Search Results - "Econometric reviews"

Journal Article

An empirical comparison of machine learning models for time series forecasting

by Ahmed, Nesreen K Atiya, Amir F Gayar, Neamat el El-Shishiny, Hisham Published in Econometric reviews (2010)

“...In this work we present a large scale comparison study for the major machine learning models for time series forecasting. Specifically, we apply the models on...”

Journal Article

Bayesian Analysis of DSGE Models

by An, Sungbae Schorfheide, Frank Published in Econometric reviews (12.04.2007)

Journal Article

Cross-Sectional Dependence in Panel Data Analysis

by Sarafidis, Vasilis Wansbeek, Tom Published in Econometric reviews (01.09.2012)

“...This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and...”

Journal Article

A Survey on Time-Varying Copulas: Specification, Simulations, and Application

by Manner, Hans Reznikova, Olga Published in Econometric reviews (01.11.2012)

“...The aim of this article is to bring together different specifications for copula models with time-varying dependence structure. Copula models are widely used...”

Journal Article

MIDAS Regressions: Further Results and New Directions

by Ghysels, Eric Sinko, Arthur Valkanov, Rossen Published in Econometric reviews (05.02.2007)

“...We explore mixed data sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Volatility and...”

Journal Article

Realized Volatility: A Review

by McAleer, Michael Medeiros, Marcelo C Published in Econometric reviews (19.02.2008)

“...This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating...”

Journal Article

The Volatility of Realized Volatility

by Corsi, Fulvio Mittnik, Stefan Pigorsch, Christian Pigorsch, Uta Published in Econometric reviews (19.02.2008)

Journal Article

A Review of Some Modern Approaches to the Problem of Trend Extraction

by Alexandrov, Theodore Bianconcini, Silvia Dagum, Estela Bee Maass, Peter McElroy, Tucker S Published in Econometric reviews (01.11.2012)

“...This article presents a review of some modern approaches to trend extraction for one-dimensional time series, which is one of the major tasks of time series...”

Journal Article

Correction to "Automatic Block-Length Selection for the Dependent Bootstrap" by D. Politis and H. White

by Patton, Andrew Politis, Dimitris N White, Halbert Published in Econometric reviews (30.01.2009)

“...A correction on the optimal block size algorithms of Politis and White ( 2004 ) is given following a correction of Lahiri's (Lahiri 1999 ) theoretical results...”

Journal Article

Automatic Block-Length Selection for the Dependent Bootstrap

by Politis, Dimitris N White, Halbert Published in Econometric reviews (31.12.2004)

“...We review the different block bootstrap methods for time series, and present them in a unified framework. We then revisit a recent result of Lahiri [Lahiri, S...”

Journal Article

Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

by McAleer, Michael Hoti, Suhejla Chan, Felix Published in Econometric reviews (26.02.2009)

“...Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and...”

Journal Article

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

by Inoue, Atsushi Kilian, Lutz Published in Econometric reviews (02.01.2005)

“...It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted...”

Journal Article

The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study

by Wagner, Martin Hlouskova, Jaroslava Published in Econometric reviews (24.11.2009)

“...This article presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the...”

Journal Article

Multivariate Stochastic Volatility: A Review

by Asai, Manabu McAleer, Michael Yu, Jun Published in Econometric reviews (01.09.2006)

“...The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial...”

Journal Article

A Parametric approach to the Estimation of Cointegration Vectors in Panel Data

by Breitung, Jörg Published in Econometric reviews (01.04.2005)

“...In this article, a parametric framework for estimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p)...”

Journal Article

Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling

by Gengenbach, Christian Palm, Franz C Urbain, Jean-Pierre Published in Econometric reviews (24.11.2009)

Journal Article

GMM Estimation with persistent panel data: an application to production functions

by Blundell, Richard Bond, Stephen Published in Econometric reviews (01.01.2000)

“...ECONOMETRIC REVIEWS, 19(3), 32 1-340 (2000) GMM ESTIMATION WITH PERSISTENT PANEL DATA: AN APPLICATION TO PRODUCTION FUNCTIONS Richard Blundell University...”

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Journal Article

On Testing Equality of Distributions of Technical Efficiency Scores

by Simar, Léopold Zelenyuk, Valentin Published in Econometric reviews (01.12.2006)

“...The challenge of the econometric problem in production efficiency analysis is that the efficiency scores to be analyzed are unobserved. Statistical properties...”

Journal Article

The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study

by Hlouskova, Jaroslava Wagner, Martin Published in Econometric reviews (01.06.2006)

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