Estimating turning points using large data sets
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Publication:2511794
DOI10.1016/J.JECONOM.2013.08.034zbMath1293.62204OpenAlexW2890415972MaRDI QIDQ2511794
James H. Stock, Mark W. Watson
Publication date: 6 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.034
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Economic time series analysis (91B84)
Related Items (6)
Markov switching panel with endogenous synchronization effects ⋮ A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ Reconciled Estimates of Monthly GDP in the United States ⋮ Structural changes in large economic datasets: a nonparametric homogeneity test ⋮ Detecting stock market turning points using wavelet leaders method ⋮ Foreign trade survey data: do they help in forecasting exports and imports?
Cites Work
- Synchronization of cycles
- On weak convergence and optimality of kernel density estimates of the mode
- On the asymptotic normality of kernel regression estimators of the mode in the nonparametric random design model.
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- On Estimation of a Probability Density Function and Mode
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