Econométrie: working papers (RePEc, 11/05/2012)

Source : NEP (New Economics Papers) | RePEc

  1. Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise

Date:

2012-04

By:

Sujin Park
Oliver Linton

URL:

http://d.repec.org/n?u=RePEc:fmg:fmgdps:dp703&r=ecm
 
  1. Testing for Linear Cointegration Against Smooth-Transition Cointegration

Date:

2012-02-13

By:

Li, Dao (Department of Business, Economics, Statistics and Informatics)

URL:

http://d.repec.org/n?u=RePEc:hhs:oruesi:2012_006&r=ecm
 

Keywords:

nonlinear cointegration; smooth transition; F-type test; threshold coin- tegration

JEL:

C00
  1. Identification and estimation of dynamic factor models

Date:

2012-04-28

By:

Bai, Jushan
Wang, Peng

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:38434&r=ecm
 

Keywords:

dynamic factor models; multi-level factor models; impulse response function; spill-over effects

JEL:

C10
  1. Jackknife bias reduction in autoregressive models with a unit root

Date:

2012-02-01

By:

Chambers, Marcus J.
Kyriacou, Maria

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:38255&r=ecm
 

Keywords:

Jackknife; bias reduction; unit root; moment generating function

JEL:

C13
  1. A Non-Linear Approach with Long Range Dependence Based on Chebyshev Polynomials

Date:

2012

By:

Juan Carlos Cuestas (Department of Economics, The University of Sheffield)
Luis A. Gil-Alana (Department of Economics, Universidad de Navarra)

URL:

http://d.repec.org/n?u=RePEc:shf:wpaper:2012013&r=ecm
 

Keywords:

Chebyshev polynomials; long run dependence; fractional integration

JEL:

C22
  1. Local Adaptive Multiplicative Error Models for High-Frequency Forecasts

Date:

2012-04

By:

Wolfgang Karl Härdle
Nikolaus Hautsch
Andrija Mihoci

URL:

http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2012-031&r=ecm
 

Keywords:

multiplicative error model, local adaptive modelling, high-frequency processes, trading volume, forecasting

JEL:

C41
  1. Dynamic Conditional Correlation: On properties and estimation

Date:

2011-11

By:

Gian Piero Aielli

URL:

http://d.repec.org/n?u=RePEc:pad:wpaper:0142&r=ecm
 

Keywords:

Multivariate GARCH Model, Quasi-Maximum-Likelihood, Two-step Estimation, Integrated Correlation, Generalized Profile Likelihood.

JEL:

C13
  1. Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models

Date:

2012-02-13

By:

Li, Dao (Department of Business, Economics, Statistics and Informatics)

URL:

http://d.repec.org/n?u=RePEc:hhs:oruesi:2012_007&r=ecm
 

Keywords:

Vector STAR models; Common features; Lagrange Multiplier test

JEL:

C00
  1. A Flexible State Space Model and its Applications

Date:

2012-04

By:

Qian, Hang

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:38455&r=ecm
 

Keywords:

State Space Model; Kalman Filter; ARMA; Mixed Frequency; Factor Model

JEL:

C32
  1. Smooth Transitions, Asymmetric Adjustment and Unit Roots

Date:

2012

By:

Juan Carlos Cuestas (Department of Economics, The University of Sheffield)
Javier Ordóñez (University of Bath)

URL:

http://d.repec.org/n?u=RePEc:shf:wpaper:2012012&r=ecm
 

Keywords:

unit roots; nonlinear trends; exponential smooth transition; autoregressive model; structural change

JEL:

C12
  1. Segmentation analysis on a multivariate time series of the foreign exchange rates

Date:

2012-05

By:

Aki-Hiro Sato

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1205.0336&r=ecm
 
  1. A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers

Date:

2012

By:

Fève, P.
Matheron, J.
Sahuc, J.G.

URL:

http://d.repec.org/n?u=RePEc:bfr:banfra:379&r=ecm
 

Keywords:

DSGE models, Edgeworth complementarity/substitutability, Government spending rules, Multiplier.

JEL:

C32
  1. Economies of scope in research and teaching: a non-parametric investigation

Date:

2012-02

By:

De Witte, Kristof (KULeuven, Maastricht Universiteit)
Rogge, Nicky (Hogeschool-Universiteit Brussel (HUB))
Cherchye, Laurens (KULeuven, Tilburg University)
Van Puyenbroeck, Tom (Hogeschool-Universiteit Brussel (HUB), KULeuven)

URL:

http://d.repec.org/n?u=RePEc:hub:wpecon:201214&r=ecm
 

Keywords:

Teaching-research nexus, Data envelopment analysis, Conditional efficiency, Economies of scope, Higher education
  1. Identifying News Shocks from SVARs

Date:

2012-03

By:

Fève, Patrick
Jidoud, Ahmat

URL:

http://d.repec.org/n?u=RePEc:tse:wpaper:25750&r=ecm
 

Keywords:

, , , News shocks, SVARs, Identification, Diagnostic Test, Non–fundamentalness

JEL:

C32

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