Filipiak, Katarzyna; Klein, Daniel; Markiewicz, Augustyn; Mokrzycka, Monika Approximation with a Kronecker product structure with one component as compound symmetry or autoregression via entropy loss function. (English) Zbl 07311326 Linear Algebra Appl. 610, 625-646 (2021). MSC: 65F99 62H20 PDF BibTeX XML Cite \textit{K. Filipiak} et al., Linear Algebra Appl. 610, 625--646 (2021; Zbl 07311326) Full Text: DOI
Kim, Jihyun; Meddahi, Nour Volatility regressions with fat tails. (English) Zbl 07308428 J. Econom. 218, No. 2, 690-713 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{J. Kim} and \textit{N. Meddahi}, J. Econom. 218, No. 2, 690--713 (2020; Zbl 07308428) Full Text: DOI
Nicholson, William B.; Wilms, Ines; Bien, Jacob; Matteson, David S. High dimensional forecasting via interpretable vector autoregression. (English) Zbl 07306867 J. Mach. Learn. Res. 21, Paper No. 166, 52 p. (2020). MSC: 68T05 PDF BibTeX XML Cite \textit{W. B. Nicholson} et al., J. Mach. Learn. Res. 21, Paper No. 166, 52 p. (2020; Zbl 07306867) Full Text: Link
Martellosio, Federico; Hillier, Grant Adjusted QMLE for the spatial autoregressive parameter. (English) Zbl 07306114 J. Econom. 219, No. 2, 488-506 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{F. Martellosio} and \textit{G. Hillier}, J. Econom. 219, No. 2, 488--506 (2020; Zbl 07306114) Full Text: DOI
Liu, Mengya; Li, Qi; Zhu, Fukang Self-excited hysteretic negative binomial autoregression. (English) Zbl 07297212 AStA, Adv. Stat. Anal. 104, No. 3, 385-415 (2020). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{M. Liu} et al., AStA, Adv. Stat. Anal. 104, No. 3, 385--415 (2020; Zbl 07297212) Full Text: DOI
Chen, Houji; Hu, Xiaobing; Deng, Xi A short-term macroeconomic forecasting model based on GMDH. (Chinese. English summary) Zbl 07295729 J. Sichuan Univ., Nat. Sci. Ed. 57, No. 5, 915-919 (2020). MSC: 91B64 91B84 62M20 PDF BibTeX XML Cite \textit{H. Chen} et al., J. Sichuan Univ., Nat. Sci. Ed. 57, No. 5, 915--919 (2020; Zbl 07295729) Full Text: DOI
Fu, Ke’ang; Ding, Li; Li, Junqiao Asymptotics for the self-weighted M-estimation of nonlinear autoregressive models with heavy-tailed errors. (Chinese. English summary) Zbl 07294875 Acta Math. Sci., Ser. A, Chin. Ed. 40, No. 2, 475-483 (2020). MSC: 62F12 62M10 PDF BibTeX XML Cite \textit{K. Fu} et al., Acta Math. Sci., Ser. A, Chin. Ed. 40, No. 2, 475--483 (2020; Zbl 07294875)
Güney, Yeşim; Jurečková, Jana; Arslan, Olcay Averaged autoregression quantiles in autoregressive model. (English) Zbl 07287460 Maciak, Matúš (ed.) et al., Analytical methods in statistics. AMISTAT. Proceedings of the workshop, Liberec, Czech Republic, September 16–19, 2019. Cham: Springer (ISBN 978-3-030-48813-0/hbk; 978-3-030-48814-7/ebook). Springer Proceedings in Mathematics & Statistics 329, 1-15 (2020). MSC: 62H15 62G07 62G08 62M10 62M45 PDF BibTeX XML Cite \textit{Y. Güney} et al., in: Analytical methods in statistics. AMISTAT. Proceedings of the workshop, Liberec, Czech Republic, September 16--19, 2019. Cham: Springer. 1--15 (2020; Zbl 07287460) Full Text: DOI
Pizzinelli, Carlo; Theodoridis, Konstantinos; Zanetti, Francesco State dependence in labor market fluctuations. (English) Zbl 07285078 Int. Econ. Rev. 61, No. 3, 1027-1072 (2020). MSC: 91B39 PDF BibTeX XML Cite \textit{C. Pizzinelli} et al., Int. Econ. Rev. 61, No. 3, 1027--1072 (2020; Zbl 07285078) Full Text: DOI
Grzesiek, Aleksandra; Giri, Prashant; Sundar, S.; Wyłomańska, Agnieszka Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution. (English) Zbl 07276158 J. Time Ser. Anal. 41, No. 6, 785-807 (2020). MSC: 60E07 62H10 62H20 PDF BibTeX XML Cite \textit{A. Grzesiek} et al., J. Time Ser. Anal. 41, No. 6, 785--807 (2020; Zbl 07276158) Full Text: DOI
Njenga, Carolyn Ndigwako; Sherris, Michael Modeling mortality with a Bayesian vector autoregression. (English) Zbl 1452.91244 Insur. Math. Econ. 94, 40-57 (2020). MSC: 91D20 91G05 62P05 PDF BibTeX XML Cite \textit{C. N. Njenga} and \textit{M. Sherris}, Insur. Math. Econ. 94, 40--57 (2020; Zbl 1452.91244) Full Text: DOI
Zhu, Xuening; Pan, Rui Grouped network vector autoregression. (English) Zbl 07274752 Stat. Sin. 30, No. 3, 1437-1462 (2020). MSC: 62M10 62P12 PDF BibTeX XML Cite \textit{X. Zhu} and \textit{R. Pan}, Stat. Sin. 30, No. 3, 1437--1462 (2020; Zbl 07274752) Full Text: DOI
