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IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods
Business cycles impulse response filters frequency domain autoregressive models
2010/9/7
An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering pr...
IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods
Business cycles impulse response filters frequency domain autoregressive models
2010/9/7
An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering pr...
TESTING FOR REGRESSION COEFFICIENT STABILITY WITH A STATIONARY AR(1) ALTERNATIVE
Regression Coefficient Stability Stationary AR(1) Alternative
2014/3/18
We discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process...
ALTERNATIVE ALGORITHMS FOR THE ESTIMATION OF DYNAMIC FACTOR, MIMIC AND VARYING COEFFICIENT REGRESSION MODELS
Alternative AlgorithmsEstimation of Dynamic MIMICFactorTime Varying Coefficient Regression Models
2014/3/18
This paper provides a general approach to the formulation and estimation of dynamic unobserved component models. After introducing the general model, two methods for estimating ...