Zobrazeno 1 - 3
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pro vyhledávání: '"Siem Jan Koopman"'
Publikováno v:
Journal of Applied Econometrics. 29:65-90
SUMMARY We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for t
Publikováno v:
SSRN Electronic Journal.
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetar
Publikováno v:
SSRN Electronic Journal.
We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for this purp