Sun, Zhimeng; Wang, Hansheng Network imputation for spatial autoregression model with incomplete data. (English) Zbl 07274751 Stat. Sin. 30, No. 3, 1419-1436 (2020). MSC: 62M10 62H11 62D10 62P25 PDF BibTeX XML Cite \textit{Z. Sun} and \textit{H. Wang}, Stat. Sin. 30, No. 3, 1419--1436 (2020; Zbl 07274751) Full Text: DOI
Cook, Jonathan; Newberger, Noah; Smalling, Sami The spread of social distancing. (English) Zbl 1451.91148 Econ. Lett. 196, Article ID 109511, 3 p. (2020). MSC: 91D20 92D30 PDF BibTeX XML Cite \textit{J. Cook} et al., Econ. Lett. 196, Article ID 109511, 3 p. (2020; Zbl 1451.91148) Full Text: DOI
Lütkepohl, Helmut Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity. (English) Zbl 1452.62660 Econ. Lett. 195, Article ID 109458, 4 p. (2020). MSC: 62M10 60J76 PDF BibTeX XML Cite \textit{H. Lütkepohl}, Econ. Lett. 195, Article ID 109458, 4 p. (2020; Zbl 1452.62660) Full Text: DOI
Jin, Fei; Lee, Lung-fei Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances. (English) Zbl 1452.62609 Econ. Lett. 194, Article ID 109397, 4 p. (2020). MSC: 62M07 62M10 62M30 62H11 PDF BibTeX XML Cite \textit{F. Jin} and \textit{L.-f. Lee}, Econ. Lett. 194, Article ID 109397, 4 p. (2020; Zbl 1452.62609) Full Text: DOI
Mohr, Maria; Selk, Leonie Estimating change points in nonparametric time series regression models. (English) Zbl 1452.62318 Stat. Pap. 61, No. 4, 1437-1463 (2020). MSC: 62G10 62G05 62G08 62G20 62M10 PDF BibTeX XML Cite \textit{M. Mohr} and \textit{L. Selk}, Stat. Pap. 61, No. 4, 1437--1463 (2020; Zbl 1452.62318) Full Text: DOI
Leipus, Remigijus; Philippe, Anne; Pilipauskaitė, Vytautė; Surgailis, Donatas Estimating long memory in panel random-coefficient AR(1) data. (English) Zbl 1448.62062 J. Time Ser. Anal. 41, No. 4, 520-535 (2020). MSC: 62G32 62G20 62M10 62D20 PDF BibTeX XML Cite \textit{R. Leipus} et al., J. Time Ser. Anal. 41, No. 4, 520--535 (2020; Zbl 1448.62062) Full Text: DOI
Maciak, Matúš (ed.); Pešta, Michal (ed.); Schindler, Martin (ed.) Analytical methods in statistics. AMISTAT. Proceedings of the workshop, Liberec, Czech Republic, September 16–19, 2019. (English) Zbl 1451.62005 Springer Proceedings in Mathematics & Statistics 329. Cham: Springer (ISBN 978-3-030-48813-0/hbk; 978-3-030-48814-7/ebook). x, 156 p. (2020). MSC: 62-06 62H15 62G07 62M45 00B25 PDF BibTeX XML Cite \textit{M. Maciak} (ed.) et al., Analytical methods in statistics. AMISTAT. Proceedings of the workshop, Liberec, Czech Republic, September 16--19, 2019. Cham: Springer (2020; Zbl 1451.62005) Full Text: DOI
Koelbl, Lukas; Deistler, Manfred A new approach for estimating VAR systems in the mixed-frequency case. (English) Zbl 1443.62155 Stat. Pap. 61, No. 3, 1203-1212 (2020). MSC: 62H12 62M10 PDF BibTeX XML Cite \textit{L. Koelbl} and \textit{M. Deistler}, Stat. Pap. 61, No. 3, 1203--1212 (2020; Zbl 1443.62155) Full Text: DOI
Gefang, Deborah; Koop, Gary; Poon, Aubrey Computationally efficient inference in large Bayesian mixed frequency VARs. (English) Zbl 1442.91117 Econ. Lett. 191, Article ID 109120, 5 p. (2020). MSC: 91G60 62P05 62M10 62F15 PDF BibTeX XML Cite \textit{D. Gefang} et al., Econ. Lett. 191, Article ID 109120, 5 p. (2020; Zbl 1442.91117) Full Text: DOI
Elsworth, Steven; Güttel, Stefan The block rational Arnoldi method. (English) Zbl 1441.65047 SIAM J. Matrix Anal. Appl. 41, No. 2, 365-388 (2020). Reviewer: Constantin Popa (Constanţa) MSC: 65F25 65F15 65F50 PDF BibTeX XML Cite \textit{S. Elsworth} and \textit{S. Güttel}, SIAM J. Matrix Anal. Appl. 41, No. 2, 365--388 (2020; Zbl 1441.65047) Full Text: DOI
Chambers, Marcus J.; Taylor, A. M. Robert Deterministic parameter change models in continuous and discrete time. (English) Zbl 1444.62100 J. Time Ser. Anal. 41, No. 1, 134-145 (2020). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62M07 PDF BibTeX XML Cite \textit{M. J. Chambers} and \textit{A. M. R. Taylor}, J. Time Ser. Anal. 41, No. 1, 134--145 (2020; Zbl 1444.62100) Full Text: DOI
Zhu, Xuening; Huang, Danyang; Pan, Rui; Wang, Hansheng Multivariate spatial autoregressive model for large scale social networks. (English) Zbl 07202738 J. Econom. 215, No. 2, 591-606 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{X. Zhu} et al., J. Econom. 215, No. 2, 591--606 (2020; Zbl 07202738) Full Text: DOI
Inoue, Atsushi; Kilian, Lutz The uniform validity of impulse response inference in autoregressions. (English) Zbl 07202731 J. Econom. 215, No. 2, 450-472 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{A. Inoue} and \textit{L. Kilian}, J. Econom. 215, No. 2, 450--472 (2020; Zbl 07202731) Full Text: DOI
