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On the parametrization of autoregressive models by partial autocorrelations
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Cited by:
- Tommaso Proietti & Alessandra Luati, 2013.
"The Exponential Model for the Spectrum of a Time Series: Extensions and Applications,"
CREATES Research Papers
2013-34, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Alessandra Luati, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CEIS Research Paper 272, Tor Vergata University, CEIS, revised 19 Apr 2013.
- Proietti, Tommaso & Luati, Alessandra, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," MPRA Paper 45280, University Library of Munich, Germany.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive Models and Heavy Tails with an Application to Inflation Forecasting," EMF Research Papers 13, Economic Modelling and Forecasting Group.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Davide Delle Monache & Ivan Petrella, 2014.
"Adaptive Models and Heavy Tails,"
Working Papers
720, Queen Mary University of London, School of Economics and Finance.
- Petrella, Ivan & Delle Monache, Davide, 2016. "Adaptive models and heavy tails," Bank of England working papers 577, Bank of England.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails," Temi di discussione (Economic working papers) 1052, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
- Tommaso Proietti & Alessandro Giovannelli, 2018.
"A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices,"
Biometrika, Biometrika Trust, vol. 105(4), pages 783-795.
- Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CREATES Research Papers 2017-20, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CEIS Research Paper 410, Tor Vergata University, CEIS, revised 19 Jul 2017.
- Paul Labonne & Martin Weale, 2018. "Temporal disaggregation of overlapping noisy quarterly data using state space models: Estimation of monthly business sector output from Value Added Tax data in the UK," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-18, Economic Statistics Centre of Excellence (ESCoE).
- Alessandra Luati & Tommaso Proietti, 2015.
"Generalised partial autocorrelations and the mutual information between past and future,"
CEIS Research Paper
344, Tor Vergata University, CEIS, revised 05 Jun 2015.
- Tommaso Proietti & Alessandra Luati, 2015. "Generalised partial autocorrelations and the mutual information between past and future," CREATES Research Papers 2015-24, Department of Economics and Business Economics, Aarhus University.
- Ng, Chi Tim & Joe, Harry, 2010. "Generating random AR(p) and MA(q) Toeplitz correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1532-1545, July.
- Marco Del Negro & Frank Schorfheide, 2009.
"Monetary Policy Analysis with Potentially Misspecified Models,"
American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," FRB Atlanta Working Paper 2005-26, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia.
- Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
- Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc.
- Marco Del Negro & Frank Schorfheide, 2008. "Monetary policy analysis with potentially misspecified models," Staff Reports 321, Federal Reserve Bank of New York.
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Daniel Neuhoff, 2015. "Dynamics of Real Per Capita GDP," SFB 649 Discussion Papers SFB649DP2015-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Shaman, Paul, 2010. "Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1263-1273, May.
- Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009.
"Real-Time Measurement of Business Conditions,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.
- Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland, 2006. "Real-Time Measurement of Business Conditions," Computing in Economics and Finance 2006 387, Society for Computational Economics.
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.).
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-Time Measurement of Business Conditions," NBER Working Papers 14349, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions," PIER Working Paper Archive 07-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-time measurement of business conditions," Working Papers 08-19, Federal Reserve Bank of Philadelphia.
- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
- Philippe, Anne, 2006. "Bayesian analysis of autoregressive moving average processes with unknown orders," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1904-1923, December.
- Maria Barbieri & Caterina Conigliani, 1998. "Bayesian analysis of autoregressive time series with change points," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 7(3), pages 243-255, December.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2018.
"Controlling the size of autocorrelation robust tests,"
Journal of Econometrics, Elsevier, vol. 207(2), pages 406-431.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
- Sigrunn Holbek Sørbye & Håvard Rue, 2017. "Penalised Complexity Priors for Stationary Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 923-935, November.
- Gabriele Fiorentini & Enrique Sentana, 2016.
"Neglected serial correlation tests in UCARIMA models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
- Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
- Dégerine, Serge & Lambert-Lacroix, Sophie, 2003. "Characterization of the partial autocorrelation function of nonstationary time series," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 46-59, October.
- Chen, Tianbo & Sun, Ying & Li, Ta-Hsin, 2021. "A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network," Computational Statistics & Data Analysis, Elsevier, vol. 154(C).
- Fitzgibbon, L.J., 2006. "On sampling stationary autoregressive model parameters uniformly in r2 value," Statistics & Probability Letters, Elsevier, vol. 76(4), pages 349-352, February.
- Alexander Meyer-Gohde & Daniel Neuhoff, 2015.
"Generalized Exogenous Processes in DSGE: A Bayesian Approach,"
SFB 649 Discussion Papers
SFB649DP2015-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Meyer-Gohde, Alexander & Neuhoff, Daniel, 2018. "Generalized exogenous processes in DSGE: A Bayesian approach," IMFS Working Paper Series 125, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
- Zhang, Y. & McLeod, A.I., 2006. "Fitting MA(q) models in the closed invertible region," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1331-1334, July.
- Martin Bladt & Alexander J. McNeil, 2021. "Time series models with infinite-order partial copula dependence," Papers 2107.00960, arXiv.org.
- O. Anderson, 1976. "Some new Time Sdries results," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 23(1), pages 65-76, December.
- Smith, Michael Stanley & Maneesoonthorn, Worapree, 2018. "Inversion copulas from nonlinear state space models with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 34(3), pages 389-407.
- Luigi Spezia & Andy Vinten & Roberta Paroli & Marc Stutter, 2021. "An evolutionary Monte Carlo method for the analysis of turbidity high‐frequency time series through Markov switching autoregressive models," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
- Chen, Cathy W.S. & Yu, Tiffany H.K., 2005. "Long-term dependence with asymmetric conditional heteroscedasticity in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 413-424.
- McLeod, A.I. & Zhang, Y., 2008. "Faster ARMA maximum likelihood estimation," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2166-2176, January.
- repec:jss:jstsof:28:i02 is not listed on IDEAS
- Zhihao Xu & Clifford M. Hurvich, 2021. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Papers 2108.06093, arXiv.org, revised Jun 2023.
- Tobias Hartl & Roland Jucknewitz, 2022.
"Approximate state space modelling of unobserved fractional components,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
- Tobias Hartl & Roland Weigand, 2018. "Approximate State Space Modelling of Unobserved Fractional Components," Papers 1812.09142, arXiv.org, revised May 2020.
- Wang, Wan-Lun & Fan, Tsai-Hung, 2010. "ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors," Computational Statistics & Data Analysis, Elsevier, vol. 54(5), pages 1328-1341, May.
- Ku, Simon F., 1997. "Limited distribution of sample partial autocorrelations: A matrix approach," Stochastic Processes and their Applications, Elsevier, vol. 72(1), pages 121-143, December.
- Bingham, N.H. & Inoue, Akihiko & Kasahara, Yukio, 2012. "An explicit representation of Verblunsky coefficients," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 403-410.
- Wang, Wan-Lun & Fan, Tsai-Hung, 2012. "Bayesian analysis of multivariate t linear mixed models using a combination of IBF and Gibbs samplers," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 300-310.
- McLeod, A. Ian & Zhang, Ying, 2008. "Improved Subset Autoregression: With R Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 28(i02).
- Bladt Martin & McNeil Alexander J., 2022. "Time series with infinite-order partial copula dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 87-107, January.
- Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.