Random‐coefficient periodic autoregressions
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References listed on IDEAS
- Helmut Herwartz, 1999. "Performance of periodic time series models in forecasting," Empirical Economics, Springer, vol. 24(2), pages 271-301.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- Franses, Philip Hans & Paap, Richard, 1994. "Model Selection in Periodic Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 421-439, November.
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- Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030.
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- Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
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- Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "Periodic stationarity of random coefficient periodic autoregressions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 990-996, April.
- Dennis Fok & Philip Hans Franses, 2013. "Testing earnings management," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(3), pages 281-292, August.
- Kiygi Calli, M. & Weverbergh, M. & Franses, Ph.H.B.F., 2008.
"Modeling the Effectiveness of Hourly Direct-Response Radio Commercials,"
ERIM Report Series Research in Management
ERS-2008-019-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- KIYGI CALLI, Meltem & WEVERBERGH, Marcel & FRANSES, Philip Hans, 2008. "Modeling the effectiveness of hourly direct-response radio commercials," Working Papers 2008005, University of Antwerp, Faculty of Applied Economics.
- Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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