Wang, Di; Li, Wai Keung Unit root testing on buffered autoregressive model. (English) Zbl 1439.62185 Stat. Sin. 30, No. 2, 977-1003 (2020). MSC: 62M07 62M10 60G12 62F40 PDF BibTeX XML Cite \textit{D. Wang} and \textit{W. K. Li}, Stat. Sin. 30, No. 2, 977--1003 (2020; Zbl 1439.62185) Full Text: DOI
Li, Degao; Zeng, Ruochen; Zhang, Liwen; Li, Wai Keung; Li, Guodong Conditional quantile estimation for hysteretic autoregressive models. (English) Zbl 1439.62103 Stat. Sin. 30, No. 2, 809-827 (2020). MSC: 62G08 62M10 62P20 62P25 PDF BibTeX XML Cite \textit{D. Li} et al., Stat. Sin. 30, No. 2, 809--827 (2020; Zbl 1439.62103) Full Text: DOI
Ma, Yingying; Pan, Rui; Zou, Tao; Wang, Hansheng A naive least squares method for spatial autoregression with covariates. (English) Zbl 1439.62250 Stat. Sin. 30, No. 2, 653-672 (2020). MSC: 62P25 62H11 91D30 PDF BibTeX XML Cite \textit{Y. Ma} et al., Stat. Sin. 30, No. 2, 653--672 (2020; Zbl 1439.62250) Full Text: DOI
Zhu, Xuening Nonconcave penalized estimation in sparse vector autoregression model. (English) Zbl 1439.62200 Electron. J. Stat. 14, No. 1, 1413-1448 (2020). MSC: 62M10 62J07 62F12 62H12 PDF BibTeX XML Cite \textit{X. Zhu}, Electron. J. Stat. 14, No. 1, 1413--1448 (2020; Zbl 1439.62200) Full Text: DOI Euclid
Jin, Fei; Lee, Lung-fei; Yu, Jihai First difference estimation of spatial dynamic panel data models with fixed effects. (English) Zbl 1439.62062 Econ. Lett. 189, Article ID 109010, 5 p. (2020). MSC: 62D20 62H11 62M10 PDF BibTeX XML Cite \textit{F. Jin} et al., Econ. Lett. 189, Article ID 109010, 5 p. (2020; Zbl 1439.62062) Full Text: DOI
Grabowski, Daniel; Staszewska-Bystrova, Anna; Winker, Peter Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions. (English) Zbl 1437.62117 AStA, Adv. Stat. Anal. 104, No. 1, 5-32 (2020). MSC: 62F25 62F40 62M07 PDF BibTeX XML Cite \textit{D. Grabowski} et al., AStA, Adv. Stat. Anal. 104, No. 1, 5--32 (2020; Zbl 1437.62117) Full Text: DOI
Boldin, M. V. On the Pearson’s chi-square test for normality of autoregression with outliers. (English. Russian original) Zbl 1437.62328 Theory Probab. Appl. 65, No. 1, 102-110 (2020); translation from Teor. Veroyatn. Primen. 65, No. 1, 126-137 (2020). MSC: 62M10 62G10 62G32 60G10 PDF BibTeX XML Cite \textit{M. V. Boldin}, Theory Probab. Appl. 65, No. 1, 102--110 (2020; Zbl 1437.62328); translation from Teor. Veroyatn. Primen. 65, No. 1, 126--137 (2020) Full Text: DOI
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhan, Zhaoguo Robust inference in structural vector autoregressions with long-run restrictions. (English) Zbl 1436.62416 Econom. Theory 36, No. 1, 86-121 (2020). MSC: 62M10 91B82 62E20 91B62 62F10 62F35 62M07 PDF BibTeX XML Cite \textit{G. Chevillon} et al., Econom. Theory 36, No. 1, 86--121 (2020; Zbl 1436.62416) Full Text: DOI
Lieberman, Offer; Phillips, Peter C. B. Hybrid stochastic local unit roots. (English) Zbl 07167861 J. Econom. 215, No. 1, 257-285 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{O. Lieberman} and \textit{P. C. B. Phillips}, J. Econom. 215, No. 1, 257--285 (2020; Zbl 07167861) Full Text: DOI
Bhattacharya, Saptarshi; Gupta, Aparna; Kar, Koushik; Owusu, Abena Risk management of renewable power producers from co-dependencies in cash flows. (English) Zbl 1441.91048 Eur. J. Oper. Res. 283, No. 3, 1081-1093 (2020). MSC: 91B74 91B84 PDF BibTeX XML Cite \textit{S. Bhattacharya} et al., Eur. J. Oper. Res. 283, No. 3, 1081--1093 (2020; Zbl 1441.91048) Full Text: DOI
Klein, Mathias; Linnemann, Ludger The time-varying effect of fiscal policy on inflation: evidence from historical US data. (English) Zbl 1429.91223 Econ. Lett. 186, Article ID 108823, 4 p. (2020). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{M. Klein} and \textit{L. Linnemann}, Econ. Lett. 186, Article ID 108823, 4 p. (2020; Zbl 1429.91223) Full Text: DOI
Jang, Woon Wook Risk aversion, uncertainty, and monetary policy: structural vector autoregressions identified with high-frequency external instruments. (English) Zbl 1429.91222 Econ. Lett. 186, Article ID 108675, 5 p. (2020). MSC: 91B64 91G20 62P20 62P05 PDF BibTeX XML Cite \textit{W. W. Jang}, Econ. Lett. 186, Article ID 108675, 5 p. (2020; Zbl 1429.91222) Full Text: DOI
Xu, Ke; Sun, Luping; Liu, Jin; Zhu, Xuening; Wang, Hansheng A spatial autoregression model with time-varying coefficients. (English) Zbl 07161115 Stat. Interface 13, No. 2, 261-270 (2020). MSC: 62 PDF BibTeX XML Cite \textit{K. Xu} et al., Stat. Interface 13, No. 2, 261--270 (2020; Zbl 07161115) Full Text: DOI
