My bibliography
Save this item
Stochastic Limit Theory: An Introduction for Econometricians
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jabari, Saif Eddin & Liu, Henry X., 2013. "A stochastic model of traffic flow: Gaussian approximation and estimation," Transportation Research Part B: Methodological, Elsevier, vol. 47(C), pages 15-41.
- Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2013.
"Testing for Autocorrelation in Quantile Regression Models,"
Working papers
2013rwp-54, Yonsei University, Yonsei Economics Research Institute.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim & Dong Jin Lee, 2014. "Testing for Autocorrelation in Quantile Regression Models," Working papers 2014rwp-76, Yonsei University, Yonsei Economics Research Institute.
- Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017.
"Rolling window selection for out-of-sample forecasting with time-varying parameters,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," Working Papers 768, Barcelona School of Economics.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Economics Working Papers 1435, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2016.
- Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios, 2022. "High Dimensional Generalised Penalised Least Squares," Papers 2207.07055, arXiv.org, revised Oct 2023.
- Ke-Li Xu & Peter C. B. Phillips, 2011.
"Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
- Xu, Ke-Li & Phillips, Peter C. B., 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016.
"Inference on co-integration parameters in heteroskedastic vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Determining the dimension of factor structures in non-stationary large datasets,"
Discussion Papers
18/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Papers 1806.03647, arXiv.org.
- Čížek, Pavel, 2008.
"General Trimmed Estimation: Robust Approach To Nonlinear And Limited Dependent Variable Models,"
Econometric Theory, Cambridge University Press, vol. 24(6), pages 1500-1529, December.
- Cizek, P., 2004. "General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models," Other publications TiSEM 646b48cc-6bdc-4b93-bc20-7, Tilburg University, School of Economics and Management.
- Cizek, P., 2004. "General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models," Discussion Paper 2004-130, Tilburg University, Center for Economic Research.
- Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
- Yacouba Boubacar Maïnassara & Landy Rabehasaina, 2020. "Estimation of weak ARMA models with regime changes," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 1-52, April.
- Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Robust inference for non-Gaussian SVAR models," Economics Working Papers 1847, Department of Economics and Business, Universitat Pompeu Fabra.
- Alaa Abi Morshed & Elena Andreou & Otilia Boldea, 2018.
"Structural Break Tests Robust to Regression Misspecification,"
Econometrics, MDPI, vol. 6(2), pages 1-39, May.
- Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Other publications TiSEM 3b21f21c-2cef-49d7-bb9b-a, Tilburg University, School of Economics and Management.
- Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
- Ghysels, Eric & Guay, Alain, 2003.
"Structural change tests for simulated method of moments,"
Journal of Econometrics, Elsevier, vol. 115(1), pages 91-123, July.
- Eric Guysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers 61, CREFE, Université du Québec à Montréal.
- Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Working Papers 98-37, Center for Research in Economics and Statistics.
- Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
- Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2015.
"Novel panel cointegration tests emending for cross‐section dependence with N fixed,"
Econometrics Journal, Royal Economic Society, vol. 18(3), pages 363-411, October.
- Hadri, Kaddour & Kurozumi, Eiji & 黒住, 英司 & Rao, Yao, 2013. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Discussion Papers 2013-12, Graduate School of Economics, Hitotsubashi University.
- Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2014. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Economics Working Papers 14-02, Queen's Management School, Queen's University Belfast.
- Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
- Cizek, P. & Jacobs, J. & Ligthart, J.E. & Vrijburg, H., 2015.
"GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Revised version of CentER DP 2011-134),"
Other publications TiSEM
b4bbf44a-7834-491d-94c8-6, Tilburg University, School of Economics and Management.
- Cizek, P. & Jacobs, J. & Ligthart, J.E. & Vrijburg, H., 2015. "GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Revised version of CentER DP 2011-134)," Discussion Paper 2015-003, Tilburg University, Center for Economic Research.
- Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017.
"Modeling and forecasting persistent financial durations,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
- Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
- Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Cizek, P., 2007.
"General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaces DP 2007-1),"
Other publications TiSEM
eeccf622-dd18-41d4-a2f9-b, Tilburg University, School of Economics and Management.
- Cizek, P., 2007. "General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaces DP 2007-1)," Discussion Paper 2007-65, Tilburg University, Center for Economic Research.
- Bruce E. Hansen, 1999.
"The Grid Bootstrap And The Autoregressive Model,"
The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
- Hansen,B.E., 1998. "The grid bootstrap and the autoregressive model," Working papers 26, Wisconsin Madison - Social Systems.
- Bera Anil K. & Bilias Yannis & Yoon Mann J. & Taşpınar Süleyman & Doğan Osman, 2020. "Adjustments of Rao’s Score Test for Distributional and Local Parametric Misspecifications," Journal of Econometric Methods, De Gruyter, vol. 9(1), pages 1-29, January.
- Zdeněk Hlávka & Marie Hušková & Simos G. Meintanis, 2021. "Testing serial independence with functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 603-629, September.
- Miller J. Isaac, 2010.
"A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels,"
Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-38, September.
- J. Isaac Miller, 2010. "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels," Working Papers 1001, Department of Economics, University of Missouri.
- Zhenlin Yang, 2018. "Bootstrap LM tests for higher-order spatial effects in spatial linear regression models," Empirical Economics, Springer, vol. 55(1), pages 35-68, August.
- Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023.
"Quasi score-driven models,"
Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
- F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-04069143, HAL.
- Su, Liangjun, 2012. "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 167(2), pages 543-560.
- Lei Jin & Suojin Wang, 2016. "A New Test for Checking the Equality of the Correlation Structures of two time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 355-368, May.
- Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2017.
"Inference for impulse response coefficients from multivariate fractionally integrated processes,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 60-84, March.
- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2015. "Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes," Working Paper series 15-46, Rimini Centre for Economic Analysis.
- Dendramis, Yiannis & Giraitis, Liudas & Kapetanios, George, 2021.
"Estimation Of Time-Varying Covariance Matrices For Large Datasets,"
Econometric Theory, Cambridge University Press, vol. 37(6), pages 1100-1134, December.
- Yiannis Dendramis & Luidas Giraitis & George Kapetanios, 2020. "Estimation of time-varying covariance matrices for large datasets," Working Papers 916, Queen Mary University of London, School of Economics and Finance.
- Pesaran, M. Hashem & Yang, Cynthia Fan, 2021.
"Estimation and inference in spatial models with dominant units,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 591-615.
- M. Hashem Pesaran & Cynthia Fan Yang, 2019. "Estimation and inference in spatial models with dominant units," CESifo Working Paper Series 7563, CESifo.
- Jonathan Hill, 2012. "Dependence and stochastic limit theory (in Russian)," Quantile, Quantile, issue 10, pages 1-31, December.
- Cizek, P. & Tamine, J. & Härdle, W., 2008.
"Smoothed L-estimation of regression function,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5154-5162, August.
- Tamine, Julien & Čížek, Pavel & Härdle, Wolfgang, 2002. "Smoothed L-estimation of regression function," SFB 373 Discussion Papers 2002,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Cizek, P. & Tamine, J. & Härdle, W.K., 2006. "Smoothed L-estimation of Regression Function," Discussion Paper 2006-20, Tilburg University, Center for Economic Research.
- Cizek, P. & Tamine, J. & Härdle, W.K., 2006. "Smoothed L-estimation of Regression Function," Other publications TiSEM 51a09fbd-293b-4386-bfe9-b, Tilburg University, School of Economics and Management.
- Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
- In Choi, 2014. "Unit root tests for dependent and heterogeneous micropanels," Working Papers 1404, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
- Paulo M. D. C. Parente & Richard J. Smith, 2021.
"Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models," Working Papers REM 2018/59, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Rossi, Barbara & Sekhposyan, Tatevik, 2019.
"Alternative tests for correct specification of conditional predictive densities,"
Journal of Econometrics, Elsevier, vol. 208(2), pages 638-657.
- Barbara Rossi & Tatevik Sekhposyan, 2014. "Alternative tests for correct specification of conditional predictive densities," Economics Working Papers 1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
- Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona School of Economics.
- Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020.
"Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
- Mohitosh Kejriwal & Xuewen Yu, 2018. "Bootstrap Procedures for Detecting Multiple Persistance4 Shifts in a heteroskedastic Time Series," Purdue University Economics Working Papers 1308, Purdue University, Department of Economics.
- Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
- Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Feb 2022.
- Christoph Hanck & Robert Czudaj, 2015.
"Nonstationary-volatility robust panel unit root tests and the great moderation,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(2), pages 161-187, April.
- Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
- Hanck, Christoph & Czudaj, Robert, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Ruhr Economic Papers 434, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2016.
"Exponent of Cross‐Sectional Dependence: Estimation and Inference,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 929-960, September.
- Bailey, N. & Kapetanios, G. & Pesaran, M. H., 2012. "Exponent of Cross-sectional Dependence: Estimation and Inference," Cambridge Working Papers in Economics 1206, Faculty of Economics, University of Cambridge.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2012. "Exponent of Cross-sectional Dependence: Estimation and Inference," CESifo Working Paper Series 3722, CESifo.
- Bailey, Natalia & Kapetanios, George & Pesaran, M. Hashem, 2012. "Exponent of Cross-sectional Dependence: Estimation and Inference," IZA Discussion Papers 6318, Institute of Labor Economics (IZA).
- Jianbao Chen & Suli Cheng, 2021. "GMM Estimation of a Partially Linear Additive Spatial Error Model," Mathematics, MDPI, vol. 9(6), pages 1-28, March.
- Bruce E. Hansen, 2000.
"Sample Splitting and Threshold Estimation,"
Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
- Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
- Koo, Bonsoo & Seo, Myung Hwan, 2015.
"Structural-break models under mis-specification: Implications for forecasting,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 166-181.
- Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 11/13, Monash University, Department of Econometrics and Business Statistics.
- Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 8/13, Monash University, Department of Econometrics and Business Statistics.
- Lei, J., 2013. "Smoothed Spatial Maximum Score Estimation of Spatial Autoregressive Binary Choice Panel Models," Discussion Paper 2013-061, Tilburg University, Center for Economic Research.
- Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt, 2019.
"Testing Forecast Rationality for Measures of Central Tendency,"
Papers
1910.12545, arXiv.org, revised Jul 2024.
- Dimitriadis, Timo & Patton, Andrew J. & Schmidt, Patrick W., 2020. "Testing forecast rationality for measures of central tendency," Hohenheim Discussion Papers in Business, Economics and Social Sciences 12-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Biørn, Erik, 2017. "Identification and Method of Moments Estimation in Polynomial Measurement Error Models," Memorandum 01/2017, Oslo University, Department of Economics.
- Alexander Chudik & Georgios Georgiadis, 2022.
"Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 965-979, June.
- Alexander Chudik & Georgios Georgiadis, 2019. "Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables," Globalization Institute Working Papers 356, Federal Reserve Bank of Dallas.
