Time Series and Dynamic Models
Box-Jenkins approachcausalitydynamic macroeconometric modelserror correlation approachexogeneityexponential smoothingKalman filterlinear regression modelmoving average methodsmultipliersnonstationary modelsoptimal forecastrational expectationsseasonal adjustmentshocksspecification analysesstate-space modelstime series econometricstrend components
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Misspecified structural change, threshold, and Markov-switching models.
- Modeling US housing prices by spatial dynamic structural equation models
- The error term in the history of time series econometrics
- Weak VARMA representations of regime-switching state-space models
- scientific article; zbMATH DE number 4143301 (Why is no real title available?)
- scientific article; zbMATH DE number 3926051 (Why is no real title available?)
- scientific article; zbMATH DE number 48317 (Why is no real title available?)
- Markov switching GARCH models: filtering, approximations and duality
- scientific article; zbMATH DE number 1418019 (Why is no real title available?)
- Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks
- The polynomial aggregated AR(1) model*
- Nonlinear and chaotic analysis of a financial complex system
- Identification of directed interactions in networks
- Granger non causality and predictor spaces
- Introducing \textit{sspaneltvp}: a code to estimating state-space time-varying parameter models in panels. An application to Okun's law
- Fractional Dickey-Fuller test with or without prehistorical influence
- Trend of high dimensional time series estimation using low-rank matrix factorization: heuristics and numerical experiments via the \texttt{TrendTM} package
- Multivariate Markov switching Stingo, Francesco Claudio models: filtering, estimation and data analysis
- On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors
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