McElroy, Tucker S.; Politis, Dimitris N. Time series. A first course with bootstrap starter. (English) Zbl 07149338 Chapman & Hall/CRC Texts in Statistical Science Series. Boca Raton, FL: CRC Press (ISBN 978-1-4398-7651-0/hbk; 978-0-429-10955-3/ebook). xix, 566 p. (2020). Reviewer: Ludwig Paditz (Dresden) MSC: 62-01 62M10 91B84 PDF BibTeX XML Cite \textit{T. S. McElroy} and \textit{D. N. Politis}, Time series. A first course with bootstrap starter. Boca Raton, FL: CRC Press (2020; Zbl 07149338) Full Text: DOI
Kabanov, Yuri; Pergamenshchikov, Serguei Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. (English) Zbl 1430.91031 Finance Stoch. 24, No. 1, 39-69 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B05 60J60 60G51 PDF BibTeX XML Cite \textit{Y. Kabanov} and \textit{S. Pergamenshchikov}, Finance Stoch. 24, No. 1, 39--69 (2020; Zbl 1430.91031) Full Text: DOI
Pretis, Felix Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions. (English) Zbl 07145358 J. Econom. 214, No. 1, 256-273 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{F. Pretis}, J. Econom. 214, No. 1, 256--273 (2020; Zbl 07145358) Full Text: DOI
Jiang, Ying; Cao, Yi; Liu, Xiaoquan; Zhai, Jia Volatility modeling and prediction: the role of price impact. (English) Zbl 1441.91067 Quant. Finance 19, No. 12, 2015-2031 (2019). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{Y. Jiang} et al., Quant. Finance 19, No. 12, 2015--2031 (2019; Zbl 1441.91067) Full Text: DOI
Boldin, Mikhaĭl Vasil’evich Local power of Kolmogorov’s and omega-squared type criteria in autoregression. (English. Russian original) Zbl 1445.62219 Mosc. Univ. Math. Bull. 74, No. 6, 249-252 (2019); translation from Vestn. Mosk. Univ., Ser. I 74, No. 6, 58-61 (2019). MSC: 62M10 62E15 60G10 PDF BibTeX XML Cite \textit{M. V. Boldin}, Mosc. Univ. Math. Bull. 74, No. 6, 249--252 (2019; Zbl 1445.62219); translation from Vestn. Mosk. Univ., Ser. I 74, No. 6, 58--61 (2019) Full Text: DOI
Hayashi, Fumio; Koeda, Junko Exiting from quantitative easing. (English) Zbl 1447.91096 Quant. Econ. 10, No. 3, 1069-1107 (2019). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{F. Hayashi} and \textit{J. Koeda}, Quant. Econ. 10, No. 3, 1069--1107 (2019; Zbl 1447.91096) Full Text: DOI
D’Alessandro, Antonello; Fella, Giulio; Melosi, Leonardo Fiscal stimulus with learning-by-doing. (English) Zbl 1444.91151 Int. Econ. Rev. 60, No. 3, 1413-1432 (2019). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{A. D'Alessandro} et al., Int. Econ. Rev. 60, No. 3, 1413--1432 (2019; Zbl 1444.91151) Full Text: DOI Link
Hajrajabi, Arezo Markov switching model of nonlinear autoregressive with skew-symmetric innovations. (English) Zbl 07193740 J. Stat. Comput. Simulation 89, No. 4, 559-575 (2019). MSC: 37M10 62F10 62-07 62G05 PDF BibTeX XML Cite \textit{A. Hajrajabi}, J. Stat. Comput. Simulation 89, No. 4, 559--575 (2019; Zbl 07193740) Full Text: DOI
Arkoun, Ouerdia; Brua, Jean-Yves; Pergamenchtchikov, Serguei Sequential model selection method for nonparametric autoregression. (English) Zbl 1430.62075 Sequential Anal. 38, No. 4, 437-460 (2019). MSC: 62G08 62G05 62M10 62L12 PDF BibTeX XML Cite \textit{O. Arkoun} et al., Sequential Anal. 38, No. 4, 437--460 (2019; Zbl 1430.62075) Full Text: DOI
Datta, Abhirup; Banerjee, Sudipto; Hodges, James S.; Gao, Leiwen Spatial disease mapping using directed acyclic graph auto-regressive (DAGAR) models. (English) Zbl 1435.62319 Bayesian Anal. 14, No. 4, 1221-1244 (2019). MSC: 62M10 62P10 62H11 05C90 62F15 PDF BibTeX XML Cite \textit{A. Datta} et al., Bayesian Anal. 14, No. 4, 1221--1244 (2019; Zbl 1435.62319) Full Text: DOI Euclid
King, Guillaume Kon Kam; Canale, Antonio; Ruggiero, Matteo Bayesian functional forecasting with locally-autoregressive dependent processes. (English) Zbl 1435.62348 Bayesian Anal. 14, No. 4, 1121-1141 (2019). MSC: 62M20 62R10 62M10 62P20 PDF BibTeX XML Cite \textit{G. K. K. King} et al., Bayesian Anal. 14, No. 4, 1121--1141 (2019; Zbl 1435.62348) Full Text: DOI Euclid
Goryainov, V. B.; Goryainova, E. R. Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation. (English. Russian original) Zbl 1435.62324 Autom. Remote Control 80, No. 4, 666-675 (2019); translation from Avtom. Telemekh. 2019, No. 4, 93-104 (2019). MSC: 62M10 62-08 62E15 62G35 PDF BibTeX XML Cite \textit{V. B. Goryainov} and \textit{E. R. Goryainova}, Autom. Remote Control 80, No. 4, 666--675 (2019; Zbl 1435.62324); translation from Avtom. Telemekh. 2019, No. 4, 93--104 (2019) Full Text: DOI
