Automatic Inference For Infinite Order Vector Autoregressions
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Volume (Year): 21 (2005)
Issue (Month): 01 (February)
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Web page: http://journals.cambridge.org/jid_ECT
- Laura Mayoral, 2013.
"Heterogeneous Dynamics, Aggregation, And The Persistence Of Economic Shocks,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54, pages 1295-1307, November.
- Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," Working Papers 400, Barcelona Graduate School of Economics.
- Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Mayoral, Laura & Dolores Gadea, María, 2011. "Aggregate real exchange rate persistence through the lens of sectoral data," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 290-304.
- Jondeau, Eric & Pelgrin, Florian, 2014. "Estimating aggregate autoregressive processes when only macro data are available," Economics Letters, Elsevier, vol. 124(3), pages 341-347.
- Eric JONDEAU & Florian PELGRIN, "undated". "Estimating Aggregate Autoregressive Processes When Only Macro Data are Available," Swiss Finance Institute Research Paper Series 14-43, Swiss Finance Institute.
- Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, vol. 23(04), pages 638-685, August.
- Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
- Hwang, Eunju & Shin, Dong Wan, 2014. "Infinite-order, long-memory heterogeneous autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 339-358.
- Bauer, Dietmar, 2009. "Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 397-421, March.
- Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
- Laura Mayoral & Maria Dolores Gadea, 2009. "Analyzing aggregate real exchange rate persistence through the lens of sectoral data," UFAE and IAE Working Papers 787.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Laura Mayoral & María Dolores Gadea, 2009. "Analyzing aggregate real exchange rate persistence through the lens of sectoral data," Working Papers 399, Barcelona Graduate School of Economics.
- Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
- Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation for Research in Economics, Yale University.
- Dietmar Bauer & Martin Wagner, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Working Papers ECO2005/09, European University Institute.
- Bauer, Dietmar & Wagner, Martin, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Series 174, Institute for Advanced Studies.
- Theodoridis, Konstantinos, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
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