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pro vyhledávání: '"Chin Nam Low"'
Autor:
Heather M. Anderson, Chin Nam Low
This paper extends the family of smooth transition autoregressive (STAR) models by proposing a specification in which the autoregressive parameters follow random walks. The random walks in the parameters can capture structural change within a regime
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bfeeeb1d8a3fe83fd2ec6dbd8d98301
Publikováno v:
Economics Letters. 91:104-109
The use of the Beveridge Nelson decomposition in macroeconomic analysis involves the truncation and estimation of infinite weighted sums of random variables, whereas the single source of error (SSE) state space approach provides a simple and effectiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::148c27903857ba8e95fe6bc652fd63ad
https://doi.org/10.1016/j.econlet.2005.11.005
https://doi.org/10.1016/j.econlet.2005.11.005
Autor:
Chin Nam Low, Heather Anderson
Publikováno v:
Forecasting with Exponential Smoothing ISBN: 9783540719168
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::67ab83decea57a011f4e9f78cdc741d7
https://doi.org/10.1007/978-3-540-71918-2_20
https://doi.org/10.1007/978-3-540-71918-2_20
Autor:
Chew Lian Chua, Chin Nam Low
This paper uses a time-varying error correction model to examine the structural changes in the rate of adjustment to the long-run equilibrium and the cointegrating vector of the US short- and long-term interest rates. We show that agents’ expectati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::a26c4c65824d7b6da04252de8917c755
http://melbourneinstitute.unimelb.edu.au/downloads/working_paper_series/wp2007n22.pdf
http://melbourneinstitute.unimelb.edu.au/downloads/working_paper_series/wp2007n22.pdf
This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, all
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::1c7d2bfd0f8d0c1a2b7afbf4c62cf936
https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2017-02/18_chin_anderson_snyder_2006.pdf
https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2017-02/18_chin_anderson_snyder_2006.pdf
Autor:
Chin Nam Low, Heather Anderson
This paper extends the family of smooth transition autoregressive (STAR) models by proposing a specification in which the autoregressive parameters follow random walks. The random walks in the parameters can capture structural change within a regime
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be016ef1abeb6a4082e7590f885c5392
https://doi.org/10.1016/s0573-8555(05)76010-7
https://doi.org/10.1016/s0573-8555(05)76010-7