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Books on the topic 'Autoregressives Modell'

Author: Grafiati

Published: 4 June 2021

Last updated: 2 February 2022

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1

Wensink, Hans Einar. Autoregressive model inference in finite samples =: Autoregressief modelleren op basis van een eindig aantal waarnemingen. Delft University Press, 1996.

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2

Fragoulis, Vassilis. Wavelet estimation of time varying autoregressive models. UMIST, 1998.

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3

Biekpe, Nicholas. Financial forecasts: Bilinear autoregressive moving average models. Accountingand Finance Division, School of Finance and Information, Queen's University of Belfast, 1993.

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4

Empirical vector autoregressive modeling. Springer-Verlag, 1994.

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5

Brüggemann, Ralf. Model Reduction Methods for Vector Autoregressive Processes. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17029-4.

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6

Pollard, J. H. Actuarial applications of autoregressive models of economic variables. School of Economic and Financial Studies, Macquarie University, 1997.

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7

Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press, 1995.

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8

Johansen, Søren. Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press, 1995.

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9

Brännström, Tomas. Bias approximation and reduction in vector autoregressive models. typescript, 1995.

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10

Engle, R. F. Forecasting transaction rates: The autoregressive conditional duration model. National Bureau of Economic Research, 1994.

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11

Kuersteiner, Guido M. Efficient IV estimation for autoregressive models with conditional heterogeneity. Dept. of Economics, Massachusetts Institute of Technology, 1999.

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12

Mikusheva, Anna. Second order expansion of t-statistic in autoregressive models. Massachusetts Institute of Technology, Dept. of Economics, 2007.

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13

Mikusheva, Anna. Second order expansion of t-statistic in autoregressive models. Massachusetts Institute of Technology, Dept. of Economics, 2007.

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14

Mikusheva, Anna. Second order expansion of t-statistic in autoregressive models. Massachusetts Institute of Technology, Dept. of Economics, 2007.

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15

Mikusheva, Anna. Second order expansion of t-statistic in autoregressive models. Massachusetts Institute of Technology, Dept. of Economics, 2007.

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16

Bashir, A. A review of autoregressive conditional heteroscedastic (arch)times series models. UMIST, 1994.

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17

Dueker, Michael. Contemporaneous threshold autoregressive models: Estimation, forecasting, and rational expectations applications. Federal Reserve Bank of St. Louis, 2003.

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18

Maier, Hartmut. Methoden zur Schätzung der Ordnung bei autoregressiven Modellen. B.G. Teubner, 1989.

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19

Mocan, H. Naci. Business cycles and fertility dynamics in the U.S.: A vector-autoregressive model. National Bureau of Economic Research, 1989.

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20

Johansen, Søren. The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model. European University Institute, Department of Economics, 2001.

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21

Hoque, Asraul. The exact multiperiod mean-square forecast error for the first-order autoregressive model. London School of Economics, 1986.

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22

Hasan, Mohammad S. Monetary policy, fiscal policy, and aggregate economic activity in a vector autoregressive model. University of Northumbria at Newcastle, 1995.

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23

Bernanke, Ben S. Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. National Bureau of Economic Research, 2004.

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24

Zenner, Markus. Learning to become rational: The case of self-referential autoregressive and non-stationary models. Springer, 1996.

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25

Johansen, Søren. Controlling inflation in a cointegrated vector autoregressive model with an application to US data. European University Institute, Department of Economics, 2001.

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26

Johansen, Søren. A small sample correction of the test for cointegrating rank in the vector autoregressive model. European University Institute, 2000.

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27

Johansen, Søren. A small sample correction of the test for cointegrating rank in the vector autoregressive model. European University Institute, 2000.

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28

Eckstein, Zvi. Agricultural supply response using vector autoregressions (VAR) with panel data: Some evidence from India. David Horowitz Institute for the Research of Developing Countries, Tel-Aviv University, 1985.

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29

Clements, Michael P. A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP. University of Warwick Department of Economics, 1997.