- Chudik, Alexander & Georgiadis, Georgios, 2019. "Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables," Working Paper Series 2307, European Central Bank.
- Seo, Myung Hwan, 2008.
"Unit Root Test In A Threshold Autoregression: Asymptotic Theory And Residual-Based Block Bootstrap,"
Econometric Theory, Cambridge University Press, vol. 24(6), pages 1699-1716, December.
- Myunghwan Seo, 2004. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," Econometric Society 2004 North American Summer Meetings 494, Econometric Society.
- Myunghwan Seo, 2005. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," STICERD - Econometrics Paper Series 484, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Seo, Myung Hwan, 2005. "Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap," LSE Research Online Documents on Economics 6836, London School of Economics and Political Science, LSE Library.
- Parente, Paulo M.D.C. & Smith, Richard J., 2017. "Tests of additional conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 200(1), pages 1-16.
- Ye Li & Pierre Perron, 2013. "Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends," Boston University - Department of Economics - Working Papers Series 2013-010, Boston University - Department of Economics.
- Jan J. J. Groen & George Kapetanios & Simon Price, 2013.
"Multivariate Methods For Monitoring Structural Change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 250-274, March.
- Groen, Jan J J & Kapetanios, George & Price, Simon, 2009. "Multivariate methods for monitoring structural change," Bank of England working papers 369, Bank of England.
- Jan J.J. Groen & George Kapetanios & Simon Price, 2010. "Multivariate Methods for Monitoring Structural Change," Working Papers 658, Queen Mary University of London, School of Economics and Finance.
- Michelacci, Claudio & Zaffaroni, Paolo, 2000.
"(Fractional) beta convergence,"
Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
- Claudio Michelacci & Paolo Zaffaroni, 1998. "(Fractional) Beta Convergence," Working Papers wp1998_9803, CEMFI.
- Michelacci, C. & Zaffaroni, P., 2000. "(Fractional) Beta Convergence," Papers 383, Banca Italia - Servizio di Studi.
- Michelacci, C. & Zaffaroni, P., 1998. "(Fractional) Beta Convergence," Papers 9803, Centro de Estudios Monetarios Y Financieros-.
- Claudio Michelacci & Paolo Zaffaroni, 2000. "(Fractional) Beta Convergence," Temi di discussione (Economic working papers) 383, Bank of Italy, Economic Research and International Relations Area.
- Christoph Hanck & Robert Czudaj, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Ruhr Economic Papers 0434, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Timo Dimitriadis & Yannick Hoga, 2023. "Regressions under Adverse Conditions," Papers 2311.13327, arXiv.org, revised Feb 2025.
- Ghysels, Eric & Guay, Alain, 2004.
"Testing For Structural Change In The Presence Of Auxiliary Models,"
Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
- Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers 133, CREFE, Université du Québec à Montréal.
- Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO.
- Seok Young Hong & Oliver Linton, 2016.
"Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order,"
CeMMAP working papers
53/16, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- David Mills & Francesca Carapella, 2012. "Information insensitive securities: the benefits of central counterparties," 2012 Meeting Papers 1032, Society for Economic Dynamics.
- Gordon C. R. Kemp & Paulo M. D. C. Parente & J. M. C. Santos Silva, 2020.
"Dynamic Vector Mode Regression,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 647-661, July.
- Kemp, GCR & Parente, PMDC & Santos Silva, JMC, 2015. "Dynamic Vector Mode Regression," Economics Discussion Papers 13793, University of Essex, Department of Economics.
- Mynbayev, Kairat & Darkenbayeva, Gulsim, 2019. "Analyzing variance in central limit theorems," MPRA Paper 101685, University Library of Munich, Germany.
- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 259-274.
- Marine Carrasco & Jean-Pierre Florens, 2000.
"Efficient GMM Estimation Using the Empirical Characteristic Function,"
Working Papers
2000-33, Center for Research in Economics and Statistics.
- Carrasco, Marine & Florens, Jean-Pierre, 2002. "Efficient GMM Estimation Using the Empirical Characteristic Function," IDEI Working Papers 140, Institut d'Économie Industrielle (IDEI), Toulouse.
- Yicong Lin & Hanno Reuvers, 2019. "Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve," Papers 1908.02552, arXiv.org, revised Aug 2020.
- George Kapetanios & Laura Serlenga & Yongcheol Shin, 2019. "Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels," SERIES 02-2019, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Jun 2019.
- Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018.
"Using generalized estimating equations to estimate nonlinear models with spatial data,"
Papers
1810.05855, arXiv.org.
- Lu, Cuicui & Wang, Weining & Wooldridge, Jeffrey M., 2020. "Using generalized estimating equations to estimate nonlinear models with spatial data," IRTG 1792 Discussion Papers 2020-017, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Gotu, Butte, 1999. "The consistency of s2 in the linear regression model when the disturbances are spatially correlated," Technical Reports 1999,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Lei, J., 2013. "Smoothed Spatial Maximum Score Estimation of Spatial Autoregressive Binary Choice Panel Models," Other publications TiSEM d63bf400-7ff2-4a1c-8067-1, Tilburg University, School of Economics and Management.
- Chudik, Alexander & Pesaran, M. Hashem, 2015.
"Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors,"
Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
- Pesaran, Hashem & Chudik, Alexander, 2013. "Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors," Cambridge Working Papers in Economics 1317, Faculty of Economics, University of Cambridge.
- Alexander Chudik & M. Hashem Pesaran, 2013. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Globalization Institute Working Papers 146, Federal Reserve Bank of Dallas.
- Alexander Chudik & M. Hashem Pesaran, 2013. "Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors," CESifo Working Paper Series 4232, CESifo.
- Linton, Oliver & Seo, Myung Hwan & Whang, Yoon-Jae, 2023.
"Testing stochastic dominance with many conditioning variables,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 507-527.
- Linton, O. & Seo, M. & Whang, Y-J., 2020. "Testing Stochastic Dominance with Many Conditioning Variables," Cambridge Working Papers in Economics 2004, Faculty of Economics, University of Cambridge.
- Alexander Chudik & M. Hashem Pesaran, 2013.
"Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit,"
Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 592-649, August.
- Pesaran, M.H. & Chudik, A., 2010. "Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit," Cambridge Working Papers in Economics 1024, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Alexander Chudik, 2010. "Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit," CESifo Working Paper Series 3055, CESifo.
- Pesaran, Hashem & Chudik, Alexander, 2010. "Econometric analysis of high dimensional VARs featuring a dominant unit," Working Paper Series 1194, European Central Bank.
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016.
"Quantile Regression for Long Memory Testing: A Case of Realized Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
- Paulo M.M. Rodrigues & Uwe Hassler, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017.
"A New Class of Bivariate Threshold Cointegration Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
- Biqing Cai & Jiti Gao & Dag Tjostheim, 2015. "A New Class of Bivariate Threshold Cointegration Models," Monash Econometrics and Business Statistics Working Papers 1/15, Monash University, Department of Econometrics and Business Statistics.
- Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers 1367, Barcelona School of Economics.
- Federico Bugni & Jackson Bunting & Muyang Ren, 2024. "Marginal homogeneity tests with panel data," Papers 2408.15862, arXiv.org.
- Mynbayev, Kairat & Aipenova, Aziza, 2013. "Testing a differential condition and local normality of densities," MPRA Paper 87045, University Library of Munich, Germany, revised 2014.
- Tao Chen & Yixuan Li & Renfang Tian, 2023. "A Functional Data Approach for Continuous-Time Analysis Subject to Modeling Discrepancy under Infill Asymptotics," Mathematics, MDPI, vol. 11(20), pages 1-27, October.
- Jan Mutl & Leopold Sögner, 2019.
"Parameter estimation and inference with spatial lags and cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 597-635, July.
- Mutl, Jan & Sögner, Leopold, 2013. "Parameter Estimation and Inference with Spatial Lags and Cointegration," Economics Series 296, Institute for Advanced Studies.
- Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends in unobserved components models," Papers 2005.03988, arXiv.org, revised May 2020.
- Jan J. J. Groen & George Kapetanios & Simon Price, 2013.
"Multivariate Methods For Monitoring Structural Change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 250-274, March.
- Groen, Jan J J & Kapetanios, George & Price, Simon, 2009. "Multivariate methods for monitoring structural change," Bank of England working papers 369, Bank of England.
- Jan J.J. Groen & George Kapetanios & Simon Price, 2010. "Multivariate Methods for Monitoring Structural Change," Working Papers 658, Queen Mary University of London, School of Economics and Finance.
- Jan J.J. Groen & George Kapetanios & Simon Price, 2010. "Multivariate Methods for Monitoring Structural Change," Working Papers 658, Queen Mary University of London, School of Economics and Finance.
- Tommaso Proietti, 2023.
"Peaks, gaps, and time‐reversibility of economic time series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 43-68, January.
- Tommaso Proietti, 2020. "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper 492, Tor Vergata University, CEIS, revised 17 Jun 2020.
- Cizek, P., 2009.
"Generalized Methods of Trimmed Moments,"
Discussion Paper
2009-25, Tilburg University, Center for Economic Research.
- Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Other publications TiSEM 46607f30-95c0-430a-8ef9-2, Tilburg University, School of Economics and Management.
- Jiti Gao & Kai Xia, 2017. "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers 16/17, Monash University, Department of Econometrics and Business Statistics.
- Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2008.
"Are "Nearly Exogenous Instruments" reliable?,"
Economics Letters, Elsevier, vol. 101(1), pages 20-23, October.
- Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "Are "Nearly Exogenous" Instruments Reliable?," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Daniel Berkowitz & Mehmet Caner* & Ying Fang, 2013. "Are Nearly “Exogenous Instruments” Reliable?," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Vadim Marmer, 2012. "Linear processes: properties and asymptotic results (in Russian)," Quantile, Quantile, issue 10, pages 33-56, December.
- M. Hashem Pesaran & Yongcheol Shin, 2002.
"Long-Run Structural Modelling,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 49-87.
- Pesaran,H.M. & Shin,Y., 1995. "Long-Run Structural Modelling," Cambridge Working Papers in Economics 9419, Faculty of Economics, University of Cambridge.
- Mohammad Hashem Pesaran & Yongcheol Shin, 1999. "Long-Run Structural Modelling," Edinburgh School of Economics Discussion Paper Series 44, Edinburgh School of Economics, University of Edinburgh.
- Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
- Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
- Jesús Mur & Jørgen Lauridsen, 2007. "Outliers and Spatial Dependence in Cross-Sectional Regressions," Environment and Planning A, , vol. 39(7), pages 1752-1769, July.
- Kapetanios, George, 2010.
"A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 397-409.
- George Kapetanios, 2005. "A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets," Working Papers 551, Queen Mary University of London, School of Economics and Finance.
- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015.
"Inference on factor structures in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2012. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 002, University of Pavia, Department of Economics and Management.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 088, University of Pavia, Department of Economics and Management.