Fu, Ke’ang; Ding, Li; Li, Ting; Chen, Hao; He, Wenkai Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models. (Chinese. English summary) Zbl 1449.62183 J. Zhejiang Univ., Sci. Ed. 46, No. 4, 416-421 (2019). MSC: 62M10 62E20 62J10 PDF BibTeX XML Cite \textit{K. Fu} et al., J. Zhejiang Univ., Sci. Ed. 46, No. 4, 416--421 (2019; Zbl 1449.62183) Full Text: DOI
Yong, Chen; Dingming, Liu How does government spending news affect interest rates? Evidence from the United States. (English) Zbl 1425.91417 J. Econ. Dyn. Control 108, Article ID 103747, 25 p. (2019). MSC: 91G30 91B44 91B64 PDF BibTeX XML Cite \textit{C. Yong} and \textit{L. Dingming}, J. Econ. Dyn. Control 108, Article ID 103747, 25 p. (2019; Zbl 1425.91417) Full Text: DOI
Mondal, Debashis; Wang, Chunxiao A matrix-free method for spatial-temporal Gaussian state-space models. (English) Zbl 1442.62203 Stat. Sin. 29, No. 4, 2205-2227 (2019). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62M10 62M30 62M40 62H35 62J12 62P12 PDF BibTeX XML Cite \textit{D. Mondal} and \textit{C. Wang}, Stat. Sin. 29, No. 4, 2205--2227 (2019; Zbl 1442.62203) Full Text: DOI
Montes-Rojas, Gabriel Multivariate quantile impulse response functions. (English) Zbl 1431.62221 J. Time Ser. Anal. 40, No. 5, 739-752 (2019). MSC: 62H05 62M10 91B84 62P05 PDF BibTeX XML Cite \textit{G. Montes-Rojas}, J. Time Ser. Anal. 40, No. 5, 739--752 (2019; Zbl 1431.62221) Full Text: DOI
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang Karl Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics. (English) Zbl 1420.91409 Quant. Finance 19, No. 9, 1473-1489 (2019). MSC: 91G10 62P05 62M20 PDF BibTeX XML Cite \textit{Y. Chen} et al., Quant. Finance 19, No. 9, 1473--1489 (2019; Zbl 1420.91409) Full Text: DOI
Guibert, Quentin; Lopez, Olivier; Piette, Pierrick Forecasting mortality rate improvements with a high-dimensional VAR. (English) Zbl 1425.91223 Insur. Math. Econ. 88, 255-272 (2019). MSC: 91B30 62P05 62M20 91D20 PDF BibTeX XML Cite \textit{Q. Guibert} et al., Insur. Math. Econ. 88, 255--272 (2019; Zbl 1425.91223) Full Text: DOI
Hwang, Eunju A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process. (English) Zbl 07101644 Stat. Probab. Lett. 152, 59-68 (2019). MSC: 62M10 62G32 60G70 60G44 60F05 PDF BibTeX XML Cite \textit{E. Hwang}, Stat. Probab. Lett. 152, 59--68 (2019; Zbl 07101644) Full Text: DOI
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, Wolfgang Karl Network quantile autoregression. (English) Zbl 1452.62688 J. Econom. 212, No. 1, 345-358 (2019). MSC: 62M10 62G08 62P05 91G45 PDF BibTeX XML Cite \textit{X. Zhu} et al., J. Econom. 212, No. 1, 345--358 (2019; Zbl 1452.62688) Full Text: DOI
Billio, Monica; Casarin, Roberto; Rossini, Luca Bayesian nonparametric sparse VAR models. (English) Zbl 1452.62883 J. Econom. 212, No. 1, 97-115 (2019). MSC: 62P20 62G05 62F15 62M10 62P05 PDF BibTeX XML Cite \textit{M. Billio} et al., J. Econom. 212, No. 1, 97--115 (2019; Zbl 1452.62883) Full Text: DOI
Boldin, M. V. On the asymptotic power of tests of fit under local alternatives in autoregression. (English) Zbl 1426.62254 Math. Methods Stat. 28, No. 2, 144-154 (2019). MSC: 62M10 62G10 62G30 PDF BibTeX XML Cite \textit{M. V. Boldin}, Math. Methods Stat. 28, No. 2, 144--154 (2019; Zbl 1426.62254) Full Text: DOI
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. Priors for the long run. (English) Zbl 1420.91526 J. Am. Stat. Assoc. 114, No. 526, 565-580 (2019). MSC: 91G70 62M10 62P20 PDF BibTeX XML Cite \textit{D. Giannone} et al., J. Am. Stat. Assoc. 114, No. 526, 565--580 (2019; Zbl 1420.91526) Full Text: DOI
Skripnikov, A.; Michailidis, G. Regularized joint estimation of related vector autoregressive models. (English) Zbl 07080193 Comput. Stat. Data Anal. 139, 164-177 (2019). MSC: 62 PDF BibTeX XML Cite \textit{A. Skripnikov} and \textit{G. Michailidis}, Comput. Stat. Data Anal. 139, 164--177 (2019; Zbl 07080193) Full Text: DOI
Boldin, M. V. On the power of Pearson’s test under local alternatives in autoregression with outliers. (English) Zbl 1418.62189 Math. Methods Stat. 28, No. 1, 57-65 (2019). MSC: 62M10 62G10 62G20 62G35 PDF BibTeX XML Cite \textit{M. V. Boldin}, Math. Methods Stat. 28, No. 1, 57--65 (2019; Zbl 1418.62189) Full Text: DOI
