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econ.EM2022
Time-Varying Poisson Autoregression
Giovanni Angelini, Giuseppe Cavaliere, Enzo D'Innocenzo +1
In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time ser…
econ.EM2022
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis +1
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) s…