Results 181 to 190 of about 23,659 (294)

Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not.
Bušs, Ginters
core  

Estimation of Higher-Order Spatial Autoregressive Panel Data Error Component Models [PDF]

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S).
Harald Badinger, Peter Egger
core  

Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment

Journal of Applied Econometrics, EarlyView.
ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

Economics: Journal Articles, 2008
Niels Framroze Møller
doaj   +2 more sources

Fiscal Policy Regimes in Resource‐Rich Economies

Journal of Applied Econometrics, EarlyView.
ABSTRACT We analyse fiscal policy in resource‐rich economies using a novel Bayesian regime‐switching panel model. The identified regimes capture pro‐ or countercyclical fiscal behaviour by allowing regime‐specific shifts in the average fiscal stance, while the switches between the regimes have the interpretation of changes in fiscal policy.
Hilde C. Bjørnland, Roberto Casarin, Marco Lorusso, Francesco Ravazzolo   +3 more
wiley   +1 more source

Labor Market Institutions, Fiscal Multipliers, and Macroeconomic Volatility

Journal of Applied Econometrics, EarlyView.
ABSTRACT How do labor market institutions shape the transmission of government spending shocks and macroeconomic volatility? We develop a theoretical model in which labor market institutions affect fiscal transmission through their effect on wage rigidity, job separation, and matching frictions.
Maximilian Boeck, Jesús Crespo Cuaresma, Christian Glocker   +2 more
wiley   +1 more source

Developmental dynamics of symptoms of emotional problems in childhood and adolescence: A longitudinal network analysis

JCPP Advances, EarlyView.
This study examined how emotional symptoms co‐develop from childhood to adolescence using longitudinal data from over 11,000 children and adolescents. Network analyses revealed reciprocal links between core symptoms of anxiety and depression, with no significant differences between males and females.
Eira R. Aksnes, Marianne Skogbrott Birkeland, Omid V. Ebrahimi, Mona Bekkhus, Lia Ferschmann, Dani Beck, Trude Fixdal, Alexandra Havdahl, Lydia Gabriela Speyer, Lars T. Westlye, Marieke G. N. Bos, Christian K. Tamnes   +11 more
wiley   +1 more source

Spatial Time-Series Modeling: A review of the proposed methodologies [PDF]

This paper discusses three modelling techniques, which apply to multiple time series data that correspond to different spatial locations (spatial time series).
Yiannis Kamarianakis, Poulicos Prastacos
core