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Keyword: structural models;
4 results found.
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Ramdan Dridi and Eric Renault
We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the e...Read more...
Andrew C Harvey, Siem Jan Koopman and J Penzer
Many series are subject to data irregularities such as missing values, outliers, structural breaks and irregular spacing. Data can also be messy, and hence difficult to handle by standard procedures, when they are intrin...Read more...
A.C. Atkinson and N.G. Shephard
Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended ...Read more...
Andrew C Harvey and Albert Jaeger
The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we analyze the consequences of the widely used detrending technique popularized by Hodrick...Read more...