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Diagnostic checking of unobserved components : time series models
Harvey, Andrew C.; Koopman, Siem Jan - 1992
Persistent link: https://www.econbiz.de/10000830094
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Forecasting, misspecification and unit roots : the case of AR(1) versus ARMA(1,1)
Magnus, Jan R.; Pesaran, Bahram - 1990
Persistent link: https://www.econbiz.de/10000782912
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Lévy-driven continuous-time ARMA processes
Brockwell, Peter J. - In: Handbook of financial time series, (pp. 457-480). 2009
Persistent link: https://www.econbiz.de/10003833977
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Stability analysis in ARMA and unobserved component models
Hoyo Bernat, Juan del; Cendejas Bueno, José Luis - In: Growth and cycle in the Euro-zone, (pp. 291-302). 2006
Persistent link: https://www.econbiz.de/10003412224
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When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10009006828
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Bootstrap-assisted specification tests for the ARFIMA model
Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - In: Econometric theory 27 (2011) 5, pp. 1083-1116
Persistent link: https://www.econbiz.de/10009379754
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Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
Meyer-Gohde, Alexander; Neuhoff, Daniel - In: Economics letters 133 (2015), pp. 89-91
Persistent link: https://www.econbiz.de/10011432004
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Asymptotic properties of QML estimators for VARMA models with time-dependent coefficients : part I
Alj, Abdelkamel; Ley, Christophe; Mélard, Guy - 2015
Persistent link: https://www.econbiz.de/10011289207
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Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
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Bayesian analysis of ARMA models
Kleibergen, Frank; Hoek, Henk - 2000
Root cancellation in Auto Regressive Moving Average (ARMA) models leads tolocal non-identification of parameters. When we use diffuse or normal priorson the parameters of the ARMA model, posteriors in Bayesian analyzes show ana posteriori favor for this local non-identification. We show that the...
Persistent link: https://www.econbiz.de/10011303311