Works matching DE "AUTOREGRESSION (Statistics)"
Results: 2948
Bayesian spatial modeling for speeding likelihood using floating car trajectories.
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- Journal of Traffic & Transportation Engineering (English Edition), 2025, v. 12, n. 1, p. 139, doi. 10.1016/j.jtte.2023.07.013
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A multivariate autoregressive distributed lag unit root test.
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- Studies in Economics & Econometrics, 2025, v. 49, n. 1, p. 17, doi. 10.1080/03796205.2024.2439101
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Asymmetric Stochastic Conditional Duration Model—A Mixture-of-Normal Approach.
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- Journal of Financial Econometrics, 2011, v. 9, n. 3, p. 469
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GARCH Parameter Estimation Using High-Frequency Data.
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- Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 162, doi. 10.1093/jjfinec/nbq017
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An ACD-ECOGARCH(1,1) Model.
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- Journal of Financial Econometrics, 2010, v. 8, n. 3, p. 335, doi. 10.1093/jjfinec/nbp023
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Generalized Moment Tests for Autoregressive Conditional Duration Models.
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- Journal of Financial Econometrics, 2010, v. 8, n. 3, p. 345, doi. 10.1093/jjfinec/nbq016
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Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.
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- Journal of Financial Econometrics, 2009, v. 7, n. 4, p. 373, doi. 10.1093/jjfinec/nbp013
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VAR Modeling for Dynamic Loadings Driving Volatility Strings.
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- Journal of Financial Econometrics, 2008, v. 6, n. 3, p. 361, doi. 10.1093/jjfinec/nbn004
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Time-Varying Arrival Rates of Informed and Uninformed Trades.
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- Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 171, doi. 10.1093/jjfinec/nbn003
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A Semiparametric Factor Model for Implied Volatility Surface Dynamics.
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- Journal of Financial Econometrics, 2007, v. 5, n. 2, p. 189, doi. 10.1093/jjfinec/nbm005
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Stochastic Conditional Intensity Processes.
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- Journal of Financial Econometrics, 2006, v. 4, n. 3, p. 450, doi. 10.1093/jjfinec/nbj013
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Autoregressive Conditional Kurtosis.
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- Journal of Financial Econometrics, 2005, v. 3, n. 3, p. 399, doi. 10.1093/jjfinec/nbi018
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Testing for Threshold Nonlinearity in Short-Term Interest Rates.
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- Journal of Financial Econometrics, 2005, v. 3, n. 3, p. 344, doi. 10.1093/jjfinec/nbi016
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Explosive behaviour and long memory with an application to European bond yield spreads.
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- Scottish Journal of Political Economy, 2019, v. 66, n. 1, p. 139, doi. 10.1111/sjpe.12179
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The difference, system and ‘Double‐D’ GMM panel estimators in the presence of structural breaks.
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- Scottish Journal of Political Economy, 2018, v. 65, n. 3, p. 271, doi. 10.1111/sjpe.12142
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THE EFFECTS OF FISCAL POLICY SHOCKS IN SVAR MODELS: A GRAPHICAL MODELLING APPROACH.
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- Scottish Journal of Political Economy, 2011, v. 58, n. 4, p. 537, doi. 10.1111/j.1467-9485.2011.00558.x
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THE ROLE OF HOUSE PRICES IN THE MONETARY TRANSMISSION MECHANISM ACROSS EUROPEAN COUNTRIES.
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- Scottish Journal of Political Economy, 2005, v. 52, n. 4, p. 519, doi. 10.1111/j.1467-9485.2005.00354.x
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Another Piece in the Feldstein–Horioka Puzzle.
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- Scottish Journal of Political Economy, 2003, v. 50, n. 1, p. 69, doi. 10.1111/1467-9485.00255
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MEASURING UNCERTAINTY AND ITS IMPACT ON THE ECONOMY.
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- Review of Economics & Statistics, 2018, v. 100, n. 5, p. 799, doi. 10.1162/rest_a_00693
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PREDICTION USING SEVERAL MACROECONOMIC MODELS.
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- Review of Economics & Statistics, 2017, v. 99, n. 5, p. 912, doi. 10.1162/REST_a_00655
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GRANGER CAUSAL PRIORITY AND CHOICE OF VARIABLES IN VECTOR AUTOREGRESSIONS.
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- Review of Economics & Statistics, 2017, v. 99, n. 2, p. 319, doi. 10.1162/REST_a_00601
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PRIOR SELECTION FOR VECTOR AUTOREGRESSIONS.
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- Review of Economics & Statistics, 2015, v. 97, n. 2, p. 436, doi. 10.1162/REST_a_00483
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A CONDITIONAL-HETEROSKEDASTICITY-ROBUST CONFIDENCE INTERVAL FOR THE AUTOREGRESSIVE PARAMETER.
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- Review of Economics & Statistics, 2014, v. 96, n. 2, p. 376, doi. 10.1162/REST_a_00369
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COLLUSION THROUGH JOINT R&D: AN EMPIRICAL ASSESSMENT.
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- Review of Economics & Statistics, 2014, v. 96, n. 2, p. 349, doi. 10.1162/REST_a_00367
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HOW RELIABLE ARE LOCAL PROJECTION ESTIMATORS OF IMPULSE RESPONSES?
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- Review of Economics & Statistics, 2011, v. 93, n. 4, p. 1460, doi. 10.1162/REST_a_00143
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INEQUALITY AND INSTITUTIONS.
