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Efficient estimation of Bayesian VARMAs with time‐varying coefficients (repli...
Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general... -
Sequential numerical integration in nonlinear state space models for microeco...
This paper discusses the estimation of a class of nonlinear state space models including nonlinear panel data models with autoregressive error components. A health economics... -
Dynamic factor extraction of cross-sectional dependence in panel unit root te...
Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor-based... -
Estimating dynamic equilibrium economies: linear versus nonlinear likelihood ...
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The... -
Convergence in the trends and cycles of Euro-zone income (replication data)
Multivariate unobserved components (structural) time series models are fitted to annual post-war observations on real income per capita in countries in the Euro-zone. The aim is... -
Convergence in European GDP series: a multivariate common converging trend–cy...
Convergence in the gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved... -
Time-varying intercepts and equilibrium analysis: an extension of the dynamic...
Demographic effects and user costs in demand systems have usually been modelled explicitly. A more robust approach is a state space formulation of the demand system, where...
