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Estimation of Spatial Panel Data Models with Time Varying Spatial Weights Matrices
Spatial autoregression Panel data Time varying spatial weights matrices Fixed e¤ects Maximum likelihood Impact analysis
2016/1/26
This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymp...
Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
Panel data Spatial cointegration Explosive roots Fixed e¤ects
2016/1/25
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
Spatial autoregression Panel data Spatial cointegration Explosive roots Fixed e¤ects
2016/1/20
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
Dynamic Covariance Models for Multivariate Financial Time Series
Dynamic Covariance Models Multivariate Financial Time Series
2013/6/14
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problem...
A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Financial time series Wavelet decomposition Fuzzy regression SP500 index
2011/3/25
In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on ...
Modelling time to event with observations made at arbitrary times
Modelling observations RAFT RPH
2011/3/21
We introduce new methods of analysing time to event data via extended versions of the proportional hazards and accelerated failure time (AFT) models. In many time to event studies, the time of first o...
Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series
α-mixing properties almost periodically correlated time series consistency spectral analysis subsampling
2011/3/21
The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated t...
Mixing properties of ARCH and time-varying ARCH processes
2-mixing absolutely regular (β-mixing) ARCH(∞) conditional densities strong mixing (α-mixing) time-varying ARCH
2011/3/21
There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying ARCH (tvARCH) models. ...