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- Review of Economics & Statistics, 2007, v. 89, n. 3, p. 454, doi. 10.1162/rest.89.3.454
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HAS MONETARY POLICY BECOME MORE EFFECTIVE?
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- Review of Economics & Statistics, 2006, v. 88, n. 3, p. 445, doi. 10.1162/rest.88.3.445
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MEASURING MARKET INTEGRATION: FOREIGN EXCHANGE ARBITRAGE AND THE GOLD STANDARD, 1879-1913.
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- Review of Economics & Statistics, 2004, v. 86, n. 4, p. 868, doi. 10.1162/0034653043125149
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Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?
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- Review of Economics & Statistics, 2004, v. 86, n. 3, p. 824, doi. 10.1162/0034653041811662
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CREDIT AND ECONOMIC ACTIVITY: CREDIT REGIMES AND NONLINEAR PROPAGATION OF SHOCKS.
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- Review of Economics & Statistics, 2000, v. 82, n. 2, p. 344, doi. 10.1162/rest.2000.82.2.344
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FINITE-SAMPLE PROPERTIES OF PERCENTILE AND PERCENTILE-t BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES.
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- Review of Economics & Statistics, 1999, v. 81, n. 4, p. 652, doi. 10.1162/003465399558517
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CONDITIONAL FORECASTS IN DYNAMIC MULTIVARIATE MODELS.
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- Review of Economics & Statistics, 1999, v. 81, n. 4, p. 639, doi. 10.1162/003465399558508
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THE GRID BOOTSTRAP AND THE AUTOREGRESSIVE MODEL.
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- Review of Economics & Statistics, 1999, v. 81, n. 4, p. 594, doi. 10.1162/003465399558463
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Modeling Nonlinearity of Business Cycles: Choosing Between the CDR and Star Models.
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- Review of Economics & Statistics, 1999, v. 81, n. 2, p. 344, doi. 10.1162/rest.1999.81.2.344
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Asymmetric Time Series and Temporal Aggregation.
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- Review of Economics & Statistics, 1999, v. 81, n. 2, p. 341
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ON THE SIZE AND POWER OF SYSTEM TESTS FOR COINTEGRATION.
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- Review of Economics & Statistics, 1998, v. 80, n. 4, p. 675, doi. 10.1162/003465398557771
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Small-simple confidence intervals for impulse response functions.
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- Review of Economics & Statistics, 1998, v. 80, n. 2, p. 218, doi. 10.1162/003465398557465
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STRUCTURAL MODELS OF THE LIQUIDITY EFFECT.
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- Review of Economics & Statistics, 1998, v. 80, n. 2, p. 202, doi. 10.1162/003465398557456
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Inference in cointegrated VAR systems.
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- Review of Economics & Statistics, 1997, v. 79, n. 3, p. 508, doi. 10.1162/003465300556922
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AN ASSESSMENT OF THE RELATIVE IMPORTANCE OF REAL INTEREST RATES, INFLATION, AND TERM PREMIUMS IN DETERMINING THE PRICES OF REAL AND NOMINAL U.K. BONDS.
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- Review of Economics & Statistics, 1997, v. 79, n. 3, p. 362, doi. 10.1162/003465300556931
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ESTIMATING DETERMINISTIC TRENDS IN THE PRESENCE OF SERIALLY CORRELATED ERRORS.
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- Review of Economics & Statistics, 1997, v. 79, n. 2, p. 184, doi. 10.1162/003465397556773
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SOURCES OF FLUCTUATIONS IN REAL AND NOMINAL EXCHANGE RATES.
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- Review of Economics & Statistics, 1992, v. 74, n. 3, p. 530, doi. 10.2307/2109498
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MULTIPLE MINIMA IN THE ESTIMATION OF MODELS WITH AUTOREGRESSIVE DISTURBANCES.
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- Review of Economics & Statistics, 1992, v. 74, n. 2, p. 354, doi. 10.2307/2109671
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TESTING FOR GRANGER'S FULL CAUSALITY.
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- Review of Economics & Statistics, 1992, v. 74, n. 1, p. 146, doi. 10.2307/2109552
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A NOTE ON SPURIOUS INFERENCE IN A LINEARLY DETRENDED VECTOR AUTOREGRESSION.
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- Review of Economics & Statistics, 1991, v. 73, n. 3, p. 568, doi. 10.2307/2109588
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A COMPARISON OF THE FORECASTING ABILITY ECM AND VAR MODELS.
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- Review of Economics & Statistics, 1990, v. 72, n. 4, p. 664, doi. 10.2307/2109607
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THE INFORMATIONAL CONTENT OF EX ANTE FORECASTS.
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- Review of Economics & Statistics, 1989, v. 71, n. 2, p. 325, doi. 10.2307/1926979
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MONEY AND THE BUSINESS CYCLE: ANOTHER LOOK.
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- Review of Economics & Statistics, 1988, v. 70, n. 4, p. 680, doi. 10.2307/1935833
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USE OF (TIME-DOMAIN) VECTOR AUTOREGRESSIONS TO TEST UNCOVERED INTEREST PARITY.
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- Review of Economics & Statistics, 1988, v. 70, n. 2, p. 296, doi. 10.2307/1928314
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A TEST OF THE FIRST DIFFERENCE TRANSFORMATION IN TIME SERIES MODELS.
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- Review of Economics & Statistics, 1987, v. 69, n. 4, p. 723, doi. 10.2307/1935970
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