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On The Probability Of Estimating A Deterministic Component In The Local Level Model

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  1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  2. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
  3. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, September.
  4. Tae‐Hwan Kim & Stephan Pfaffenzeller & Tony Rayner & Paul Newbold, 2003. "Testing for Linear Trend with Application to Relative Primary Commodity Prices," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 539-551, September.
  5. Marczak, Martyna & Proietti, Tommaso, 2016. "Outlier detection in structural time series models: The indicator saturation approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 180-202.
  6. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
  7. George M. Constantinides & Anisha Ghosh, 2011. "Asset Pricing Tests with Long-run Risks in Consumption Growth," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 96-136.
  8. De Santis Massimiliano, 2010. "Demystifying the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-33, May.
  9. Giuseppe Ciaburro & Gino Iannace, 2021. "Machine Learning-Based Algorithms to Knowledge Extraction from Time Series Data: A Review," Data, MDPI, vol. 6(6), pages 1-30, May.
  10. Kellard, Neil & Wohar, Mark E., 2006. "On the prevalence of trends in primary commodity prices," Journal of Development Economics, Elsevier, vol. 79(1), pages 146-167, February.
  11. Caterina Schiavoni & Siem Jan Koopman & Franz Palm & Stephan Smeekes & Jan van den Brakel, 2021. "Time-varying state correlations in state space models and their estimation via indirect inference," Tinbergen Institute Discussion Papers 21-020/III, Tinbergen Institute.
  12. Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2019. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
  13. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
  14. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2022. "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, MDPI, vol. 10(2), pages 1-27, April.
  15. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
  16. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
  17. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
  18. Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
  19. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
  20. Daniel Buncic, 2020. "Econometric issues with Laubach and Williams' estimates of the natural rate of interest," Papers 2002.11583, arXiv.org, revised Aug 2020.
  21. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
  22. Han, Yang & Liu, Zehao & Ma, Jun, 2020. "Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model," China Economic Review, Elsevier, vol. 63(C).
  23. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
  24. Robert B. Barsky & J. Bradford De Long, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(2), pages 291-311.
  25. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
  26. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010. "Survey data as coincident or leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
  27. James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
  28. Banerjee, A. & Malik, S., 2012. "The changing role of expectations in US monetary policy: A new look using the Livingston Survey," Working papers 376, Banque de France.
  29. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
  30. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
  31. Marc K. Francke & Siem Jan Koopman & Aart F. De Vos, 2010. "Likelihood functions for state space models with diffuse initial conditions," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 407-414, November.
  32. Tommaso Proietti, 2006. "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
  33. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2017. "An Alternative Estimation Method of a Time-Varying Parameter Model," Papers 1707.06837, arXiv.org, revised Dec 2017.
  34. Buncic, Daniel, 2024. "Econometric issues in the estimation of the natural rate of interest," Economic Modelling, Elsevier, vol. 132(C).
  35. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
  36. Nasir, Muhammad Ali, 2021. "Zero Lower Bound and negative interest rates: Choices for monetary policy in the UK," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 200-229.
  37. Satchell, Steve & Timmermann, Allan, 1995. "On the optimality of adaptive expectations: Muth revisited," International Journal of Forecasting, Elsevier, vol. 11(3), pages 407-416, September.
  38. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
  39. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
  40. Sanjoy Sinha & Abdus Sattar, 2015. "Inference in semi-parametric spline mixed models for longitudinal data," METRON, Springer;Sapienza Università di Roma, vol. 73(3), pages 377-395, December.
  41. Agbeyegbe, Terence D., 2020. "Bayesian analysis of output gap in Barbados," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  42. Cecilia Frale, "undated". "Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?," Working Papers wp2008-2, Department of the Treasury, Ministry of the Economy and of Finance.
  43. Sevan Gulesserian & Mohitosh Kejriwal, 2014. "On the power of bootstrap tests for stationarity: a Monte Carlo comparison," Empirical Economics, Springer, vol. 46(3), pages 973-998, May.
  44. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
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