Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components

JOURNAL ARTICLE published 15 July 2019 in Econometrics

Research funded by Pioneer Investments (part of Amundi Asset Management) (----)

Authors: Franz Ramsauer | Aleksey Min | Michael Lingauer

Simultaneous Indirect Inference, Impulse Responses and ARMA Models

JOURNAL ARTICLE published 2 April 2020 in Econometrics

Authors: Lynda Khalaf | Beatriz Peraza López

Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems

JOURNAL ARTICLE published 4 December 2018 in Econometrics

Authors: George Judge

Forecasting FOMC Forecasts

JOURNAL ARTICLE published 14 September 2021 in Econometrics

Authors: S. Yanki Kalfa | Jaime Marquez

A New Approach to Model Verification, Falsification and Selection

JOURNAL ARTICLE published 29 June 2015 in Econometrics

Authors: Andrew Buck | George Lady

Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in the Chinese Market

JOURNAL ARTICLE published 18 May 2023 in Econometrics

Authors: Chengyu Li | Luyi Shen | Guoqi Qian

Time-Varying Window Length for Correlation Forecasts

JOURNAL ARTICLE published 11 December 2017 in Econometrics

Authors: Yoontae Jeon | Thomas McCurdy

Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?

JOURNAL ARTICLE published 31 October 2017 in Econometrics

Authors: Alain Hecq | Sean Telg | Lenard Lieb

Panel Cointegration Testing in the Presence of Linear Time Trends

JOURNAL ARTICLE published 1 November 2016 in Econometrics

Authors: Uwe Hassler | Mehdi Hosseinkouchack

Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation

JOURNAL ARTICLE published 12 January 2017 in Econometrics

Authors: Ragnar Nymoen

Fixed-b Inference for Testing Structural Change in a Time Series Regression

JOURNAL ARTICLE published 30 December 2016 in Econometrics

Authors: Cheol-Keun Cho | Timothy Vogelsang

Spatial Econometrics: A Rapidly Evolving Discipline

JOURNAL ARTICLE published 7 March 2016 in Econometrics

Authors: Giuseppe Arbia

The SAR Model for Very Large Datasets: A Reduced Rank Approach

JOURNAL ARTICLE published 11 May 2015 in Econometrics

Authors: Sandy Burden | Noel Cressie | David Steel

Assessing News Contagion in Finance

JOURNAL ARTICLE published 3 February 2018 in Econometrics

Authors: Paola Cerchiello | Giancarlo Nicola

Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series

JOURNAL ARTICLE published 13 December 2022 in Econometrics

Authors: Marc Hallin

Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis

JOURNAL ARTICLE published 2 June 2022 in Econometrics

Authors: Esam Mahdi | Ameena Al-Abdulla

Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging

JOURNAL ARTICLE published 3 July 2013 in Econometrics

Authors: Naoya Sueishi

On the Decomposition of the Esteban and Ray Index by Income Sources

JOURNAL ARTICLE published 26 March 2018 in Econometrics

Authors: Elena Bárcena-Martín | Jacques Silber

A Pretest Estimator for the Two-Way Error Component Model

JOURNAL ARTICLE published 16 April 2024 in Econometrics

Authors: Badi H. Baltagi | Georges Bresson | Jean-Michel Etienne

The Gini and Mean Log Deviation Indices of Multivariate Inequality of Opportunity

JOURNAL ARTICLE published 17 April 2024 in Econometrics

Research funded by National Science Centre in Poland (2016/23/G/HS4/04350)

Authors: Marek Kapera | Martyna Kobus