Dynamic Econometrics
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Cited in
(83)- An alternative Wald type test for two linear restrictions with applications to non-linear models
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 3)
- Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration
- A nonparametric distribution-free test for serial independence of errors
- Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective
- Impact factors
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Automatic selection of indicators in a fully saturated regression
- Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
- Achievements and challenges in econometric methodology
- Misspecification testing: non-invariance of expectations models of inflation
- Complete subset regressions with large-dimensional sets of predictors
- Fitting polynomial trend to time series by the method of Buys-Ballot estimators
- Testing for serial independence of panel errors
- Vector rational error correction
- Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
- Forecasting with a parsimonious subset VAR model
- scientific article; zbMATH DE number 1210536 (Why is no real title available?)
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Nonresponse in dynamic panel data models
- The impact of integrated measurement errors on modeling long-run macroeconomic time series
- An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices
- Sir Clive W. J. Granger model selection
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- The structure of US food demand
- Loss development forecasting models: an econometrician's view
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Computer automation of general-to-specific model selection procedures
- Structural relations, cointegration and identification: Some simple results and their application
- Modelling methodology and forecast failure
- Variable selection in regression models using nonstandard optimisation of information criteria
- On the statistical identification of DSGE models
- Modelling nonlinear count time series with local mixtures of Poisson autoregressions
- Weak exogeneity in \(I(2)\) VAR systems
- Stochastic ceteris paribus simulations
- scientific article; zbMATH DE number 5380224 (Why is no real title available?)
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
- On the appropriateness of inappropriate VaR models
- A low-dimension portmanteau test for non-linearity
- Info-gap forecasting and the advantage of sub-optimal models
- A survey of exogeneity in vector error correction models
- Modeling nonlinearities with mixtures-of-experts of time series models
- Revisiting useful approaches to data-rich macroeconomic forecasting
- Typologies of linear dynamic systems and models
- The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists
- Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
- Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
- The ability to correct the bias in the stable AD(1,1) model with a feedback effect
- Codependent cycles
- Mean lag in general error correction models
- Residual‐based diagnostics for conditional heteroscedasticity models
- Dynamic adjustment cost models with forward‐looking behaviour
- Data mining: data analysis on a grand scale?
- Impulse saturation break tests
- Bootstrap inference in systems of single equation error correction models
- Two stage least squares estimation in structural cointegration models
- Encompassing in stationary linear dynamic models
- Maximum likelihood estimates for the Hildreth–Houck random coefficients model
- Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data
- Responses in output to monetary shocks and the interest rate: A rational expectations model with working capital
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Inference on segmented cointegration
- Econometric modelling with time series. Specification, estimation and testing
- Granger causality, exogeneity, cointegration, and economic policy analysis
- Cobra: a package for co-breaking analysis
- School system evaluation by value added analysis under endogeneity
- Least squares estimation and tests of breaks in mean and variance under misspecification
- On causal and non-causal cointegrated vector autoregressive time series
- Diagnostic tools for random effects in the repeated measures growth curve model
- Model selection in under-specified equations facing breaks
- Uncertainties surrounding natural rate estimates in the G7
- Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
- Oil prices and exchange rates: Norwegian evidence
- Fiscal episodes and market power
- The long-run determinants of fertility: one century of demographic change 1900--1999
- scientific article; zbMATH DE number 52649 (Why is no real title available?)
- Present Position and Potential Developments: Some Personal Views: Time- Series Econometrics
- The ontological status of shocks and trends in macroeconomics
- Model selection using information criteria and genetic algorithms
- Modelling market shares by segments using volatility
- Empirical modeling in dynamic econometrics
- An introduction to hypergeometric functions for economists
- Useful conclusions from surprising results
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