Shelef, Amit; Schechtman, Edna A Gini-based time series analysis and test for reversibility. (English) Zbl 1421.62131 Stat. Pap. 60, No. 3, 337-366 (2019). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62M10 62G08 PDF BibTeX XML Cite \textit{A. Shelef} and \textit{E. Schechtman}, Stat. Pap. 60, No. 3, 687--716 (2019; Zbl 1421.62131) Full Text: DOI
Filipiak, Katarzyna; Khodsiani, Razieh; Markiewicz, Augustyn Optimality of block designs under the model with the first-order circular autoregression. (English) Zbl 1419.62193 Stat. Pap. 60, No. 2, 77-97 (2019). MSC: 62K10 62K05 62M10 PDF BibTeX XML Cite \textit{K. Filipiak} et al., Stat. Pap. 60, No. 2, 427--447 (2019; Zbl 1419.62193) Full Text: DOI
Horváth, Lajos; Trapani, Lorenzo Testing for randomness in a random coefficient autoregression model. (English) Zbl 1452.62648 J. Econom. 209, No. 2, 338-352 (2019). MSC: 62M10 62G10 62H25 62P20 PDF BibTeX XML Cite \textit{L. Horváth} and \textit{L. Trapani}, J. Econom. 209, No. 2, 338--352 (2019; Zbl 1452.62648) Full Text: DOI
Jarociński, Marek; Marcet, Albert Priors about observables in vector autoregressions. (English) Zbl 1452.62650 J. Econom. 209, No. 2, 238-255 (2019). MSC: 62M10 62F15 62P20 PDF BibTeX XML Cite \textit{M. Jarociński} and \textit{A. Marcet}, J. Econom. 209, No. 2, 238--255 (2019; Zbl 1452.62650) Full Text: DOI
Tao, Yubo; Phillips, Peter C. B.; Yu, Jun Random coefficient continuous systems: testing for extreme sample path behavior. (English) Zbl 1452.62682 J. Econom. 209, No. 2, 208-237 (2019). MSC: 62M10 62F12 62P05 62P20 PDF BibTeX XML Cite \textit{Y. Tao} et al., J. Econom. 209, No. 2, 208--237 (2019; Zbl 1452.62682) Full Text: DOI
Zhu, Xuening; Chang, Xiangyu; Li, Runze; Wang, Hansheng Portal nodes screening for large scale social networks. (English) Zbl 1452.62970 J. Econom. 209, No. 2, 145-157 (2019). MSC: 62P20 62M10 62M30 62F12 62E20 62-08 91D30 PDF BibTeX XML Cite \textit{X. Zhu} et al., J. Econom. 209, No. 2, 145--157 (2019; Zbl 1452.62970) Full Text: DOI
Inoue, Atsushi; Kilian, Lutz Corrigendum to “Inference on impulse response functions in structural VAR models”. (English) Zbl 1452.91237 J. Econom. 209, No. 1, 139-143 (2019). MSC: 91B84 91B64 62M10 PDF BibTeX XML Cite \textit{A. Inoue} and \textit{L. Kilian}, J. Econom. 209, No. 1, 139--143 (2019; Zbl 1452.91237) Full Text: DOI
Müller, Ulrich K.; Wang, Yulong Nearly weighted risk minimal unbiased estimation. (English) Zbl 1452.62667 J. Econom. 209, No. 1, 18-34 (2019). MSC: 62M10 62F10 62P20 PDF BibTeX XML Cite \textit{U. K. Müller} and \textit{Y. Wang}, J. Econom. 209, No. 1, 18--34 (2019; Zbl 1452.62667) Full Text: DOI
Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Okhrin, Yarema Tail event driven networks of SIFIs. (English) Zbl 1452.62749 J. Econom. 208, No. 1, 282-298 (2019). MSC: 62P05 62G08 62M10 91G45 PDF BibTeX XML Cite \textit{C. Y. H. Chen} et al., J. Econom. 208, No. 1, 282--298 (2019; Zbl 1452.62749) Full Text: DOI
Lütkepohl, Helmut; Schlaak, Thore Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (English) Zbl 1411.62257 J. Econ. Dyn. Control 101, 41-61 (2019). MSC: 62M10 62G09 62P20 PDF BibTeX XML Cite \textit{H. Lütkepohl} and \textit{T. Schlaak}, J. Econ. Dyn. Control 101, 41--61 (2019; Zbl 1411.62257) Full Text: DOI
Plagborg-Møller, Mikkel Bayesian inference on structural impulse response functions. (English) Zbl 1416.62676 Quant. Econ. 10, No. 1, 145-184 (2019). MSC: 62P20 62F15 62M10 PDF BibTeX XML Cite \textit{M. Plagborg-Møller}, Quant. Econ. 10, No. 1, 145--184 (2019; Zbl 1416.62676) Full Text: DOI
Hušková, Marie; Neumeyer, Natalie; Niebuhr, Tobias; Selk, Leonie Specification testing in nonparametric AR-ARCH models. (English) Zbl 1417.62247 Scand. J. Stat. 46, No. 1, 26-58 (2019). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62M10 62G10 62G20 PDF BibTeX XML Cite \textit{M. Hušková} et al., Scand. J. Stat. 46, No. 1, 26--58 (2019; Zbl 1417.62247) Full Text: DOI
Aknouche, Abdelhakim; Demmouche, Nacer Ergodicity conditions for a double mixed Poisson autoregression. (English) Zbl 1450.62107 Stat. Probab. Lett. 147, 6-11 (2019). MSC: 62M10 62M02 PDF BibTeX XML Cite \textit{A. Aknouche} and \textit{N. Demmouche}, Stat. Probab. Lett. 147, 6--11 (2019; Zbl 1450.62107) Full Text: DOI
