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pro vyhledávání: '"Marcus J. Chambers"'
Autor:
Marcus J. Chambers
Publikováno v:
Econometrics, Vol 3, Iss 2, Pp 355-375 (2015)
This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distri
Externí odkaz:
https://doaj.org/article/2fa0fad40fff421fb8f22689d4ba8a90
Autor:
Marcus J. Chambers, Maria Kyriacou
Publikováno v:
Econometrics, Vol 6, Iss 1, p 11 (2018)
This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife est
Externí odkaz:
https://doaj.org/article/62aa7e9ad89f47afbee357d0d1a89d09
Autor:
Marcus J. Chambers
Publikováno v:
Journal of Econometrics. 217:140-160
This paper proposes a simple method for exploiting the information contained in mixed frequency and mixed sample data in the estimation of cointegrating vectors. The asymptotic properties of easy-to-compute spectral regression estimators of the coint
Autor:
Marcus J. Chambers
Publikováno v:
Journal of Time Series Analysis. 40:887-913
Recent work by the author on mixed frequency data analysis has focused on the estimation of cointegrated systems in continuous time based on a fully specified dynamic system of equations, while the estimation of cointegrating vectors in a discrete ti
Publikováno v:
Journal of Time Series Analysis. 41:134-145
We consider a model of deterministic one-time parameter change in a continuous time autoregressive model around a deterministic trend function. The exact discrete time analogue model is detailed and compared to corresponding parameter change models a
Publikováno v:
Journal of Economic Dynamics and Control. 79:48-65
This paper explores the representation and estimation of mixed continuous time ARMA (autoregressive moving average) systems of orders p, q. Taking the general case of mixed stock and flow variables, we discuss new state space and exact discrete time
Publikováno v:
Journal of Empirical Finance. 38:739-761
The problem of estimating a continuous time model using discretely observed data is common in empirical finance. This paper uses recently developed methods of deriving the exact discrete representation for a continuous time ARMA (autoregressive movin
Autor:
Marcus J. Chambers
Publikováno v:
Journal of Econometrics. 193(2):390-404
This paper derives exact representations for discrete time mixed frequency data generated by an underlying multivariate continuous time model. Allowance is made for different combinations of stock and flow variables as well as deterministic trends, a
Autor:
Maria Kyriacou, Marcus J. Chambers
Publikováno v:
Econometrics; Volume 6; Issue 1; Pages: 11
Econometrics, Vol 6, Iss 1, p 11 (2018)
Econometrics, Vol 6, Iss 1, p 11 (2018)
This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife est
Publikováno v:
Continuous Time Modeling in the Behavioral and Related Sciences ISBN: 9783319772189
This chapter provides a survey of methods of continuous time modelling based on an exact discrete time representation. It begins by highlighting the techniques involved with the derivation of an exact discrete time representation of an underlying con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b233c9a2cf27179e38fe2624a1a9deef
https://doi.org/10.1007/978-3-319-77219-6_14
https://doi.org/10.1007/978-3-319-77219-6_14