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pro vyhledávání: '"jel:C18"'
This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data pre-fil
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e963869c4f5dcc66809eab5e6c6f0171
This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models have basically focused on models where the nonstationarity c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d2d887c3525792c232e2b735bafffcb9
Autor:
D.S. Poskitt, Wenying Yao
In this article we investigate the theoretical behaviour of finite lag VAR(n) models fitted to time series that in truth come from an infinite order VAR(?) data generating mechanism. We show that overall error can be broken down into two basic compon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b39fff5a361787847487328fbd5aa63f
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used to produce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e97aa6adf372dfc14810b68098400c6
Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis
Autor:
Md Atikur Rahman Khan, D.S. Poskitt
In Singular Spectrum Analysis (SSA) window length is a critical tuning parameter that must be assigned by the practitioner. This paper provides a theoretical analysis of signal-noise separation and reconstruction in SSA that can serve as a guide to o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2676bea00618dd5112812ebe517c6023
Even in scientific disciplines, forecast failures occur. Four possible states of nature (a model is good or bad, and it forecasts well or badly) are examined using a forecast-error taxonomy, which traces the many possible sources of forecast errors.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1ded600e9480474802f0febc9486c0a4
https://ora.ox.ac.uk/objects/uuid:f3f372e6-3af6-4c62-8f61-e44966476a16
https://ora.ox.ac.uk/objects/uuid:f3f372e6-3af6-4c62-8f61-e44966476a16
Autor:
Victor Aguirregabiria, Arvind Magesan
Publikováno v:
The Review of Economic Studies.
This paper deals with the identification and estimation of dynamic games when players' beliefs about other players' actions are biased, i.e., beliefs do not represent the probability distribution of the actual behavior of other players conditional on
Autor:
Michael McAleer, Chia-Lin Chang
Publikováno v:
Managerial Finance. 42:324-337
Purpose – Both journal self-citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The purpose of this paper is to analyse academic journal quality and research impact using quality-weig
Publikováno v:
Econometric Reviews, 35(1), 50-97. Taylor & Francis Ltd
The paper focuses on the robustness of rankings of academic journal quality and research impact in general, and in Economics, in particular, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). The paper analyses 299
Publikováno v:
Spatial Economic Analysis. 11(4):457-479
This paper compares the performance of Bayesian variable selection approaches for spatial autoregressive models. It presents two alternative approaches that can be implemented using Gibbs sampling methods in a straightforward way and which allow one