Kobe, Hyogo, 657-8501
Kobe University - Graduate School of Economics
in Total Papers Citations
dimension reduction, Granger causality test, max test, Mixed Data Sampling (MIDAS), parsimonious regression models
Granger causality test, Local asymptotic power, Mixed Data Sampling (MIDAS), Temporal aggregation, Vector autoregression (VAR)
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Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)
Blockwise wild bootstrap, Randomized block size, Serial correlation, Weak form efficiency, White noise test.
Japan's Lost Decade, Mixed Data Sampling (MIDAS), mixed frequency vector autoregression (MF-VAR), private investment
Consumption function, Hypothesis testing, Money illusion, Mixed Data Sampling (MIDAS), Temporal aggregation.
dependent wild bootstrap, maximum correlation, near epoch dependence, white noise test
calibration estimation, covariate balancing, missing at random (MAR), semiparametric copula model
calibration estimation, generalized regression model, missing at random, semiparametric copula
Conditional Value-at-Risk (CoVaR), Macroeconomic Shock, Mixed Data Sampling (MIDAS), Quantile Regression, Systemic Risk, Wavelet Transform
heterogeneous autoregression (HAR), model selection, out-of-sample forecast, threshold autoregression (TAR), time series analysis
bimodal distribution, non-stationary time series, random walk with drift, spurious regression, Type I Error
Granger causality test, multivariate time series analysis, realized volatility, threshold autoregression (TAR), vector heterogeneous autoregression (VHAR)
Conditional heteroscedasticity, COVID-19, Geographic diversification, Real estate investment trust (REIT), Tokyo Stock Exchange (TSE), Vector autoregression (VAR)
birthday problem, collision, pairwise approach, permutation approach, probability
COVID-19, Nonlinear time series analysis, Profiling estimation, Regime switch, Self-exciting threshold autoregression (SETAR), Wild bootstrap
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