Constructing First Order Stationary Autoregressive Models via Latent Processes

By Michael K. Pitt, C. Chatfield, Stephen G. Walker. 2002

57 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/6d069e71712cef2a8f1e9509e0a78be010bbd2a6

Citations in the corpus

• Time-varying sparsity in dynamic regression models (2014, unknown): “Sims (1980), Stock and Watson (1996), Cogley and Sargent (2001, 2005), Primicery (2005), Paye and Timmermann (2006), Ang and Bekaert (2007), Canova (2007), and Lettau and Van Nieuwerburgh (2008) are some studies providing evidence of time varying regressor coefficients in inflation and equity premiu”