Boldin, M. V. Robust sign test for the unit root hypothesis of autoregression. (English. Russian original) Zbl 1411.62250 Theory Probab. Appl. 63, No. 3, 351-363 (2019); translation from Teor. Veroyatn. Primen. 63, No. 3, 431-446 (2018). MSC: 62M10 62G35 PDF BibTeX XML Cite \textit{M. V. Boldin}, Theory Probab. Appl. 63, No. 3, 351--363 (2019; Zbl 1411.62250); translation from Teor. Veroyatn. Primen. 63, No. 3, 431--446 (2018) Full Text: DOI
Ordóñez, Celestino; Sánchez Lasheras, Fernando; Roca-Pardiñas, Javier; de Cos Juez, Francisco Javier A hybrid ARIMA-SVM model for the study of the remaining useful life of aircraft engines. (English) Zbl 1405.62247 J. Comput. Appl. Math. 346, 184-191 (2019). MSC: 62P30 62N05 62M10 PDF BibTeX XML Cite \textit{C. Ordóñez} et al., J. Comput. Appl. Math. 346, 184--191 (2019; Zbl 1405.62247) Full Text: DOI
Martínez-Hernández, Israel; Genton, Marc G.; González-Farías, Graciela Robust depth-based estimation of the functional autoregressive model. (English) Zbl 06970981 Comput. Stat. Data Anal. 131, 66-79 (2019). MSC: 62 PDF BibTeX XML Cite \textit{I. Martínez-Hernández} et al., Comput. Stat. Data Anal. 131, 66--79 (2019; Zbl 06970981) Full Text: DOI
Reusens, Peter; Croux, Christophe Linearly transforming variables in the VAR model, how does it change the impulse response? (English) Zbl 1420.62501 J. Econom. Methods 7, No. 1, Article ID 20150015, 16 p. (2018). MSC: 62P20 62M10 PDF BibTeX XML Cite \textit{P. Reusens} and \textit{C. Croux}, J. Econom. Methods 7, No. 1, Article ID 20150015, 16 p. (2018; Zbl 1420.62501) Full Text: DOI
Xu, Qifa; Liu, Xi; Jiang, Cuixia; Yu, Keming Quantile vector autoregressive distributed lag model and impulse response analysis. (Chinese. English summary) Zbl 1424.62144 J. Syst. Eng. 33, No. 4, 472-487 (2018). MSC: 62M10 91B84 62P20 62G08 PDF BibTeX XML Cite \textit{Q. Xu} et al., J. Syst. Eng. 33, No. 4, 472--487 (2018; Zbl 1424.62144) Full Text: DOI
Zou, Shaohui; Zhang, Tian Interaction relationship between international carbon future price and domestic carbon price. (Chinese. English summary) Zbl 1424.91148 J. Shandong Univ., Nat. Sci. 53, No. 5, 70-79 (2018). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{S. Zou} and \textit{T. Zhang}, J. Shandong Univ., Nat. Sci. 53, No. 5, 70--79 (2018; Zbl 1424.91148) Full Text: DOI
Fu, Ke’ang; Li, Junqiao; Qian, Hongyu; Zhao, Mingming Quantile inference for the nonlinear autoregressive models. (Chinese. English summary) Zbl 1424.62114 Appl. Math., Ser. A (Chin. Ed.) 33, No. 4, 387-396 (2018). MSC: 62J02 62G08 62M10 62G35 PDF BibTeX XML Cite \textit{K. Fu} et al., Appl. Math., Ser. A (Chin. Ed.) 33, No. 4, 387--396 (2018; Zbl 1424.62114)
Peštová, Barbora; Pešta, Michal Asymptotic and bootstrap tests for a change in autoregression omitting variability estimation. (English) Zbl 1414.62378 Rojas, Ignacio (ed.) et al., Time series analysis and forecasting. Selected contributions from the international work-conference on time series, ITISE 2017, Granada, Spain, September 18–20, 107. Cham: Springer. Contrib. Stat., 187-202 (2018). MSC: 62M10 62F40 62P05 PDF BibTeX XML Cite \textit{B. Peštová} and \textit{M. Pešta}, in: Time series analysis and forecasting. Selected contributions from the international work-conference on time series, ITISE 2017, Granada, Spain, September 18--20, 2017. Cham: Springer. 187--202 (2018; Zbl 1414.62378) Full Text: DOI
Boldin, M. V.; Petriev, M. N. On the empirical distribution function of residuals in autoregression with outliers and Pearson’s chi-square type tests. (English) Zbl 1418.62302 Math. Methods Stat. 27, No. 4, 294-311 (2018). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62M10 62G10 62G35 PDF BibTeX XML Cite \textit{M. V. Boldin} and \textit{M. N. Petriev}, Math. Methods Stat. 27, No. 4, 294--311 (2018; Zbl 1418.62302) Full Text: DOI
Prášková, Zuzana Change point detection in vector autoregression. (English) Zbl 07031764 Kybernetika 54, No. 6, 1122-1137 (2018). Reviewer: Oscar Bustos (Córdoba) MSC: 62G10 62M10 62E20 62J20 PDF BibTeX XML Cite \textit{Z. Prášková}, Kybernetika 54, No. 6, 1122--1137 (2018; Zbl 07031764) Full Text: DOI
Drover, Jonathan D.; Schiff, Nicholas D. A method for decomposing multivariate time series into a causal hierarchy within specific frequency bands. (English) Zbl 1402.92267 J. Comput. Neurosci. 45, No. 2, 59-82 (2018). MSC: 92C55 92C20 62P10 62M10 PDF BibTeX XML Cite \textit{J. D. Drover} and \textit{N. D. Schiff}, J. Comput. Neurosci. 45, No. 2, 59--82 (2018; Zbl 1402.92267) Full Text: DOI