- Su, Liangjun & Yang, Zhenlin, 2015. "QML estimation of dynamic panel data models with spatial errors," Journal of Econometrics, Elsevier, vol. 185(1), pages 230-258.
- Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020.
"Hypothesis tests with a repeatedly singular information matrix,"
CEPR Discussion Papers
14415, C.E.P.R. Discussion Papers.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2020. "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers wp2020_2002, CEMFI.
- Luz M. Gómez & Rogério F. Porto & Pedro A. Morettin, 2021. "Nonparametric regression with warped wavelets and strong mixing processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(6), pages 1203-1228, December.
- Justin McCrary, 2006. "The Effect of Court-Ordered Hiring Quotas on the Composition and Quality of Police," NBER Working Papers 12368, National Bureau of Economic Research, Inc.
- Fiteni, Inmaculada, 2004. "[tau]-estimators of regression models with structural change of unknown location," Journal of Econometrics, Elsevier, vol. 119(1), pages 19-44, March.
- Liangjun Su & Zhenlin Yang, 2008.
"Asymptotics and Bootstrap for Transformed Panel Data Regressions,"
Development Economics Working Papers
22477, East Asian Bureau of Economic Research.
- Liangjun Su & Zhenlin Yang, 2009. "Asymptotics and Bootstrap for Transformed Panel Data Regressions," Working Papers 03-2009, Singapore Management University, School of Economics.
- Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018.
"Factor-Driven Two-Regime Regression,"
Department of Economics Working Papers
2018-14, McMaster University.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2019. "Factor-Driven Two-Regime Regression," Working Paper Series no128, Institute of Economic Research, Seoul National University.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Factor-Driven Two-Regime Regression," Papers 1810.11109, arXiv.org, revised Sep 2020.
- Pavel Čížek, 2013.
"Reweighted least trimmed squares: an alternative to one-step estimators,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 514-533, September.
- Cizek, P., 2010. "Reweighted Least Trimmed Squares : An Alternative to One-Step Estimators," Discussion Paper 2010-91, Tilburg University, Center for Economic Research.
- Cizek, P., 2010. "Reweighted Least Trimmed Squares : An Alternative to One-Step Estimators," Other publications TiSEM 850c8dcb-835b-4d68-ab98-6, Tilburg University, School of Economics and Management.
- Thomas Knox & James H. Stock & Mark W. Watson, 2004. "Empirical Bayes Regression With Many Regressors," Working Papers 2004-1, Princeton University. Economics Department..
- D.S. Poskitt, 2016. "Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction," Monash Econometrics and Business Statistics Working Papers 15/16, Monash University, Department of Econometrics and Business Statistics.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016.
"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
- Timo Dimitriadis & Yannick Hoga, 2022. "Dynamic CoVaR Modeling and Estimation," Papers 2206.14275, arXiv.org, revised Jan 2025.
- Rabovič, Renata & Čížek, Pavel, 2023.
"Estimation of spatial sample selection models: A partial maximum likelihood approach,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 214-243.
- Rabovic, Renata & Cizek, Pavel, 2016. "Estimation of Spatial Sample Selection Models : A Partial Maximum Likelihood Approach," Discussion Paper 2016-013, Tilburg University, Center for Economic Research.
- Rabovic, Renata & Cizek, Pavel, 2016. "Estimation of Spatial Sample Selection Models : A Partial Maximum Likelihood Approach," Other publications TiSEM 8a4b2e5d-6787-4685-8b9e-1, Tilburg University, School of Economics and Management.
- Rabovic, R. & Cizek, P., 2020. "Estimation of Spatial Sample Selection Models: A Partial Maximum Likelihood Approach," Cambridge Working Papers in Economics 2012, Faculty of Economics, University of Cambridge.
- Iqbal Owadally, 2014. "Tail risk in pension funds: an analysis using ARCH models and bilinear processes," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 301-331, August.
- Carlos Viana de Carvalho & Ricardo Masini & Marcelo Cunha Medeiros, 2016.
"The perils of Counterfactual Analysis with Integrated Processes,"
Textos para discussão
654, Department of Economics PUC-Rio (Brazil).
- Carvalho, Carlos Viana de & Masini, Ricardo Pereira & Medeiros, Marcelo C., 2017. "The perils of counterfactual analysis with integrated processes," Textos para discussão 455, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012.
"Information criteria for impulse response function matching estimation of DSGE models,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
- Alastair R. Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2007. "Information criteria for impulse response function matching estimation of DSGE models," FRB Atlanta Working Paper 2007-10, Federal Reserve Bank of Atlanta.
- Alastair Hall & Atsushi & James M Nason & Barbara Rossi, 2009. "Information Criteria For Impulse Response Function Matching Estimation Of Dsge Models," Working Papers 09-09, Duke University, Department of Economics.
- Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
- Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.
- Alastair Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2010. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 10-28, Duke University, Department of Economics.
- Bruno Damásio & João Nicolau, 2020. "Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown," Working Papers REM 2020/0136, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018.
"Change Detection and the Causal Impact of the Yield Curve,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
- Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
- Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
- Sinem Hacıoğlu Hoke & George Kapetanios, 2021. "Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 125-150, January.
- Oka, Tatsushi & Perron, Pierre, 2018.
"Testing for common breaks in a multiple equations system,"
Journal of Econometrics, Elsevier, vol. 204(1), pages 66-85.
- Pierre Perron & Tatsushi Oka, 2011. "Testing for Common Breaks in a Multiple Equations System," Boston University - Department of Economics - Working Papers Series WP2011-057, Boston University - Department of Economics.
- Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
- Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
- Ma, Jun & Marmer, Vadim & Shneyerov, Artyom, 2019.
"Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator,"
Journal of Econometrics, Elsevier, vol. 211(2), pages 507-538.
- Ma, Jun & Marmer, Vadim & Shneyerov, Artyom, 2016. "Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's estimator," Microeconomics.ca working papers vadim_marmer-2016-4, Vancouver School of Economics, revised 19 Jan 2019.
- Jun Ma & Vadim Marmer & Artyom Shneyerov, 2019. "Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator," Papers 1903.06401, arXiv.org.
- Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2023.
"A Panel Clustering Approach To Analyzing Bubble Behavior,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(4), pages 1347-1395, November.
- Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2022. "A Panel Clustering Approach to Analyzing Bubble Behavior," Cowles Foundation Discussion Papers 2323, Cowles Foundation for Research in Economics, Yale University.
- Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun, 2022. "A Panel Clustering Approach to Analyzing Bubble Behavior," Economics and Statistics Working Papers 1-2022, Singapore Management University, School of Economics.
- Justin McCrary, 2007. "The Effect of Court-Ordered Hiring Quotas on the Composition and Quality of Police," American Economic Review, American Economic Association, vol. 97(1), pages 318-353, March.
- Chudik, Alexander & Pesaran, M. Hashem, 2011.
"Infinite-dimensional VARs and factor models,"
Journal of Econometrics, Elsevier, vol. 163(1), pages 4-22, July.
- Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge.
- Chudik, Alexander & Pesaran, Hashem, 2009. "Infinite-dimensional VARs and factor models," Working Paper Series 998, European Central Bank.
- Alexander Chudik & M. Hashem Pesaran, 2007. "Infinite Dimensional VARs and Factor Models," CESifo Working Paper Series 2176, CESifo.
- Chudik, Alexander & Pesaran, M. Hashem, 2007. "Infinite Dimensional VARs and Factor Models," IZA Discussion Papers 3206, Institute of Labor Economics (IZA).
- Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
- repec:zbw:rwirep:0434 is not listed on IDEAS
- Firmin Doko Tchatoka & Qazi Haque, 2023.
"On bootstrapping tests of equal forecast accuracy for nested models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1844-1864, November.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," Economics Discussion / Working Papers 20-06, The University of Western Australia, Department of Economics.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," CAMA Working Papers 2020-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," School of Economics and Public Policy Working Papers 2020-03, University of Adelaide, School of Economics and Public Policy.
- Alexander Chudik & M. Hashem Pesaran, 2017. "A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels," CESifo Working Paper Series 6688, CESifo.
- Ulrich K. Müller & Mark W. Watson, 2015. "Low-Frequency Econometrics," NBER Working Papers 21564, National Bureau of Economic Research, Inc.
- Pešta, Michal & Okhrin, Ostap, 2014. "Conditional least squares and copulae in claims reserving for a single line of business," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 28-37.
- Eric A. Beutner & Yicong Lin & Andre Lucas, 2023. "Consistency, distributional convergence, and optimality of score-driven filters," Tinbergen Institute Discussion Papers 23-051/III, Tinbergen Institute.
- Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
- Baltagi, Badi H. & Pirotte, Alain & Yang, Zhenlin, 2021.
"Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models,"
Journal of Econometrics, Elsevier, vol. 224(2), pages 245-270.
- Baltagi, Badi & Pirotte, Alain & Yang, Zhenlin, 2018. "Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models," Economics and Statistics Working Papers 12-2018, Singapore Management University, School of Economics.
- Badi H. Baltagi & Alain Pirotte & Zhenlin Yang, 2021. "Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models," Post-Print hal-04120461, HAL.
- Baltagi, Badi H. & Pirotte, Alain & Yang, Zhenlin, 2020. "Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models," IZA Discussion Papers 13803, Institute of Labor Economics (IZA).
- P. W. Fong & W. K. Li, 2004. "Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 419-441, May.
- Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
- Nazgul Jenish, 2015. "Strategic Interaction Model with Censored Strategies," Econometrics, MDPI, vol. 3(2), pages 1-31, June.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2022.
"Instrumental Variable Identification of Dynamic Variance Decompositions,"
Journal of Political Economy, University of Chicago Press, vol. 130(8), pages 2164-2202.
- Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2020. "Instrumental Variable Identification of Dynamic Variance Decompositions," Papers 2011.01380, arXiv.org, revised Jul 2021.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Instrumental Variable Identification of Dynamic Variance Decompositions," NBER Working Papers 29044, National Bureau of Economic Research, Inc.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Instrumental Variable Identification of Dynamic Variance Decompositions," Working Papers 2021-40, Princeton University. Economics Department..
- Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
- Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, vol. 3(1), pages 1-53, January.
- Jiun-Hua Su, 2019. "Counterfactual Inference in Duration Models with Random Censoring," Papers 1902.08502, arXiv.org.
- Burak Alparslan Eroğlu & J. Isaac Miller & Taner Yiğit, 2022.
"Time-varying cointegration and the Kalman filter,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 1-21, January.
- Burak Alparslan Eroglu & J. Isaac Miller & Taner Yigit, 2019. "Time-Varying Cointegration and the Kalman Filter," Working Papers 1905, Department of Economics, University of Missouri.
- Jin, Fei & Lee, Lung-fei, 2018. "Outer-product-of-gradients tests for spatial autoregressive models," Regional Science and Urban Economics, Elsevier, vol. 72(C), pages 35-57.
