Citations for "Monitoring structural change in dynamic econometric models"
by Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis
- Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2016.
"The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach,"
Emerging Markets Finance and Trade,
Taylor & Francis Journals, vol. 52(3), pages 674-689, March.
- Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013. "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers 201345, University of Pretoria, Department of Economics.
- Okyoung Na & Youngmi Lee & Sangyeol Lee, 2011. "Monitoring parameter change in time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 171-199, June.
- Elena Andreou & Eric Ghysels, 2007.
"Quality Control for Structural Credit Risk Models,"
University of Cyprus Working Papers in Economics
3-2007, University of Cyprus Department of Economics.
- Eklund, J. & Kapetanios, G. & Price, S., 2011.
"Forecasting in the presence of recent structural change,"
11/05, Department of Economics, City University London.
- Eklund, Jana & Kapetanios, George & Price, Simon, 2010. "Forecasting in the presence of recent structural change," Bank of England working papers 406, Bank of England.
- Jana Eklund & George Kapetanios & Simon Price, 2011. "Forecasting in the presence of recent structural change," CAMA Working Papers 2011-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Patnaik, Ila & Shah, Ajay, 2008.
"Does the currency regime shape unhedged currency exposure,"
08/50, National Institute of Public Finance and Policy.
- Patnaik, Ila & Shah, Ajay, 2010. "Does the currency regime shape unhedged currency exposure?," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 760-769, September.
- Ajay Shah & Ila Patnaik, 2009. "Does the Currency Regime Shape Unhedged Currency Exposure?," Working Papers id:2049, eSocialSciences.
- Lee, O., 2013. "The functional central limit theorem for ARMA–GARCH processes," Economics Letters, Elsevier, vol. 121(3), pages 432-435.
- Michael Berlemann & Julia Freese & Sven Knoth, 2012.
"Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control,"
CESifo Working Paper Series
3962, CESifo Group Munich.
- Berlemann, Michael & Freese, Julia & Knoth, Sven, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper 124/2012, Helmut Schmidt University, Hamburg.
- Carraro, Alessandro & Stefani, Gianluca, 2011. "Price Transmission in Three Italian Food Chains: A Structural Break Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114317, European Association of Agricultural Economists.
- repec:ipg:wpaper:2014-476 is not listed on IDEAS
- Jan J. J. Groen & George Kapetanios & Simon Price, 2013.
"Multivariate Methods For Monitoring Structural Change,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 28(2), pages 250-274, 03.
- Groen, Jan J J & Kapetanios, George & Price, Simon, 2009. "Multivariate methods for monitoring structural change," Bank of England working papers 369, Bank of England.
- Jan J.J. Groen & George Kapetanios & Simon Price, 2010. "Multivariate Methods for Monitoring Structural Change," Working Papers 658, Queen Mary University of London, School of Economics and Finance.
- Aye, Goodness C. & Balcilar, Mehmet & El Montasser, Ghassen & Gupta, Rangan & Manjez, Nangamso C., 2016. "Can debt ceiling and government shutdown predict us real stock returns? A bootstrap rolling window approach. - Gli effetti sui rendimenti azionari reali negli USA del tetto del debito pubblico e del b," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 69(1), pages 11-31.
- Anatolyev, Stanislav, 2009.
"Nonparametric Retrospection and Monitoring of Predictability of Financial Returns,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 27(2), pages 149-160.
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
- Davide Pettenuzzo & Halbert White, 2010.
"Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis,"
36, Brandeis University, Department of Economics and International Businesss School.
- White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
- Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
- Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
- Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan, 2015.
"Temporal causality between house prices and output in the US: A bootstrap rolling-window approach,"
The North American Journal of Economics and Finance,
Elsevier, vol. 33(C), pages 55-73.
- Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2013. "Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach," Working Papers 201329, University of Pretoria, Department of Economics.
- Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2013. "Temporal Causality between House Prices and Output in the U.S.: A Bootstrap Rolling-Window Approach," Working papers 2013-14, University of Connecticut, Department of Economics.
- Hsu, Chih-Chiang, 2007. "The MOSUM of squares test for monitoring variance changes," Finance Research Letters, Elsevier, vol. 4(4), pages 254-260, December.
- Jesús Mur & Fernando López & Ana Angulo, 2010. "Instability in spatial error models: an application to the hypothesis of convergence in the European case," Journal of Geographical Systems, Springer, vol. 12(3), pages 259-280, September.
- Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
- Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
- Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
- Jan Verbesselt & Achim Zeileis & Martin Herold, 2011. "Near Real-Time Disturbance Detection in Terrestrial Ecosystems Using Satellite Image Time Series: Drought Detection in Somalia," Working Papers 2011-18, Faculty of Economics and Statistics, University of Innsbruck.
- Chen, Zhanshou & Tian, Zheng, 2010. "Modified procedures for change point monitoring in linear models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 62-75.
- Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
- Alberto Cazzola & Lucia Pasquini & Aurora Angeli, 2016. "The relationship between unemployment and fertility in Italy," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 34(1), pages 1-38, January.
- Zeileis, Achim & Shah, Ajay & Patnaik, Ila, 2010. "Testing, monitoring, and dating structural changes in exchange rate regimes," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1696-1706, June.
- KUROZUMI, Eiji, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.
- Weißbach, Rafael & Ponyatovskyy, Vladyslav & Zimmermann, Guido, 2006. "The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast," Technical Reports 2006,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.