Description

• Title:
  State-dependent Autoregressive Models with p Lags: Properties, Estimation and Forecasting
• Creator:
  Gobbi, Fabio;
  Mulinacci, Sabrina
• Contributor:
  Gobbi, Fabio : Department of Economics and Statistics, University of Siena, Italy;
  Mulinacci, Sabrina : Department of Statistical Sciences, University of Bologna, Italy
• Description:
  The Central European Journal of Economic Modelling and Econometrics (CEJEME) is a quarterly international journal. It aims to publish articles focusing on mathematical or statistical models in economic sciences. Papers covering the application of existing econometric techniques to a wide variety of problems in economics, in particular in macroeconomics and finance are welcome. Advanced empirical studies devoted to modelling and forecasting of Central and Eastern European economies are of particular interest. Any rigorous methods of statistical inference can be used and articles representing Bayesian econometrics are decidedly within the range of the Journal's interests.;
  Editor-in-Chief ALEKSANDER WELFE, University of Lodz, Poland Editor JACEK OSIEWALSKI, Cracow University of Economics, Poland Co-Editors KATARZYNA BIEŃ-BARKOWSKA, SGH Warsaw School of Economics, Poland MIKOŁAJ CZAJKOWSKI, University of Warsaw, Poland JAKUB GROWIEC, SGH Warsaw School of Economics, Poland MAREK GRUSZCZYŃSKI, SGH Warsaw School of Economics, Poland BOGUMIŁ KAMIŃSKI, SGH Warsaw School of Economics, Poland MARCIN KOLASA, SGH Warsaw School of Economics, Poland ANNA PAJOR, Cracow University of Economics, Poland Associate Editors KARIM ABADIR, The American University in Cairo, Cairo, Egypt ANINDYA BANERJEE, University of Birmingham, UK STEPHEN HALL, University of Leicester, UK GARY KOOP, University of Strathclyde, Glasgow, UK MARK STEEL, University of Warwick, UK MARTIN WAGNER, Technical University of Dortmund, Germany JAN WERNER, University of Minnesota, USA PETER WINKER, University of Giessen, Germany Editorial Board HERMAN van DIJK, Erasmus University Rotterdam and VU University Amsterdam, The Netherlands LAWRENCE R. KLEIN, University of Pennsylvania, Benjamin Franklin Professor of Economics, USA TIMO TERASVIRTA, University of Aarhus, Denmark HELMUT LUETKEPOHL, Freie Universität Berlin, Germany Publishing Editor ANNA STASZEWSKA-BYSTROVA, University of Lodz, Poland Editorial Assistant AGNIESZKA RYGIEL, Cracow University of Economics, Poland;
  Submission Guidelines and Instructions for Authors of accepted papers please visit: http://cejeme.org/submissionguidelines.aspx
• Object availability:
  free access
• Date:
  2022.02.02
• Type:
  Article
• Coverage:
  81-108
• Publisher:
  Oddział PAN w Łodzi
• Subject:
  convolution-based autoregressive models;
  level-increment dependence;
  nonlinear time series;
  maximum likelihood;
  forecasting accuracy
• Identifier:
  ISSN - 2080-0886, ISSN online - 2080-119X
• Data provider:
  Czasopisma PAN
• Can I use it?:
  seek permission
• Type:
  image