Applied Time Series Econometrics
heteroskedasticitynonparametric time series modellingsmooth transition regression modellingstationaritystructural vector autoregressionunit rootunivariate time series analysisvector error correction modelsvectorautoregression
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
- The univariate MT-STAR model and a new linearity and unit root test procedure
- A power comparison between autocorrelation based tests
- Forecasting of global market prices of major financial instruments
- Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
- An e-E-insensitive support vector regression machine
- Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
- Using multiple time series analysis for geosensor data forecasting
- The transfer problem in the euro area
- Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
- Residual autocorrelation testing for vector error correction models
- A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model
- Analysis of integrated and cointegrated time series with R.
- Econometric software development: past, present and future
- Modeling interval time series with space-time processes
- Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
- Reducing confidence bands for simulated impulse responses
- scientific article; zbMATH DE number 1905109 (Why is no real title available?)
- Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
- Monitoring mean changes in persistent multivariate time series
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Panel unit root tests under cross‐sectional dependence
- Using a projection method to analyze inflation bias in a micro-founded model
- Time series econometrics
- Complex-valued time series models and their relations to directional statistics
- Structural vector autoregressive analysis for cointegrated variables
- Symbolic analysis of indicator time series by quantitative sequence alignment
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