Koutmos, Dimitrios Return and volatility spillovers among cryptocurrencies. (English) Zbl 1406.62119 Econ. Lett. 173, 122-127 (2018). MSC: 62P05 62M10 PDF BibTeX XML Cite \textit{D. Koutmos}, Econ. Lett. 173, 122--127 (2018; Zbl 1406.62119) Full Text: DOI
Arvanitis, Stelios; Magdalinos, Tassos Mildly explosive autoregression under stationary conditional heteroskedasticity. (English) Zbl 1402.62192 J. Time Ser. Anal. 39, No. 6, 892-908 (2018). MSC: 62M10 62F12 62E20 60F05 60F25 PDF BibTeX XML Cite \textit{S. Arvanitis} and \textit{T. Magdalinos}, J. Time Ser. Anal. 39, No. 6, 892--908 (2018; Zbl 1402.62192) Full Text: DOI
Astill, Sam; Harvey, David I.; Leybourne, Stephen J.; Sollis, Robert; Taylor, A. M. Robert Real-time monitoring for explosive financial bubbles. (English) Zbl 1402.91579 J. Time Ser. Anal. 39, No. 6, 863-891 (2018). MSC: 91B84 62M10 91G70 62G09 62L12 62P20 PDF BibTeX XML Cite \textit{S. Astill} et al., J. Time Ser. Anal. 39, No. 6, 863--891 (2018; Zbl 1402.91579) Full Text: DOI
Koutmos, Dimitrios Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan? (English) Zbl 1404.62142 Ann. Oper. Res. 266, No. 1-2, 441-498 (2018). MSC: 62P20 91B84 91G40 PDF BibTeX XML Cite \textit{D. Koutmos}, Ann. Oper. Res. 266, No. 1--2, 441--498 (2018; Zbl 1404.62142) Full Text: DOI
Goryainov, A. V.; Goryainov, V. B. M-estimates of autoregression with random coefficients. (English. Russian original) Zbl 1404.62086 Autom. Remote Control 79, No. 8, 1409-1421 (2018); translation from Avtom. Telemekh. 2018, No. 8, 50-65 (2018). MSC: 62M10 62F12 62F35 PDF BibTeX XML Cite \textit{A. V. Goryainov} and \textit{V. B. Goryainov}, Autom. Remote Control 79, No. 8, 1409--1421 (2018; Zbl 1404.62086); translation from Avtom. Telemekh. 2018, No. 8, 50--65 (2018) Full Text: DOI
Filipiak, Katarzyna; Klein, Daniel Approximation with a Kronecker product structure with one component as compound symmetry or autoregression. (English) Zbl 1402.62117 Linear Algebra Appl. 559, 11-33 (2018). MSC: 62H20 15A60 62H12 65F20 PDF BibTeX XML Cite \textit{K. Filipiak} and \textit{D. Klein}, Linear Algebra Appl. 559, 11--33 (2018; Zbl 1402.62117) Full Text: DOI
Billio, Monica; Casarin, Roberto; Rossini, Luca Bayesian nonparametric sparse vector autoregressive models. (English) Zbl 1397.62297 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4–6, 2018. Cham: Springer (ISBN 978-3-319-89823-0/hbk; 978-3-319-89824-7/ebook). 155-160 (2018). MSC: 62M10 62G08 PDF BibTeX XML Cite \textit{M. Billio} et al., in: Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4--6, 2018. Cham: Springer. 155--160 (2018; Zbl 1397.62297) Full Text: DOI
Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos What do VARs tell us about the impact of a credit supply shock? (English) Zbl 1416.91391 Int. Econ. Rev. 59, No. 2, 625-646 (2018). MSC: 91G40 62P05 91B62 PDF BibTeX XML Cite \textit{H. Mumtaz} et al., Int. Econ. Rev. 59, No. 2, 625--646 (2018; Zbl 1416.91391) Full Text: DOI
Kutlu, Levent Estimating efficiency in a spatial autoregressive stochastic frontier model. (English) Zbl 1401.62164 Econ. Lett. 163, 155-157 (2018). MSC: 62M10 62M30 62P20 PDF BibTeX XML Cite \textit{L. Kutlu}, Econ. Lett. 163, 155--157 (2018; Zbl 1401.62164) Full Text: DOI
Fei, Yijie Limit theory for mildly integrated process with intercept. (English) Zbl 1401.62149 Econ. Lett. 163, 98-101 (2018). MSC: 62M10 62E20 PDF BibTeX XML Cite \textit{Y. Fei}, Econ. Lett. 163, 98--101 (2018; Zbl 1401.62149) Full Text: DOI
Ho, Chun-Yu; Wang, Wei; Yu, Jihai International knowledge spillover through trade: a time-varying spatial panel data approach. (English) Zbl 1398.91413 Econ. Lett. 162, 30-33 (2018). MSC: 91B60 91B72 62P20 PDF BibTeX XML Cite \textit{C.-Y. Ho} et al., Econ. Lett. 162, 30--33 (2018; Zbl 1398.91413) Full Text: DOI
Onatski, Alexei; Wang, Chen Alternative asymptotics for cointegration tests in large VARs. (English) Zbl 1401.62173 Econometrica 86, No. 4, 1465-1478 (2018). MSC: 62M10 62H15 62E20 PDF BibTeX XML Cite \textit{A. Onatski} and \textit{C. Wang}, Econometrica 86, No. 4, 1465--1478 (2018; Zbl 1401.62173) Full Text: DOI arXiv
Bergmeir, Christoph; Hyndman, Rob J.; Koo, Bonsoo A note on the validity of cross-validation for evaluating autoregressive time series prediction. (English) Zbl 06920205 Comput. Stat. Data Anal. 120, 70-83 (2018). MSC: 62 PDF BibTeX XML Cite \textit{C. Bergmeir} et al., Comput. Stat. Data Anal. 120, 70--83 (2018; Zbl 06920205) Full Text: DOI