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Showing 1 - 20 results of 2,181 for search '"Econometric reviews"', query time: 1.52s Narrow search
  • 1
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    Econometric reviews
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  • 2
    Cover Image Journal Article
    Bayesian Analysis of DSGE Models
    by An, Sungbae   Schorfheide, Frank Published in Econometric reviews (12.04.2007)
    “...Econometric Reviews, 26(2–4):113–172, 2007 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930701220071 BA...”
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  • 3
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    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...”
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  • 4
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    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...”
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  • 5
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    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...”
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  • 6
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    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...”
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  • 7
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    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...”
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  • 8
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    The Volatility of Realized Volatility
    by Corsi, Fulvio   Mittnik, Stefan   Pigorsch, Christian   Pigorsch, Uta Published in Econometric reviews (19.02.2008)
    “...Econometric Reviews, 27(1–3):46–78, 2008 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930701853616 THE VOLA...”
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  • 9
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    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...”
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  • 10
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    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...”
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  • 11
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    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...”
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  • 12
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    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...”
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  • 13
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    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...”
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  • 14
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    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...”
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  • 15
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    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...”
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  • 16
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    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)
    “...Econometric Reviews, 29(2):111–145, 2010 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930903382125 PANEL...”
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  • 17
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    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)...”
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  • 18
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    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...”
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  • 19
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    Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model
    by Greene, William Published in Econometric reviews (31.12.2004)
    “...The maximum likelihood estimator (MLE) in nonlinear panel data models with fixed effects is widely understood (with a few exceptions) to be biased and...”
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  • 20
    Cover Image 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)
    “...Econometric Reviews, 25(1):85–116, 2006 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930500545504...”
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