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30

Kobler, Alexander E. Sources and dynamics of macroeconomic fluctuations in Switzerland: Evidence from a structural vector autoregressive approach. Peter Lang, 2000.

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31

Magnus, Jan R. The exact multiperiod mean-square forecast error for the first-order autoregressive model with an intercept. International Centre for Economics and Related Disciplines, 1988.

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32

Markov-switching vector autoregressions: Modelling, statistical inference, and application to business cycle analysis. Springer, 1997.

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33

Babeshko, Lyudmila, and Irina Orlova. Econometrics and econometric modeling in Excel and R. INFRA-M Academic Publishing LLC., 2020. http://dx.doi.org/10.12737/1079837.

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The textbook includes topics of modern econometrics, often used in economic research. Some aspects of multiple regression models related to the problem of multicollinearity and models with a discrete dependent variable are considered, including methods for their estimation, analysis, and application. A significant place is given to the analysis of models of one-dimensional and multidimensional time series. Modern ideas about the deterministic and stochastic nature of the trend are considered. Methods of statistical identification of the trend type are studied. Attention is paid to the evaluati

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34

Shi, Feng. Learn About the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model in R With Data From the DJIA 30 Stock Time Series (2018). SAGE Publications Ltd., 2019. http://dx.doi.org/10.4135/9781526487650.

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35

Asymmetrische Monetare Transmission In Der Ewu: Eine Theoretische Und Empirische Untersuchung. Peter Lang Pub Inc, 2003.

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36

Multivariate contemporaneous threshold autoregressive models. Federal Reserve Bank of St. Louis, 2007.

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37

Autoregressive Model Inference in Finite Samples. Delft Univ Pr, 1996.

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38

Model Reduction Methods for Vector Autoregressive Processes. Springer, 2004.

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39

Wang, Shouyang, Yongmiao Hong, Xiangli Liu, and Yanhui Liu. Information Spillover Effect and Autoregressive Conditional Duration Models. Taylor & Francis Group, 2018.

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40

Funatogawa, Ikuko. Longitudinal Data Analysis: Autoregressive Linear Mixed Effects Models. Springer, 2019.

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41

Liu, Xiangli. Information Spillover Effect and Autoregressive Conditional Duration Models. Routledge, 2014. http://dx.doi.org/10.4324/9781315768847.

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42

McCleary, Richard, David McDowall, and Bradley J. Bartos. Noise Modeling. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780190661557.003.0003.

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Chapter 3 introduces the Box-Jenkins AutoRegressive Integrated Moving Average (ARIMA) noise modeling strategy. The strategy begins with a test of the Normality assumption using a Kolomogov-Smirnov (KS) statistic. Non-Normal time series are transformed with a Box-Cox procedure is applied. A tentative ARIMA noise model is then identified from a sample AutoCorrelation function (ACF). If the sample ACF identifies a nonstationary model, the time series is differenced. Integer orders p and q of the underlying autoregressive and moving average structures are then identified from the ACF and partial a

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43

Burridge, P. Forecasting and signal extraction in autoregressive-moving average models. University of Warwick Department of Economics, 1986.

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44

Rathmanner, Steven Clifford. Image texture generation using autoregressive integrated moving average (ARIMA) models. 1987.

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45

A, Blonigen Bruce, and National Bureau of Economic Research., eds. Spacey parents: Spatial autoregressive patterns in inbound FDI. National Bureau of Economic Research, 2005.

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46

The electroencephalogram and the Adaptive Autoregressive Model: Theory and Applications. Shaker Verlag, 2000.

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47

Spacey parents: Spatial autoregressive patterns in inbound FDI. National Bureau of Economic Research, 2005.

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48

Mullen, Thomas. A non-tested hypothesis test of multivariate models with autoregressive processes. 1988.

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49

FDI in space: Spatial autoregressive relationships in foreign direct investment. National Bureau of Economic Research, 2004.

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50

Johansen, Soren. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics). Oxford University Press, USA, 1996.

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