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Likelihood ratio test for change in persistence
Communications in Statistics-Theory and Method. 2022. Vol. 52. No. 17. P. 5952–5965.
Skrobotov A., Skrobotov A.
Keywords: Time series analysis
Ibragimov R., Distaso W., Skrobotov A. et al., Plos One 2022 Vol. 17 No. 12 P. e0275516–0
Added: November 16, 2024
Skrobotov A., Dependence Modeling 2023 Vol. 11 No. 1 Article 20220152
This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible ...
Added: November 16, 2024
Kurozumi E., Skrobotov A., Journal of Time Series Analysis 2023 Vol. 44 No. 4 P. 359–373
In this study, we extend the three-regime bubble model of Pang et al. (2021, Journal of Econometrics, 221(1):227–311) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two-regime AR(1) model. The consistency allows us to ...
Added: November 16, 2024
Kurozumi E., Skrobotov A., Tsarev A., Journal of Financial Econometrics 2023 Vol. 21 No. 4 P. 1282–1307
This paper is devoted to testing for bubbles under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips, Wu, and Yu (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we construct the test based on a deformation of the time domain. The proposed test is asymptotically pivotal under ...
Added: November 16, 2024
Skrobotov A., Skrobotov A., Economics Letters 2022 Vol. 212 P. 110276–0
Added: November 16, 2024
Shabanov N., Sergey A. Bartalev, Kobayashi H. et al., IEEE Transactions on Geoscience and Remote Sensing 2023 Vol. 61 Article 4405717
Forest is a multi-layered canopy, where overstory and understory implement different biogeochemical cycles, phenology and functional role. Remote sensing products typically estimate forest total Leaf Area Index (LAI), while few quantify its components. The theoretical understanding of foliage distribution between layers is still quite limited. In this study we’ve developed a semi-empirical model for decomposition ...
Added: July 5, 2023
Dyatchkova N., Grishunin S., Karminsky A. M., , in: 6th International Conference on Information Technology and Quantitative ManagementIssue 139: 6th International Conference on Information Technology and Quantitative Management.: United States of America: Editions Elsevier, 2018. P. 17–24.
The main goal of this paper is to study interconnections between credit ratings and financial indicators of industrial companies from BRICS countries. We use method of patterns, one of the modern methods of nonlinear modeling, to identify groups of heterogeneous objects with different influence on ratings. Additionally, in this research, we evaluate Tobit regression model ...
Added: November 15, 2019
Mustafin A., / Series HUM "Humanities". 2019.
Kondratiev long cycle is generally treated as a phenomenon of a modern world economy. However, the existence of major cycles before the Industrial Revolution does not contradict the theoretical views of Kondratiev, the founder of the long-waves theory. We have discovered Kondratiev’s documents, which show him going farther back in history. The key question we ...
Added: August 12, 2019
Arkhipov R., Katyshev P., Прикладная эконометрика 2016 Т. 44 С. 38–49
We consider the problem of cointegration of the macro indices of Russian economy (GDP, money aggregate M2, budget expenses, real effective exchange rate) and electric power generation. It is assumed that on time interval (1999–2015) under consideration a structural change (regime shift) is allowed, and as a result the cointegration relationship may be changed. The ...
Added: October 22, 2018
Stankevich I., Труды Института системного анализа Российской академии наук 2018 Т. 68 № 2 С. 55–58
The paper analyses the necessity of seasonal adjustment in dynamic models. It is shown, that seasonal adjustment of the time series can influence its’ properties in terms of unit root and cointegration tests. This influence depends of the seasonal adjustment procedure and the test selected. If there is a cointegration between series, seasonal adjustment of ...
Added: October 22, 2018
Method of calculating Lyapunov exponents for time series using artificial neural networks committees
Dmitrieva L., Smetanin N., Kuperin Y. et al., Days on Diffraction (DD) 2016 P. 127–132
The aim of this work is to develop a method for calculating all Lyapunov exponents from time series with high accuracy. To achieve this goal we propose a new method for determining the local and global Lyapunov exponents for a given time series. A special feature of the proposed method is the use of neural ...
Added: August 23, 2017
Rodionova L., Kopnova E., / Series WP BRP "Basic research program". 2017. No. 166/EC/2017.
This paper investigates the issue of food security as the basis for stable economic development using the example of North Africa. A statistical analysis of economic and financial factors in relation to the determinants of food security was carried out using a panel cointegrating model based on official international statistics of the Food and Agriculture ...
Added: July 3, 2017
Mkhitarian V., Arkhipova M., Балаш В. А. et al., М.: Проспект, 2015.
В настоящем учебнике «Эконометрика» рассматривается как дисциплина, объединяющая совокупность результатов, методов и приемов экономической теории, экономической статистики и математико-статистического инструментария для количественного выражения качественных закономерностей. Курс эконометрики призван научить различным способам выражения связей и закономерностей через эконометрические модели, основанные на данных статистических наблюдений. Эконометрический подход предусматривает анализ соответствия выбранной модели изучаемому объекту, рассмотрению причин, приводящих ...
Added: March 10, 2017
Kopnova E., Rodionova L., Известия Саратовского университета. Новая серия. Серия: Экономика. Управление. Право 2016 Т. 16 № 3 С. 306–315
Introduction. Possibilities of application ARIMA-models to analysis and forecasting of demographic time series were considered in the article. Foreign studies had shown that the ARIMA-models give good results for forecasting indicators such as population, birth rates and death rates, life expectancy, along with the traditional demographic methods (cohort-component approach). Research technique. Box-Jenkins methodology of the ...
Added: November 15, 2016
Springer, 2014.
To large organizations, business intelligence (BI) promises the capability of collecting and analyzing internal and external data to generate knowledge and value, thus providing decision support at the strategic, tactical, and operational levels. BI is now impacted by the “Big Data” phenomena and the evolution of society and users. In particular, BI applications must cope ...
Added: October 17, 2014
Pilnik N., Pospelov I. G., Stankevich I., Экономический журнал Высшей школы экономики 2015 Т. 19 № 2 С. 249–270
This paper considers a seasonal adjustment procedure that is capable of preparing data to the use in applied general equilibrium models. It is shown that standard seasonal adjustment procedures do not satisfy the property of invariance to deflating, that hinders their use in applied general equilibrium models. A system of axioms that describes the desired ...
Added: October 31, 2013