistent link: https://www.econbiz.de/10012202860