Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Ovidijus Stauskas"'
Autor:
Ovidijus Stauskas
Publikováno v:
Oxford Bulletin of Economics and Statistics. 85:283-303
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::05888d26519ddf8965fa9c7078ccab51
https://doi.org/10.1111/obes.12523
https://doi.org/10.1111/obes.12523
Autor:
Joakim Westerlund, Ovidijus Stauskas
Publikováno v:
Journal of Business & Economic Statistics. 40:1745-1758
In this article, we propose new tests of equal predictive ability between nested models when factor-augmented regressions are used to forecast. In contrast to the previous literature, the unknown factors are not estimated by principal components but
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a0aea8086651aff1f03e814db0b88078
https://doi.org/10.1080/07350015.2021.1970576
https://doi.org/10.1080/07350015.2021.1970576
Publikováno v:
Journal of Time Series Analysis. 43:501-508
In this study, we revisit the factor analytical (FA) approach for (near unit root) dynamic panel data models, whose asymptotic distribution has been shown to be normal and well centered at zero without the need for valid instruments or correction for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e4e8dd695932d86181769bfd8e45ccff
https://doi.org/10.1111/jtsa.12624
https://doi.org/10.1111/jtsa.12624
Autor:
Ovidijus Stauskas
Publikováno v:
Journal of Time Series Analysis. 41:892-898
In this article, we re‐visit a recent idea of Phillips and Lee (2015. Econometric Reviews 34: 1035 ‐ 1056). They examine an empirically relevant situation when two time series exhibit different degrees of non‐stationarity and one need to learn
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d830508f5923d07e4d62076775584de5
https://doi.org/10.1111/jtsa.12530
https://doi.org/10.1111/jtsa.12530
Autor:
Ignace De Vos, Ovidijus Stauskas
Publikováno v:
De Vos, I & Stauskas, O 2021 ' Bootstrap Improved Inference for Factor-Augmented Regressions with CCE ' Working Paper Department of Economics, no. 16, vol. 2021, Lund University . < https://project.nek.lu.se/publications/workpap/papers/wp21_16.pdf >
Vrije Universiteit Amsterdam
Vrije Universiteit Amsterdam
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::ea90309dba6d112f752c8f944e41f84c
https://hdl.handle.net/10419/260336
https://hdl.handle.net/10419/260336
