Random-Coefficient periodic autoregression
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- Philip Hans Franses & Richard Paap, 2011. "Random‐coefficient periodic autoregressions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(1), pages 101-115, February.
References listed on IDEAS
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Cited by:
- Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "Periodic stationarity of random coefficient periodic autoregressions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 990-996, April.
- Aknouche, Abdelhakim & Rabehi, Nadia, 2024. "Inspecting a seasonal ARIMA model with a random period," MPRA Paper 120758, University Library of Munich, Germany.
- Dennis Fok & Philip Hans Franses, 2013.
"Testing earnings management,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(3), pages 281-292, August.
- Fok, D. & Franses, Ph.H.B.F., 2009. "Testing Earning Management," Econometric Institute Research Papers EI 2009-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
- KIYGI CALLI, Meltem & WEVERBERGH, Marcel & FRANSES, Philip Hans, 2008.
"Modeling the effectiveness of hourly direct-response radio commercials,"
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2008005, University of Antwerp, Faculty of Business and Economics.
- Kiygi Calli, M. & Weverbergh, M. & Franses, Ph.H.B.F., 2008. "Modeling the Effectiveness of Hourly Direct-Response Radio Commercials," ERIM Report Series Research in Management ERS-2008-019-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Paul L. Anderson & Farzad Sabzikar & Mark M. Meerschaert, 2021. "Parsimonious time series modeling for high frequency climate data," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 442-470, July.
- Kiygi Calli, Meltem & Weverbergh, Marcel & Franses, Philip Hans, 2012. "The effectiveness of high-frequency direct-response commercials," International Journal of Research in Marketing, Elsevier, vol. 29(1), pages 98-109.
- Abdelhakim Aknouche & Eid Al-Eid & Nacer Demouche, 2018. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 485-511, October.
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More about this item
Keywords
periodic autoregression; random coefficient model;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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