Results 211 to 220 of about 498,137 (306)
Goodness-of-fit testing for regime-switching models
In this paper we propose a novel goodness-of-fit testing scheme for regime-switching models. We consider models with an observable, as well as, a latent state process.
Weron, Rafal, Janczura, Joanna
core
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach. [PDF]
PLoS One, 2018 Dahlqvist CH.
europepmc +1 more source
Multiple Chains Markov Switching Vector Autoregression
Journal of Time Series Analysis, EarlyView.ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley +1 more source
On Testing for Independence Between Generalized Error Models of Several Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi +2 more
wiley +1 more source
Hedgehog Pillows and Squirrel Plates: Priming Semantic Structure in Children's Comprehension
Language Learning, EarlyView.Abstract We report three expression–picture‐matching experiments targeting preschoolers’ semantic processing. We assessed whether 3‐ and 4‐year‐olds’ interpretations of ambiguous novel noun–noun combinations (e.g., hedgehog pillow) were affected by immediate language experience and what role lexical items played in this process.
Judit Fazekas +2 more
wiley +1 more source
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies
Mathematical Finance, EarlyView.ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri +2 more
wiley +1 more source
New Phytologist, EarlyView.Summary Arbuscular mycorrhizal fungi (AMF) are widespread plant symbionts that enhance nutrient acquisition and influence ecosystem productivity. Previous chromosome‐level assemblies of the model species Rhizophagus irregularis revealed a two‐compartment genome architecture (active A and repressed B chromatin compartments), yet its conservation across ...
Ken Mugambi +10 more
wiley +1 more source
Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time‐invariance of the impact effects of the shocks. It is shown how that assumption can be tested when long‐run restrictions based on the cointegration structure of the variables are available for identifying structural ...
Martin Bruns, Helmut Lütkepohl
wiley +1 more source