- Jun Ma & Vadim Marmer & Artyom Shneyerov & Pai Xu, 2021.
"Monotonicity-constrained nonparametric estimation and inference for first-price auctions,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(10), pages 944-982, November.
- Jun Ma & Vadim Marmer & Artyom Shneyerov & Pai Xu, 2019. "Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions," Papers 1909.12974, arXiv.org.
- Gustavo Fruet Dias & Fotis Papailias & Cristina Scherrer, 2024. "An Econometric Analysis of Volatility Discovery," University of East Anglia School of Economics Working Paper Series 2024-01, School of Economics, University of East Anglia, Norwich, UK..
- Kapetanios, George & Marcellino, Massimiliano, 2010.
"Factor-GMM estimation with large sets of possibly weak instruments,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2655-2675, November.
- George Kapetanios & Massimiliano Marcellino, 2006. "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," Working Papers 577, Queen Mary University of London, School of Economics and Finance.
- Marcellino, Massimiliano & Kapetanios, George, 2010. "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," CEPR Discussion Papers 7726, C.E.P.R. Discussion Papers.
- Hong, Seok Young & Linton, Oliver, 2020.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- Robert M. De Jong & James Davidson, 2000.
"Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices,"
Econometrica, Econometric Society, vol. 68(2), pages 407-424, March.
- de Jong, R.M. & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Other publications TiSEM 482efe95-3738-4a9f-b833-e, Tilburg University, School of Economics and Management.
- de Jong, R.M. & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
- Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016.
"Which parametric model for conditional skewness?,"
The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1237-1271, October.
- Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013. "Which Parametric Model for Conditional Skewness?," Staff Working Papers 13-32, Bank of Canada.
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008.
"Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
- Mayoral, Laura, 2007. "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," UC3M Working papers. Economics we20070625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Robert F. Engle & Aaron D. Smith, 1999.
"Stochastic Permanent Breaks,"
The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
- Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series qt99v0s0zx, Department of Economics, UC San Diego.
- Eric Hillebrand & Marcelo C. Medeiros, 2016.
"Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-41, January.
- Eric Hillebrand & Marcelo C. Medeiros, 2012. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," CREATES Research Papers 2012-30, Department of Economics and Business Economics, Aarhus University.
- Lanne, Markku & Saikkonen, Pentti, 2013.
"Noncausal Vector Autoregression,"
Econometric Theory, Cambridge University Press, vol. 29(3), pages 447-481, June.
- Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Research Discussion Papers 18/2009, Bank of Finland.
- Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal Vector Autoregression," MPRA Paper 23717, University Library of Munich, Germany.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019.
"Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood,"
CREATES Research Papers
2019-15, Department of Economics and Business Economics, Aarhus University.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," Economics Papers 2019-W05, Economics Group, Nuffield College, University of Oxford.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," Discussion Papers 19-11, University of Copenhagen. Department of Economics.
- Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," Economics Series Working Papers 879, University of Oxford, Department of Economics.
- Dias, Gustavo Fruet & Kapetanios, George, 2018.
"Estimation and forecasting in vector autoregressive moving average models for rich datasets,"
Journal of Econometrics, Elsevier, vol. 202(1), pages 75-91.
- Gustavo Fruet Dias & George Kapetanios, 2014. "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets," CREATES Research Papers 2014-37, Department of Economics and Business Economics, Aarhus University.
- Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019. "A General Framework for Prediction in Time Series Models," Papers 1902.01622, arXiv.org.
- Kejriwal, Mohitosh & Perron, Pierre, 2010.
"Testing for Multiple Structural Changes in Cointegrated Regression Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 503-522.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2008. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers 1216, Purdue University, Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2007. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series wp2008-020, Boston University - Department of Economics, revised Nov 2008.
- Juan Carlos Aquino & Gabriel Rodríguez, 2013.
"Understanding the functional central limit theorems with some applications to unit root testing with structural change,"
Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 36(71), pages 107-149.
- Juan Carlos Aquino & Gabriel Rodríguez, 2011. "Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change," Documentos de Trabajo / Working Papers 2011-319, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Medeiros, Marcelo C. & Mendes, Eduardo F., 2016. "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 191(1), pages 255-271.
- Okui, Ryo & Yanagi, Takahide, 2019.
"Panel data analysis with heterogeneous dynamics,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 451-475.
- Ryo Okui & Takahide Yanagi, 2014. "Panel Data Analysis with Heterogeneous Dynamics," KIER Working Papers 906, Kyoto University, Institute of Economic Research.
- Ryo Okui & Takahide Yanagi, 2018. "Panel Data Analysis with Heterogeneous Dynamics," Papers 1803.09452, arXiv.org, revised Jan 2019.
- Amendola, Alessandra & Christian, Francq, 2009. "Concepts and tools for nonlinear time series modelling," MPRA Paper 15140, University Library of Munich, Germany.
- Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
- Skorniakov, V., 2019. "On asymptotic normality of certain linear rank statistics," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 63-73.
- George Kapetanios & Yongcheol Shin, 2006.
"Unit root tests in three-regime SETAR models,"
Econometrics Journal, Royal Economic Society, vol. 9(2), pages 252-278, July.
- George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Yongcheol Shin, 2003. "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series 104, Edinburgh School of Economics, University of Edinburgh.
- Amilcar Velez, 2023. "The Local Projection Residual Bootstrap for AR(1) Models," Papers 2309.01889, arXiv.org, revised Feb 2024.
- Atakan, Alp E. & Ekmekci, Mehmet, 2015.
"Reputation in the long-run with imperfect monitoring,"
Journal of Economic Theory, Elsevier, vol. 157(C), pages 553-605.
- Alp Atakan & Mehmet Ekmekci, 2009. "Reputation in the Long-Run with Imperfect Monitoring," Discussion Papers 1506, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Davidson, James, 2020. "A new consistency proof for HAC variance estimators," Economics Letters, Elsevier, vol. 186(C).
- Xu, Ke-Li & Phillips, Peter C.B., 2008.
"Adaptive estimation of autoregressive models with time-varying variances,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
- Brandts, Jordi & El Baroudi, Sabrine & Huber, Stefanie J. & Rott, Christina, 2021.
"Gender differences in private and public goal setting,"
Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 222-247.
- Jordi Brandts & Sabrine El Baroudi & Stefanie J. Huber & Cristina Rott, 2021. "Gender Differences in Private and Public Goal Setting," Working Papers 1231, Barcelona School of Economics.
- Jordi Brandts & Sabrine El Baroudi & Stefanie Huber & Christina Rott, 2022. "Gender Differences in Private and Public Goal Setting," Tinbergen Institute Discussion Papers 22-008/II, Tinbergen Institute.
- Emmanuel Selorm Tsyawo & Abdul-Nasah Soale, 2021. "A Distance Covariance-based Estimator," Papers 2102.07008, arXiv.org, revised Sep 2024.
- Alberto Abadie & Susan Athey & Guido W. Imbens & Jeffrey M. Wooldridge, 2020. "Sampling‐Based versus Design‐Based Uncertainty in Regression Analysis," Econometrica, Econometric Society, vol. 88(1), pages 265-296, January.
- Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018.
"Testing for parameter instability in predictive regression models,"
Journal of Econometrics, Elsevier, vol. 204(1), pages 101-118.
- Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018. "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers 21162, University of Essex, Essex Business School.
- Pierre Perron & Yohei Yamamoto, 2022. "Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 389-411, May.
- T. Arduini, 2016. "Distribution Free Estimation of Spatial Autoregressive Binary Choice Panel Data Models," Working Papers wp1052, Dipartimento Scienze Economiche, Universita' di Bologna.
- Demetrescu, Matei & Leppin, Julian Sebastian & Reitz, Stefan, 2017. "Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test," Kiel Working Papers 2094, Kiel Institute for the World Economy (IfW Kiel).
- Donna Feir & Thomas Lemieux & Vadim Marmer, 2016.
"Weak Identification in Fuzzy Regression Discontinuity Designs,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 185-196, April.
- Feir, Donna & Lemieux, Thomas & Marmer, Vadim, 2010. "Weak Identification in Fuzzy Regression Discontinuity Designs," Microeconomics.ca working papers vadim_marmer-2010-19, Vancouver School of Economics, revised 17 Apr 2016.
- Bent Nielsen & Andrew Whitby, 2015.
"A Joint Chow Test for Structural Instability,"
Econometrics, MDPI, vol. 3(1), pages 1-31, March.
- Bent Nielsen & Andrew Whitby, 2012. "A Joint Chow Test for Structural Instability," Economics Papers 2012-W07, Economics Group, Nuffield College, University of Oxford.
- Gabriel Frahm, 2020. "Statistical properties of estimators for the log-optimal portfolio," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(1), pages 1-32, August.
- Davidson James & Rambaccussing Dooruj, 2015.
"A Test of the Long Memory Hypothesis Based on Self-Similarity,"
Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 115-141, July.
- James Davidson & Dooruj Rambaccussing, 2015. "A test of the long memory hypothesis based on self-similarity," Dundee Discussion Papers in Economics 286, Economic Studies, University of Dundee.
- Rambaccussing, Dooruj & Davidson, James, 2015. "A test of long memory hypothesis based on self-similarity," SIRE Discussion Papers 2015-81, Scottish Institute for Research in Economics (SIRE).
- Mikihito Nishi, 2024. "Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression," Papers 2406.14046, arXiv.org, revised Jan 2025.
- Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E. D. Veraart, 2021. "Inference and forecasting for continuous-time integer-valued trawl processes," Papers 2107.03674, arXiv.org, revised Feb 2023.
- Kanaya, Shin, 2017.
"Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes,"
Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
- Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin, 2016. "Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes," Discussion Paper Series 646, Institute of Economic Research, Hitotsubashi University.
- Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
- Calhoun, Gray, 2014. "Block Bootstrap Consistency Under Weak Assumptions," Staff General Research Papers Archive 34313, Iowa State University, Department of Economics.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Antoine Djogbenou & Sílvia Gonçalves & Benoit Perron, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 481-502, May.
- Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H., 2011.
"GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003),"
Other publications TiSEM
b80cf367-c435-4f20-8e4c-8, Tilburg University, School of Economics and Management.
- Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H., 2011. "GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)," Discussion Paper 2011-134, Tilburg University, Center for Economic Research.
- Marmer, Vadim, 2008.
"Nonlinearity, nonstationarity, and spurious forecasts,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
- Vadim Marmer, 2005. "Nonlinearity, Nonstationarity and Spurious Forecasts," Econometrics 0503002, University Library of Munich, Germany, revised 15 Dec 2005.
- Marmer, Vadim, 2009. "Nonlinearity, Nonstationarity, and Spurious Forecasts," Microeconomics.ca working papers vadim_marmer-2009-60, Vancouver School of Economics, revised 03 Nov 2009.
- Gao, Jiti & Xia, Kai & Zhu, Huanjun, 2020. "Heterogeneous panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 219(2), pages 329-353.
