Observation Driven Long Run Equilibria
Author:
Funder
University of Amsterdam
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-019-09903-0.pdf
Reference15 articles.
1. Blasques, F., Koopman, S. J., & Lucas, A. (2014a). Maximum likelihood estimation for correctly speciffied generalized autoregressive score models: Feedback effects, contraction conditions and asymptotic properties. Tinbergen Institute Discussion Paper, TI 14-074/III.
2. Blasques, F., Koopman, S. J., & Lucas, A. (2014b). Maximum likelihood estimation for generalized autoregressive score models. Tinbergen Institute Discussion Paper, TI 14-029/III.
3. Burke, S. P., Hunter, J. (2007). Common trends, cointegration and competitive price behaviour. https://doi.org/10.2139/ssrn.1299039 .
4. Creal, D., Koopman, S. J., & Lucas, A. (2013). Generalized autoregressive score models with applications. Journal of Applied Econometrics, 28, 777–795.
5. Diebold, F. X. (2016). No hesitations blog at https://fxdiebold.blogspot.com/2016/08/on-credible-cointegration-analyses.html .
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