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swMATH4927MaRDI QIDQ17078FDOQ17078

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Cited In (50)

• Econometric software development: past, present and future
• SEASONALITY, PRODUCTIVITY SHOCKS, AND SECTORAL COMOVEMENTS IN A REAL BUSINESS CYCLE MODEL FOR ITALY
• The New Keynesian Phillips curve revisited
• A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
• Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• Dynamic Econometrics for Empirical Macroeconomic Modelling
• NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
• HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR
• Distributions of error correction tests for cointegration
• Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• Time and causality: a Monte Carlo assessment of the timing-of-events approach
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
• On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.
• Robustifying forecasts from equilibrium-correction systems
• Title not available (Why is that?)
• Computer automation of general-to-specific model selection procedures
• Discussion contribution on ‘Data mining reconsidered: encompassing and the general‐to‐specific approach to specification search’ by Hoover and Perez
• Title not available (Why is that?)
• Forecasting by factors, by variables, by both or neither?
• ANALYSIS OF COEXPLOSIVE PROCESSES
• Forecasting with equilibrium-correction models during structural breaks
• Title not available (Why is that?)
• Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
• Title not available (Why is that?)
• Natural rate doubts
• Cointegration analysis and category sales: Stationarity and long-run equilibrium in market shares
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Dynamic adjustment cost models with forward‐looking behaviour
• The VIX, the variance premium and stock market volatility
• Multivariate cointegration analysis of the Finnish-Japanese stock markets
• Unpredictability in economic analysis, econometric modeling and forecasting
• Model reduction methods for vector autoregressive processes.
• Econometric Modelling of Time Series with Outlying Observations
• Progress from forecast failure-the Norwegian consumption function
• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
• The practice of econometric theory. An examination of the characteristics of econometric computation
• Timber Harvesting as a Part of the Portfolio Management: A Multiperiod Stochastic Optimisation Approach
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Title not available (Why is that?)
• Oil prices and exchange rates: Norwegian evidence
• Modelling time series data of monetary aggregates using \(I(2)\) and \(I(1)\) cointegration analysis
• Forecasting with difference-stationary and trend-stationary models
• Some tests for parameter constancy in cointegrated VAR‐models
• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• Title not available (Why is that?)
• Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 3)
• Model selection when there are multiple breaks

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