- Kojevnikov, Denis & Marmer, Vadim & Song, Kyungchul, 2021.
"Limit theorems for network dependent random variables,"
Journal of Econometrics, Elsevier, vol. 222(2), pages 882-908.
- Denis Kojevnikov & Vadim Marmer & Kyungchul Song, 2019. "Limit Theorems for Network Dependent Random Variables," Papers 1903.01059, arXiv.org, revised Feb 2021.
- Helmut Herwartz & Simone Maxand & Yabibal M. Walle, 2019.
"Heteroskedasticity‐Robust Unit Root Testing for Trending Panels,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(5), pages 649-664, September.
- Herwartz, Helmut & Maxand, Simone & Walle, Yabibal M., 2017. "Heteroskedasticity-robust unit root testing for trending panels," University of Göttingen Working Papers in Economics 314, University of Goettingen, Department of Economics.
- Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.
- Deng, Ai & Perron, Pierre, 2008.
"The Limit Distribution Of The Cusum Of Squares Test Under General Mixing Conditions,"
Econometric Theory, Cambridge University Press, vol. 24(3), pages 809-822, June.
- Ai Deng & Pierre Perron, 2006. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions," Boston University - Department of Economics - Working Papers Series wp2006-004, Boston University - Department of Economics.
- Miranda, Karen & Martínez Ibáñez, Oscar & Manjón Antolín, Miguel C., 2018. "A correlated random effects spatial Durbin model," Working Papers 2072/313840, Universitat Rovira i Virgili, Department of Economics.
- Phillips, Peter C.B. & Wang, Ying, 2023.
"When bias contributes to variance: True limit theory in functional coefficient cointegrating regression,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 469-489.
- Peter C.B. Phillips & Ying Wang, 2020. "When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers 2250, Cowles Foundation for Research in Economics, Yale University.
- Federico A. Bugni & Jia Li & Qiyuan Li, 2020. "Permutation-based tests for discontinuities in event studies," Papers 2007.09837, arXiv.org, revised Jul 2022.
- Matei Demetrescu & Christoph Hanck, 2016. "Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 751-781, May.
- Mira, Santiago, 1996. "Nonlinear cointegration and nonlinear error correction," DES - Working Papers. Statistics and Econometrics. WS 4546, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2022.
"Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 532-557, July.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2019. "Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations," Papers 1912.09002, arXiv.org, revised Jun 2021.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Testing for co-integration in vector autoregressions with non-stationary volatility,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Javier Hidalgo & Marcia M Schafgans, 2015. "Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence," STICERD - Econometrics Paper Series /2015/583, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Peter C. B. Phillips & Ke‐Li Xu, 2006. "Inference in Autoregression under Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 289-308, March.
- Chambers, M.J. & McCrorie, J.R., 2004.
"Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems,"
Discussion Paper
2004-40, Tilburg University, Center for Economic Research.
- Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Other publications TiSEM 0d3ed468-36ef-4baf-8339-8, Tilburg University, School of Economics and Management.
- Wojciech Charemza & Mikhail Lifshits & Svetlana Makarova, 2002. "A Simple Test for Unit Root Bilinearity," EUSP Department of Economics Working Paper Series 2002/01, European University at St. Petersburg, Department of Economics, revised 29 Mar 2002.
- Jiti Gao & Kai Xia, 2017.
"Heterogeneous panel data models with cross-sectional dependence,"
Monash Econometrics and Business Statistics Working Papers
16/17, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Kai Xia & Huanjun Zhu, 2019. "Heterogeneous Panel Data Models with Cross-Sectional Dependence," Working Papers 2019-07-09, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
- Yannick Hoga, 2024. "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers 2410.05861, arXiv.org.
- Mynbayev, Kairat, 2007. "OLS Asymptotics for Vector Autoregressions with Deterministic Regressors," MPRA Paper 101688, University Library of Munich, Germany, revised 2018.
- Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N., 2015.
"Generalised density forecast combinations,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 150-165.
- Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon, 2014. "Generalised density forecast combinations," Bank of England working papers 492, Bank of England.
- N. Fawcett & G. Kapetanios & J. Mitchell & S. Price, 2014. "Generalised Density Forecast Combinations," CAMA Working Papers 2014-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024.
"Inference in Heavy-Tailed Nonstationary Multivariate Time Series,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
- Jonas Vogt, 2017. "Doubly Stochastic Reduced Form Credit Risk Model and Default Probability Uncertainty – a Technical Toolkit," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(2), pages 1-2.
- George Kapetanios, 2002. "Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations," Working Papers 470, Queen Mary University of London, School of Economics and Finance.
- Čížek, Pavel, 2012.
"Semiparametric robust estimation of truncated and censored regression models,"
Journal of Econometrics, Elsevier, vol. 168(2), pages 347-366.
- Cizek, P., 2008. "Semiparametric Robust Estimation of Truncated and Censored Regression Models," Other publications TiSEM a6228ada-1ab5-47ee-9d23-4, Tilburg University, School of Economics and Management.
- Cizek, P., 2008. "Semiparametric Robust Estimation of Truncated and Censored Regression Models," Discussion Paper 2008-34, Tilburg University, Center for Economic Research.
- Khan, M. Atikur Rahman & Poskitt, D.S., 2017. "Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application," International Journal of Forecasting, Elsevier, vol. 33(1), pages 199-213.
- Breitung, Jörg & Demetrescu, Matei, 2015. "Instrumental variable and variable addition based inference in predictive regressions," Journal of Econometrics, Elsevier, vol. 187(1), pages 358-375.
- H. Peter Boswijk & Yang Zu, 2022.
"Adaptive Testing for Cointegration With Nonstationary Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
- Peter Boswijk & Yang Zu, 2019. "Adaptive Testing for Cointegration with Nonstationary Volatility," Tinbergen Institute Discussion Papers 19-043/III, Tinbergen Institute.
- Fengler, Matthias & Polivka, Jeannine, 2021.
"Proxy-identification of a structural MGARCH model for asset returns,"
Economics Working Paper Series
2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
- Matthias R. Fengler & Jeannine Polivka, 2024. "Proxy-identification of a structural MGARCH model for asset returns," Swiss Finance Institute Research Paper Series 24-55, Swiss Finance Institute.
- Richard T. Baillie & Kun Ho Kim, 2016. "Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches," Working Paper series 16-04, Rimini Centre for Economic Analysis.
- Susanne M. Schennach & Daniel Wilhelm, 2017.
"A Simple Parametric Model Selection Test,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1663-1674, October.
- Susanne M. Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers CWP10/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne M. Schennach & Daniel Wilhelm, 2016. "A simple parametric model selection test," CeMMAP working papers 30/16, Institute for Fiscal Studies.
- Susanne M. Schennach & Daniel Wilhelm, 2016. "A simple parametric model selection test," CeMMAP working papers CWP30/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne M. Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers 10/14, Institute for Fiscal Studies.
- Shi, Zhentao & Huang, Jingyi, 2023. "Forward-selected panel data approach for program evaluation," Journal of Econometrics, Elsevier, vol. 234(2), pages 512-535.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Francisco Blasques & Christian Francq & Sébastien Laurent, 2020. "A New Class of Robust Observation-Driven Models," Tinbergen Institute Discussion Papers 20-073/III, Tinbergen Institute.
- Hendrik Thiel & Stephan L. Thomsen, 2015.
"Individual Poverty Paths and the Stability of Control-Perception,"
SOEPpapers on Multidisciplinary Panel Data Research
794, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Thiel, Hendrik & Thomsen, Stephan L., 2015. "Individual Poverty Paths and the Stability of Control-Perception," IZA Discussion Papers 9334, Institute of Labor Economics (IZA).
- Alberto Abadie & Susan Athey & Guido W. Imbens & Jeffrey M. Wooldridge, 2014. "Finite Population Causal Standard Errors," NBER Working Papers 20325, National Bureau of Economic Research, Inc.
- Alexander Chudik & M. Hashem Pesaran, 2017. "An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels," Globalization Institute Working Papers 327, Federal Reserve Bank of Dallas, revised 27 Mar 2021.
- Mayer, Alexander, 2022. "On the local power of some tests of strict exogeneity in linear fixed effects models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 49-74.
- Mehmet Caner & Dan Berkowitz & Ying Fang, 2006. "Are Nearly Exogenous Instruments Reliable?," Working Paper 207, Department of Economics, University of Pittsburgh, revised Jan 2006.
- Yan Li & Liangjun Su & Yuewu Xu, 2015.
"A Combined Approach to the Inference of Conditional Factor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
- Yan Li & Liangjun Su & Yuewu Xu, 2014. "A Combined Approach to the Inference of Conditional Factor Models," Working Papers 10-2014, Singapore Management University, School of Economics.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016.
"Testing for Granger causality with mixed frequency data,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013. "Testing for Granger Causality with Mixed Frequency Data," CEPR Discussion Papers 9655, C.E.P.R. Discussion Papers.
- Davidson, James & Li, Xiaoyu, 2016. "Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 534-547.
- Ge, Hao & Jia, Chen & Jiang, Da-Quan, 2017. "Cycle symmetry, limit theorems, and fluctuation theorems for diffusion processes on the circle," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1897-1925.
- Arie Preminger & David Wettstein, 2005.
"Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 715-741, September.
- PREMINGER, Arie & WETTSTEIN, David, 2005. "Using the penalized likelihood method for model selection with nuisance parameters present only under the alternative: an application to switching regression models," LIDAM Reprints CORE 1811, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017.
"Robust Forecast Comparison,"
Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
- Sainan Jin & Valentina Corradi & Norman Swanson, 2015. "Robust Forecast Comparison," Departmental Working Papers 201502, Rutgers University, Department of Economics.
- Sarafidis, Vasilis, 2016. "Neighbourhood GMM estimation of dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 526-544.
- Martins-Filho, Carlos & Yao, Feng & Torero, Maximo, 2018.
"Nonparametric Estimation Of Conditional Value-At-Risk And Expected Shortfall Based On Extreme Value Theory,"
Econometric Theory, Cambridge University Press, vol. 34(1), pages 23-67, February.
- Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012. "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers 13-05, Department of Economics, West Virginia University.
- Kuan Xu & Gordon Fisher, 2006. "Myopic loss aversion and margin of safety: the risk of value investing," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 481-494.
- José María Moreno-Jiménez & Manuel Salvador & Pilar Gargallo & Alfredo Altuzarra, 2016. "Systemic decision making in AHP: a Bayesian approach," Annals of Operations Research, Springer, vol. 245(1), pages 261-284, October.
- Ke-Li Xu, 2022. "On Local Projection Based Inference," CAEPR Working Papers 2022-002 Classification-, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016.
"Inference in VARs with conditional heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
- Ralf Brüggemann & Carsten Jentsch & Carsten Trenkler, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Paper Series of the Department of Economics, University of Konstanz 2014-13, Department of Economics, University of Konstanz.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
- Matteo Barigozzi & Matteo Luciani, 2019.
"Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm,"
Papers
1910.03821, arXiv.org, revised Sep 2024.
- Matteo Barigozzi & Matteo Luciani, 2024. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series 2024-086, Board of Governors of the Federal Reserve System (U.S.).
- Cheng Hsiao & Qi Li & Zhongwen Liang & Wei Xie, 2019. "Panel Data Estimation for Correlated Random Coefficients Models," Econometrics, MDPI, vol. 7(1), pages 1-18, February.
- Salish, Nazarii & Gleim, Alexander, 2019. "A moment-based notion of time dependence for functional time series," Journal of Econometrics, Elsevier, vol. 212(2), pages 377-392.
- Harris, David & Leybourne, Stephen J. & Taylor, A.M. Robert, 2016.
"Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 451-467.
- Harris, D & Leybourne, SJ & Taylor, AMR, 2016. "Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point," Essex Finance Centre Working Papers 15847, University of Essex, Essex Business School.
- Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
- Yifu Tang & Claudia Kirch & Jeong Eun Lee & Renate Meyer, 2023. "Posterior consistency for the spectral density of non‐Gaussian stationary time series," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 50(3), pages 1152-1182, September.
- Parente Paulo M.D.C. & Santos Silva João M.C., 2016.
"Quantile Regression with Clustered Data,"
Journal of Econometric Methods, De Gruyter, vol. 5(1), pages 1-15, January.
- Parente, Paulo M D C & Santos Silva, Joao M C, 2013. "Quantile regression with clustered data," Economics Discussion Papers 8976, University of Essex, Department of Economics.
- Paulo M.D.C. Parente & Joao M.C. Santos Silva, 2013. "Quantile regression with clustered data," Discussion Papers 1305, University of Exeter, Department of Economics.
- Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, vol. 5(1), pages 1-26, December.
- Daniel J Lewis, 2021.
"Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing],"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
- Daniel J. Lewis, 2018. "Identifying shocks via time-varying volatility," Staff Reports 871, Federal Reserve Bank of New York.
- Castro, Tomás del Barrio & Osborn, Denise R. & Taylor, A.M. Robert, 2012.
"On Augmented Hegy Tests For Seasonal Unit Roots,"
Econometric Theory, Cambridge University Press, vol. 28(5), pages 1121-1143, October.
- Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011. "On Augmented HEGY Tests for Seasonal Unit Roots," Economics Discussion Paper Series 1121, Economics, The University of Manchester.
- Barigozzi, Matteo & Hallin, Marc, 2020.
"Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
- Su, Liangjun & Hoshino, Tadao, 2016.
"Sieve instrumental variable quantile regression estimation of functional coefficient models,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
- Su Liangjun & Tadao Hoshino, 2015. "Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models," Working Papers 01-2015, Singapore Management University, School of Economics.
- Janečková Hana & Prášková Zuzana, 2004. "CWLS and ML estimates in a heteroscedastic RCA(1) model," Statistics & Risk Modeling, De Gruyter, vol. 22(3), pages 245-259, March.
- Pentti Saikkonen & Rickard Sandberg, 2016.
"Testing for a Unit Root in Noncausal Autoregressive Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 99-125, January.
- Saikkonen, Pentti & Sandberg, Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Bank of Finland Research Discussion Papers 26/2013, Bank of Finland.
- R. F. Phillips, 1999. "Partially adaptive estimation of nonlinear models via a normal mixture," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 141-167.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012.
"Testing for Instability in Covariance Structures,"
Center for Policy Research Working Papers
131, Center for Policy Research, Maxwell School, Syracuse University.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2016. "Testing for Instability in Covariance Structures," Working papers 2016-33, University of Connecticut, Department of Economics.
- Pedro Galeano & Dominik Wied, 2017. "Dating multiple change points in the correlation matrix," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 331-352, June.
- Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
- Hernández Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," Working Papers 2016-03, Banco de México.
- Górecki, Tomasz & Horváth, Lajos & Kokoszka, Piotr, 2018. "Change point detection in heteroscedastic time series," Econometrics and Statistics, Elsevier, vol. 7(C), pages 63-88.
- Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
- Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2020. "The Efficiency Gap," Papers 2010.14146, arXiv.org, revised Sep 2022.
- Hernández, Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," MPRA Paper 100857, University Library of Munich, Germany.
- Jeong, Hanbat & Lee, Lung-fei, 2021. "Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
- José Luis Montiel Olea & Mikkel Plagborg‐Møller, 2021. "Local Projection Inference Is Simpler and More Robust Than You Think," Econometrica, Econometric Society, vol. 89(4), pages 1789-1823, July.
- J. Isaac Miller, 2007. "Cointegrating Regressions with Messy Regressors: Missingness, Mixed Frequency, and Measurement Error," Working Papers 0722, Department of Economics, University of Missouri, revised 15 Apr 2009.
- Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
- Hansen, Bruce E., 2000.
"Testing for structural change in conditional models,"
Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
- Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- repec:zbw:bofrdp:2013_026 is not listed on IDEAS
- Nesmith Travis D & Jones Barry E, 2008.
"Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
- Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.).
- Otilia Boldea & Alastair Hall & Sanggohn Han, 2012.
"Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS,"
Econometric Reviews, Taylor & Francis Journals, vol. 31(1), pages 1-33.
- Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper 9472, University Library of Munich, Germany.
- Boldea, O. & Hall, A.R. & Han, S., 2012. "Asymptotic distribution theory for break point estimators in models estimated via 2SLS," Other publications TiSEM 2e2fbb75-c4ff-4279-8243-e, Tilburg University, School of Economics and Management.
- repec:wrk:wrkemf:05 is not listed on IDEAS
- Scott Gilbert & Petr Zemčík, 2005. "Testing for Latent Factors in Models with Autocorrelation and Heteroskedasticity of Unknown Form," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 236-252, July.
- Rickard Sandberg, 2016. "Testing for unit roots in nonlinear heterogeneous panels with smoothly changing trends: an application to Scandinavian unemployment rates," Empirical Economics, Springer, vol. 51(3), pages 1053-1083, November.
- Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
- Matteo Pelagatti & Emilio Colombo, 2015.
"On the Empirical Failure of Purchasing Power Parity Tests,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 904-923, September.
- Matteo Pelagatti & Emilio Colombo, 2012. "On the empirical failure of purchasing power parity tests," Working Papers 20120501, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
- De Blander, Rembert, 2020. "Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 3-29.
- Md Atikur Rahman Khan & D.S. Poskitt, 2010. "Description Length Based Signal Detection in singular Spectrum Analysis," Monash Econometrics and Business Statistics Working Papers 13/10, Monash University, Department of Econometrics and Business Statistics.
- Martinez Oscar & Olmo Jose, 2012.
"A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-39, September.
- Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
- Martínez Ibáñez, Oscar & Olmo, José, 2008. "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers 2072/5361, Universitat Rovira i Virgili, Department of Economics.
- Demos, Antonis & Arvanitis, Stelios, 2010.
"Stochastic Expansions and Moment Approximations for Three Indirect Estimators,"
MPRA Paper
122369, University Library of Munich, Germany.
- Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
- Ilse Lindenlaub & Anja Prummer, 2014.
"Gender, Social Networks And Performance,"
Cambridge Working Papers in Economics
1461, Faculty of Economics, University of Cambridge.
- Ilse Lindenlaub & Anja Prummer, 2016. "Gender, Social Networks and Performance," Working Papers 807, Queen Mary University of London, School of Economics and Finance.
- Xu, Xingbai & Lee, Lung-fei, 2015. "A spatial autoregressive model with a nonlinear transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 186(1), pages 1-18.
- Jean-Marie Dufour & Endong Wang, 2024. "Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality," Papers 2409.10820, arXiv.org.
- Stelios Arvanitis & Tassos Magdalinos, 2018. "Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 892-908, November.
- Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue, 2013.
"Asymptotic Theory for Regressions with Smoothly Changing Parameters,"
Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 133-162, April.
- Eric Hillebrand & Marcelo C. Medeiros & Junyue Xu, 2012. "Asymptotic Theory for Regressions with Smoothly Changing Parameters," CREATES Research Papers 2012-31, Department of Economics and Business Economics, Aarhus University.
- Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
- Li, Liyao & Yang, Zhenlin, 2021.
"Spatial dynamic panel data models with correlated random effects,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 424-454.
- Li, Liyao & Yang, Zhenlin, 2018. "Spatial Dynamic Panel Data Models with Correlated Random Effects," Economics and Statistics Working Papers 15-2018, Singapore Management University, School of Economics.
- Adams, Zeno & Füss, Roland & Glück, Thorsten, 2017.
"Are correlations constant? Empirical and theoretical results on popular correlation models in finance,"
Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
- Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016. "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance 1613, University of St. Gallen, School of Finance.
- Lee, Yoon-Jin & Okui, Ryo & Shintani, Mototsugu, 2018.
"Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes,"
Journal of Econometrics, Elsevier, vol. 204(2), pages 147-158.
- Yoon-Jin Lee & Ryo Okui & Mototsugu Shintani, 2013. "Asymptotic Inference for Dynamic Panel Estimators of In nite Order Autoregressive Processes," KIER Working Papers 879, Kyoto University, Institute of Economic Research.
- Alexandre Carvalho & Georgios Skoulakis, 2010. "Time Series Mixtures of Generalized t Experts: ML Estimation and an Application to Stock Return Density Forecasting," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 642-687.
- James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, University of Exeter, Department of Economics.
- Ilse Lindenlaub & Anja Prummer, 2014.
"Gender, Social Networks And Performance,"
Cambridge Working Papers in Economics
1461, Faculty of Economics, University of Cambridge.
- Ilse Lindenlaub & Anja Prummer, 2016. "Gender, Social Networks and Peformance," Working Papers 807, Queen Mary University of London, School of Economics and Finance.
- Ilse Lindenlaub & Anja Prummer, 2016. "Gender, Social Networks and Performance," Working Papers 807, Queen Mary University of London, School of Economics and Finance.
- Johan Blomquist & Joakim Westerlund, 2016. "Panel bootstrap tests of slope homogeneity," Empirical Economics, Springer, vol. 50(4), pages 1359-1381, June.
- Liu, Tuo & Lee, Lung-fei, 2019. "A likelihood ratio test for spatial model selection," Journal of Econometrics, Elsevier, vol. 213(2), pages 434-458.
- Meitz, Mika & Saikkonen, Pentti, 2013.
"Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity,"
Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 227-255.
- Mika Meitz & Pentti Saikkonen, 2012. "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity," Koç University-TUSIAD Economic Research Forum Working Papers 1226, Koc University-TUSIAD Economic Research Forum.
- D.S. Poskitt & Jing Zhang, 2004. "Estimating Components in Finite Mixtures and Hidden Markov Models," Monash Econometrics and Business Statistics Working Papers 10/04, Monash University, Department of Econometrics and Business Statistics.
- Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2024.
"Robust testing for explosive behavior with strongly dependent errors,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Yiu Lim Lui & Jun Yu & Peter C. B. Phillips, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Cowles Foundation Discussion Papers 2350, Cowles Foundation for Research in Economics, Yale University.
- Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Economics and Statistics Working Papers 11-2022, Singapore Management University, School of Economics.
- Amilcar Velez, 2024. "On the Asymptotic Properties of Debiased Machine Learning Estimators," Papers 2411.01864, arXiv.org.
- Harris, David & Kew, Hsein & Taylor, A.M. Robert, 2020.
"Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 354-388.
- David Harris & Hsein Kew & A. M. Robert Taylor, 2020. "Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem," Monash Econometrics and Business Statistics Working Papers 8/20, Monash University, Department of Econometrics and Business Statistics.
- Goldman Elena & Tsurumi Hiroki, 2005. "Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-38, June.
- Marcus J. Chambers, 2011.
"Cointegration and sampling frequency,"
Econometrics Journal, Royal Economic Society, vol. 14(2), pages 156-185, July.
- Chambers, MJ, 2001. "Cointegration and Sampling Frequency," Economics Discussion Papers 2760, University of Essex, Department of Economics.
- J. Isaac Miller, 2016.
"Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
- J. Isaac Miller, 2011. "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers 1103, Department of Economics, University of Missouri, revised 30 May 2012.
- Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
- Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
- Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, vol. 193(1), pages 1-16.
- Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
- M. Hashem Pesaran & Qiankun Zhou, 2018.
"Estimation of time-invariant effects in static panel data models,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(10), pages 1137-1171, November.
- M. Hashem Pesaran & Qiankun Zhou, 2014. "Estimation of Time-invariant Effects in Static Panel Data Models," CESifo Working Paper Series 4983, CESifo.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2010.
"Loch linear fitting under near epoch dependence: uniform consistency with convergence rate,"
LSE Research Online Documents on Economics
58160, London School of Economics and Political Science, LSE Library.
- Degui Li & Oliver Linton & Zudi Lu, 2010. "Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate," STICERD - Econometrics Paper Series 549, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Abadie, Alberto & Athey, Susan & Imbens, Guido W. & Wooldridge, Jeffrey M., 2017.
"Sampling-Based vs. Design-Based Uncertainty in Regression Analysis,"
Research Papers
3349, Stanford University, Graduate School of Business.
- Alberto Abadie & Susan Athey & Guido W. Imbens & Jeffrey M. Wooldridge, 2017. "Sampling-based vs. Design-based Uncertainty in Regression Analysis," Papers 1706.01778, arXiv.org, revised Jun 2019.
- Yannick Hoga, 2022. "Quantifying the data-dredging bias in structural break tests," Statistical Papers, Springer, vol. 63(1), pages 143-155, February.
- Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022.
"A time-varying parameter model for local explosions,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 65-84.
- Francisco (F.) Blasques & Siem Jan (S.J.) Koopman & Marc Nientker, 2018. "A Time-Varying Parameter Model for Local Explosions," Tinbergen Institute Discussion Papers 18-088/III, Tinbergen Institute.
- Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023.
"Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 412-444.
- Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020. "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
- Damásio, Bruno & Nicolau, João, 2024. "Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates," Chaos, Solitons & Fractals, Elsevier, vol. 180(C).
- Tinkl, Fabian & Reichert, Katja, 2011. "Dynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returns," FAU Discussion Papers in Economics 09/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Antoine Djogbenou & Silvia Gonçalves & Benoit Perron, 2015. "Bootstrap inference in regressions with estimated factors and serial correlation," CIRANO Working Papers 2015s-20, CIRANO.
- Qiu, Jin & Ma, Qing & Wu, Lang, 2019. "A moving blocks empirical likelihood method for panel linear fixed effects models with serial correlations and cross-sectional dependences," Economic Modelling, Elsevier, vol. 83(C), pages 394-405.
- Sun, Yixiao, 2014.
"Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 659-677.
- Sun, Yixiao, 2013. "Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference," University of California at San Diego, Economics Working Paper Series qt8x8307rz, Department of Economics, UC San Diego.
- Allam, Abdelaziz & Mourid, Tahar, 2019. "Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 130-137.
- Changli He & Timo Terasvirta & Andres Gonzalez, 2009.
"Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change,"
Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 225-245.
- He, Changli & Teräsvirta, Timo & González, Andres, 2002. "Testing parameter constancy in stationary vector autoregressive models against continuous change," SSE/EFI Working Paper Series in Economics and Finance 507, Stockholm School of Economics, revised 11 Jul 2005.
- Cheng, Suli & Chen, Jianbao, 2023. "GMM estimation of partially linear additive spatial autoregressive model," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
- Marcelo C. Medeiros & Eduardo F. Mendes, 2017.
"Adaptive LASSO estimation for ARDL models with GARCH innovations,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 622-637, October.
- Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "Adaptative LASSO estimation for ARDL models with GARCH innovations," Textos para discussão 637, Department of Economics PUC-Rio (Brazil).
- Barbara Rossi & Atsushi Inoue, 2012.
"Out-of-Sample Forecast Tests Robust to the Choice of Window Size,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 432-453, April.
- Rossi, Barbara & Inoue, Atsushi, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers 8542, C.E.P.R. Discussion Papers.
- Atsushi Inoue & Barbara Rossi, 2011. "Out-of-sample forecast tests robust to the choice of window size," Working Papers 11-31, Federal Reserve Bank of Philadelphia.
- Barbara Rossi & Atsushi Inoue, 2012. "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers 1404, Department of Economics and Business, Universitat Pompeu Fabra.
- Koo, Chao, 2018. "Essays on functional coefficient models," Other publications TiSEM ba87b8a5-3c55-40ec-967d-9, Tilburg University, School of Economics and Management.
- George Kapetanios & Zacharias Psaradakis, 2016. "Semiparametric Sieve-Type Generalized Least Squares Inference," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 951-985, June.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023.
"A GMM approach to estimate the roughness of stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
- Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "A GMM approach to estimate the roughness of stochastic volatility," Papers 2010.04610, arXiv.org, revised Apr 2022.
- Yong Bao & Gucheng Li & Xiaotian Liu, 2024. "A Spatial Sample Selection Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 928-950, August.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Kejriwal, Mohitosh & Perron, Pierre, 2008.
"The limit distribution of the estimates in cointegrated regression models with multiple structural changes,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 59-73, September.
- Mohitosh Kejriwal & Pierre Perron, 2006. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series WP2006-064, Boston University - Department of Economics.
- Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
- Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
- Paulo Parente & Richard Smith, 2012.
"Exogeneity in semiparametric moment condition models,"
CeMMAP working papers
CWP30/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers 30/12, Institute for Fiscal Studies.
- Vanessa Berenguer-Rico & Bent Nielsen, 2015. "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers 2015-W09, Economics Group, Nuffield College, University of Oxford.
- Andrews, Donald W.K. & Guggenberger, Patrik, 2017.
"Asymptotic Size Of Kleibergen’S Lm And Conditional Lr Tests For Moment Condition Models,"
Econometric Theory, Cambridge University Press, vol. 33(5), pages 1046-1080, October.
- Donald W. K. Andrews & Patrik Guggenberger, 2014. "Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models," Cowles Foundation Discussion Papers 1977, Cowles Foundation for Research in Economics, Yale University.
- Zacharias Psaradakis & Marián Vávra, 2022.
"Using Triples to Assess Symmetry Under Weak Dependence,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1538-1551, October.
- Zacharias Psaradakis & Marian Vavra, 2020. "On Using Triples to Assess Symmetry Under Weak Dependence," Working and Discussion Papers WP 7/2020, Research Department, National Bank of Slovakia.
- PERRON, Benoît, 1999. "Jumps in the Volatility of Financial Markets," Cahiers de recherche 9912, Universite de Montreal, Departement de sciences economiques.
- G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2020. "Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 927-948, September.
- George Kapetanios, 2003. "A New Nonparametric Test of Cointegration Rank," Working Papers 482, Queen Mary University of London, School of Economics and Finance.
- Schumann, Martin & Severini, Thomas A. & Tripathi, Gautam, 2023. "The role of score and information bias in panel data likelihoods," Journal of Econometrics, Elsevier, vol. 235(2), pages 1215-1238.
- Carlos Martins-Filho & Feng Yao & Maximo Torero, 2015. "High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 907-958, December.
- Yixiao Sun, 2014.
"Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation,"
Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 23-63,
Emerald Group Publishing Limited.
- Sun, Yixiao, 2014. "Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation," University of California at San Diego, Economics Working Paper Series qt8479f4s2, Department of Economics, UC San Diego.
- J. Isaac Miller, 2010. "Cointegrating regressions with messy regressors and an application to mixed‐frequency series," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 255-277, July.
- Li, Jia & Patton, Andrew J., 2018.
"Asymptotic inference about predictive accuracy using high frequency data,"
Journal of Econometrics, Elsevier, vol. 203(2), pages 223-240.
- Jia Li & Andrew J. Patton, 2013. "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers 13-27, Duke University, Department of Economics.
- repec:zbw:bofrdp:2009_018 is not listed on IDEAS
- del Hoyo, J & Llorente, J Guillermo, 2001. "Asset Pricing Models, Specification Search, and Stability Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 17(2-3), pages 219-237, June.
- repec:esx:essedp:761 is not listed on IDEAS
- Mariia Artemova & Francisco Blasques & Siem Jan Koopman, 2023. "A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors," Tinbergen Institute Discussion Papers 23-021/III, Tinbergen Institute.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Vincent Barnett, 2006. "Chancing an interpretation: Slutsky's random cycles revisited," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 13(3), pages 411-432.
- Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- James Davidson, 2007. "A Review of: “Book Review: Mathematical and Statistical Foundations”," Econometric Reviews, Taylor & Francis Journals, vol. 26(5), pages 605-607.
- Silvia Goncalves & Michael W. McCracken & Yongxu Yao, 2023. "Bootstrapping out-of-sample predictability tests with real-time data," Working Papers 2023-029, Federal Reserve Bank of St. Louis, revised 03 Sep 2024.
- Ye Li & Pierre Perron, 2017.
"Inference on locally ordered breaks in multiple regressions,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 289-353, March.
- Ye Li & Pierre Perron, 2012. "Inference on Locally Ordered Breaks in Multiple Regressions," Boston University - Department of Economics - Working Papers Series wp2015-013, Boston University - Department of Economics, revised 02 Feb 2015.
- Federico A. Bugni & Jia Li & Qiyuan Li, 2023. "Permutation‐based tests for discontinuities in event studies," Quantitative Economics, Econometric Society, vol. 14(1), pages 37-70, January.
- Bing Su & Fukang Zhu & Ke Zhu, 2023. "Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables," Papers 2301.06658, arXiv.org.
