搜索结果: 46-55 共查到“经济学 time series”相关记录55条 . 查询时间(0.116 秒)
Testing for the Markov Property in Time Series
Markov property Conditional characteristic function Generalized cross-spectrum Smoothed nonparametric bootstrap
2011/4/6
The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modelling. We develop a test for the Markov property using the conditional characte...
The Correlation Structure of Some Financial Time Series Models
Autocorrelations mixed ARMA models Wold representation aggregation
2010/9/7
The purpose of this paper is to examine the correlation structure of mixed autoregressive and moving average (ARMA) models, as discussed in Granger and Morris (1976). The technique we use to obtain th...
主讲人
Chor-yiu Sin
Xiamen University
题目
Capturing cross-sectional correlation with time series: with an application to unit root test
时间
2007年5月9日（星期三）下午14:00-----15:30
地点
北京大学中国经济研究中心万众楼大教室
工作语言
英文
联系电...
In this article we propose a generalization of the linear factor model, that combines hidden Markov chain Models (HMM) with latent factor models. The HMM generates a piece-wise constant state evolutio...
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Multistep forecasts Var forecasts Forecast comparisons
2014/3/18
‘‘Iterated’’ multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas ‘‘direct’’ forecasts are made using a horizon-...
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional...
Economic theories underlying economic variables nuisance parameter free
2011/4/2
Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for tim...
Evidence on Structural Instability in Macroeconomic Time Series Relations
Break tests Forecasting Recursive least squares Structural stability Time- varying parameter
2014/3/18
An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting t...
INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS
Cointegration error correction models vector autoregressio
2014/3/18
This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector auto...
The two most striking historical features of aggregate output are its sustained long run growth and its recurrent fluctuations around this growth path. Real per capita GNP, consu...
A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates
State space model Dynamic factor anal-ysis Kalman filter Method of scoring Unobserved com- ponent estimation
2014/3/18
The paper formulates and estimates a single-factor multi-variate time series model. The model is a dynamic gen-eralization of the multiple indicator (or factor analysis) model. ...