- Harold D Chiang & Bruce E Hansen & Yuya Sasaki, 2022. "Standard errors for two-way clustering with serially correlated time effects," Papers 2201.11304, arXiv.org, revised Dec 2023.
- Pentti Saikkonen & Rickard Sandberg, 2016.
"Testing for a Unit Root in Noncausal Autoregressive Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 99-125, January.
- Saikkonen, Pentti & Sandberg, Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Research Discussion Papers 26/2013, Bank of Finland.
- Travis D. Nesmith, 2005. "Solving stochastic money-in-the-utility-function models," Finance and Economics Discussion Series 2005-52, Board of Governors of the Federal Reserve System (U.S.).
- Li, Jia & Liao, Zhipeng, 2020. "Uniform nonparametric inference for time series," Journal of Econometrics, Elsevier, vol. 219(1), pages 38-51.
- Hamdi Raissi, 2022. "On the dependence structure of the trade/no trade sequence of illiquid assets," Papers 2203.08223, arXiv.org.
- Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation for Research in Economics, Yale University, revised Jul 2010.
- George Kapetanios, 2003. "Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models," Working Papers 494, Queen Mary University of London, School of Economics and Finance.
- In Choi, 2019.
"Unit Root Tests for Dependent Micropanels,"
The Japanese Economic Review, Japanese Economic Association, vol. 70(2), pages 145-167, June.
- In Choi, 2019. "Unit Root Tests for Dependent Micropanels," The Japanese Economic Review, Springer, vol. 70(2), pages 145-167, June.
- Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.
- Harold D. Chiang & Yuya Sasaki & Yulong Wang, 2023. "Genuinely Robust Inference for Clustered Data," Papers 2308.10138, arXiv.org, revised Jan 2025.
- Jooyoung Cha, 2024. "Local Projections Inference with High-Dimensional Covariates without Sparsity," Papers 2402.07743, arXiv.org, revised Oct 2024.
- Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2011.
"Volatility Trends and Optimal Portfolios: the Case of Agricultural Commodities,"
DEOS Working Papers
1113, Athens University of Economics and Business.
- Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos, 2011. "Volatility Trends and Optimal Portfolios: the Case of Agricultural Commodities," MPRA Paper 122420, University Library of Munich, Germany.
- Tommaso Proietti, 2024. "Ups and (Draw)Downs," CEIS Research Paper 576, Tor Vergata University, CEIS, revised 03 May 2024.
- Alexander Mayer & Michael Massmann, 2023. "Least squares estimation in nonstationary nonlinear cohort panels with learning from experience," Papers 2309.08982, arXiv.org, revised Jan 2025.
- Bai, Jushan & Liao, Yuan, 2017. "Inferences in panel data with interactive effects using large covariance matrices," Journal of Econometrics, Elsevier, vol. 200(1), pages 59-78.
- Martínez, Oscar, 2003.
"Threshold integrated moving average models: does size matter? maybe so,"
DE - Documentos de Trabajo. EconomÃa. DE
16008, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Oscar Martin & Jesus Gonzalo, 2004. "Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)," Econometric Society 2004 North American Winter Meetings 145, Econometric Society.
- Cizek, P., 2004.
"Asymptotics of Least Trimmed Squares Regression,"
Discussion Paper
2004-72, Tilburg University, Center for Economic Research.
- Cizek, P., 2004. "Asymptotics of Least Trimmed Squares Regression," Other publications TiSEM dab5d551-aca6-40bf-b92e-c, Tilburg University, School of Economics and Management.
- Hao Jin & Si Zhang & Jinsuo Zhang, 2017. "Spurious regression due to neglected of non-stationary volatility," Computational Statistics, Springer, vol. 32(3), pages 1065-1081, September.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Lanne, Markku & Saikkonen, Pentti, 2013.
"Noncausal Vector Autoregression,"
Econometric Theory, Cambridge University Press, vol. 29(3), pages 447-481, June.
- Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Bank of Finland Research Discussion Papers 18/2009, Bank of Finland.
- Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal Vector Autoregression," MPRA Paper 23717, University Library of Munich, Germany.
- Stypka, Oliver & Wagner, Martin & Grabarczyk, Peter & Kawka, Rafael, 2017. "The Asymptotic Validity of "Standard" Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions," Economics Series 333, Institute for Advanced Studies.
- repec:wrk:wrkemf:06 is not listed on IDEAS
- repec:wyi:journl:002091 is not listed on IDEAS
- Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
- Ke-Li Xu, 2023. "Local Projection Based Inference under General Conditions," CAEPR Working Papers 2023-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Chochola, Ondřej & Hušková, Marie & Prášková, Zuzana & Steinebach, Josef G., 2013. "Robust monitoring of CAPM portfolio betas," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 374-395.
- Yacouba Boubacar Maïnassara & Youssef Esstafa & Bruno Saussereau, 2021. "Estimating FARIMA models with uncorrelated but non-independent error terms," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 549-608, October.
- Tamalika Koley & Anup Dewanji, 2024. "Use of Additional Information for Current Status Data with Two Competing Risks and Missing Failure Types," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 86(2), pages 477-505, November.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023.
"Extensions to IVX methods of inference for return predictability,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Paulo M.M. Rodrigues & Matei Demetrescu, 2021. "Extensions to IVX methods of inference for return predictability," Working Papers w202104, Banco de Portugal, Economics and Research Department.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Extensions to IVX Methods of Inference for Return Predictability," Essex Finance Centre Working Papers 29779, University of Essex, Essex Business School.
- Jin, Fei & Lee, Lung-fei, 2013. "Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 590-616.
- Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
- Jos'e Luis Montiel Olea & Mikkel Plagborg-M{o}ller, 2020. "Local Projection Inference is Simpler and More Robust Than You Think," Papers 2007.13888, arXiv.org, revised Dec 2022.
- Kurennoy, Alexey (Куренной, Алексей), 2015. "Evaluation of the Forecasting Quality [Оценка Качества Прогнозирования]," Published Papers mak7, Russian Presidential Academy of National Economy and Public Administration.
- Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart, 2021. "Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics," CREATES Research Papers 2021-12, Department of Economics and Business Economics, Aarhus University.
- Bennedsen, Mikkel & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D., 2023. "Inference and forecasting for continuous-time integer-valued trawl processes," Journal of Econometrics, Elsevier, vol. 236(2).
- Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
- In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Jun 2011.
- George Kapetanios & Laura Serlenga & Yongcheol Shin, 2023. "Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects," Empirical Economics, Springer, vol. 64(6), pages 2611-2659, June.
- Rossi, Barbara & Inoue, Atsushi & Jin, Lu, 2014. "Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," CEPR Discussion Papers 10168, C.E.P.R. Discussion Papers.
- Travis D. Nesmith, 2024. "Revisiting Risky Money," Finance and Economics Discussion Series 2024-090, Board of Governors of the Federal Reserve System (U.S.).
- Matei Demetrescu & Christoph Hanck, 2011. "Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 256-264, October.
- George Kapetanios, 2005. "Tests for Deterministic Parametric Structural Change in Regression Models," Working Papers 539, Queen Mary University of London, School of Economics and Finance.
- repec:bgu:wpaper:0603 is not listed on IDEAS
- Djogbenou, Antoine & Sufana, Razvan, 2024.
"Tests for group-specific heterogeneity in high-dimensional factor models,"
Journal of Multivariate Analysis, Elsevier, vol. 199(C).
- Antoine Djogbenou & Razvan Sufana, 2021. "Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models," Papers 2109.09049, arXiv.org, revised Feb 2022.
- Li, Liyao & Yang, Zhenlin, 2020. "Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity," Regional Science and Urban Economics, Elsevier, vol. 81(C).
- Katerina Chrysikou & George Kapetanios, 2024. "Heterogeneous Grouping Structures in Panel Data," Papers 2407.19509, arXiv.org.
- Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2024. "Unbounded heteroscedasticity in autoregressive models," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
- George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," LSE Research Online Documents on Economics 68839, London School of Economics and Political Science, LSE Library.
- Mika Meitz & Pentti Saikkonen, 2022. "Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity," Papers 2205.11953, arXiv.org, revised Apr 2023.
- Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
- Tuvaandorj, Purevdorj, 2020. "Regression discontinuity designs, white noise models, and minimax," Journal of Econometrics, Elsevier, vol. 218(2), pages 587-608.
- Xu, Xingbai & Lee, Lung-fei, 2015. "Maximum likelihood estimation of a spatial autoregressive Tobit model," Journal of Econometrics, Elsevier, vol. 188(1), pages 264-280.
- Mehmet Caner & Xu Han, 2014. "Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 359-374, July.
- George Kapetanios, 2007. "A Test for Serial Dependence Using Neural Networks," Working Papers 609, Queen Mary University of London, School of Economics and Finance.
- Matei Demetrescu & Christoph Roling & Anna Titova, 2021. "Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 151-161, January.
- Ying Fang, 2013. "GMM with Weak Identification and Near Exogenneity," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
- Mynbaev, Kairat, 2003. "Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends," MPRA Paper 18448, University Library of Munich, Germany, revised 2005.
- Don S. Poskitt, 2020. "On GMM Inference: Partial Identification, Identification Strength, and Non-Standard," Monash Econometrics and Business Statistics Working Papers 40/20, Monash University, Department of Econometrics and Business Statistics.
- Vurukonda Sathish & Siuli Mukhopadhyay & Rashmi Tiwari, 2022. "Autoregressive and moving average models for zero‐inflated count time series," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(2), pages 190-218, May.
- Chambers, MJ, 2016. "The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests," Economics Discussion Papers 16062, University of Essex, Department of Economics.
- Li, Kunpeng & Cui, Guowei & Lu, Lina, 2020. "Efficient estimation of heterogeneous coefficients in panel data models with common shocks," Journal of Econometrics, Elsevier, vol. 216(2), pages 327-353.
- Porto Rogério F. & Morettin Pedro A. & Aubin Elisete C. Q., 2012. "Regression with Autocorrelated Errors Using Design-Adapted Haar Wavelets," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-30, May.
- Granger, Clive W J, 1995. "Modelling Nonlinear Relationships between Extended-Memory Variables," Econometrica, Econometric Society, vol. 63(2), pages 265-279, March.
- Duplinskiy, A., 2014. "Is regularization necessary? A Wald-type test under non-regular conditions," Research Memorandum 025, Maastricht University, Graduate School of Business and Economics (GSBE).
- Dominik Wied, 2017. "A nonparametric test for a constant correlation matrix," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1157-1172, November.
- Telschow, Fabian J.E. & Davenport, Samuel & Schwartzman, Armin, 2022. "Functional delta residuals and applications to simultaneous confidence bands of moment based statistics," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
- Marie Hušková & Zuzana Prášková & Josef G. Steinebach, 2022. "Estimating a gradual parameter change in an AR(1)-process," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(7), pages 771-808, October.