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Stochastic Limit Theory: An Introduction for Econometricians

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  1. Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios, 2022. "High Dimensional Generalised Penalised Least Squares," Papers 2207.07055, arXiv.org, revised Oct 2023.
  2. 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.
  3. 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.
  4. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
  5. 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.
  6. Alaa Abi Morshed & Elena Andreou & Otilia Boldea, 2018. "Structural Break Tests Robust to Regression Misspecification," Econometrics, MDPI, vol. 6(2), pages 1-39, May.
  7. Ghysels, Eric & Guay, Alain, 2003. "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, vol. 115(1), pages 91-123, July.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Su, Liangjun, 2012. "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 167(2), pages 543-560.
  16. 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.
  17. Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
  18. 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.
  19. 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.
  20. 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.
  21. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
  22. 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).
  23. 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.
  24. 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.
  25. Rossi, Barbara & Sekhposyan, Tatevik, 2019. "Alternative tests for correct specification of conditional predictive densities," Journal of Econometrics, Elsevier, vol. 208(2), pages 638-657.
  26. 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.
  27. Jianbao Chen & Suli Cheng, 2021. "GMM Estimation of a Partially Linear Additive Spatial Error Model," Mathematics, MDPI, vol. 9(6), pages 1-28, March.
  28. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. Timo Dimitriadis & Yannick Hoga, 2023. "Regressions under Adverse Conditions," Papers 2311.13327, arXiv.org, revised Feb 2025.
  34. 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.
  35. David Mills & Francesca Carapella, 2012. "Information insensitive securities: the benefits of central counterparties," 2012 Meeting Papers 1032, Society for Economic Dynamics.
  36. 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.
  37. 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.
  38. 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.
  39. Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018. "Using generalized estimating equations to estimate nonlinear models with spatial data," Papers 1810.05855, arXiv.org.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. 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.
  45. 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.
  46. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends in unobserved components models," Papers 2005.03988, arXiv.org, revised May 2020.
  47. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research.
  48. Vadim Marmer, 2012. "Linear processes: properties and asymptotic results (in Russian)," Quantile, Quantile, issue 10, pages 33-56, December.
  49. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
  50. Jesús Mur & Jørgen Lauridsen, 2007. "Outliers and Spatial Dependence in Cross-Sectional Regressions," Environment and Planning A, , vol. 39(7), pages 1752-1769, July.
  51. 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.
  52. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
  53. 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.
  54. 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.
  55. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016. "Structural analysis with Multivariate Autoregressive Index models," Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
  56. 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.
  57. Oka, Tatsushi & Perron, Pierre, 2018. "Testing for common breaks in a multiple equations system," Journal of Econometrics, Elsevier, vol. 204(1), pages 66-85.
  58. 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.
  59. 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.
  60. 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.
  61. repec:zbw:rwirep:0434 is not listed on IDEAS
  62. 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.
  63. Ulrich K. Müller & Mark W. Watson, 2015. "Low-Frequency Econometrics," NBER Working Papers 21564, National Bureau of Economic Research, Inc.
  64. 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.
  65. 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.
  66. Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
  67. 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.
  68. Michelacci, Claudio & Zaffaroni, Paolo, 2000. "(Fractional) beta convergence," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
  69. 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.
  70. 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.
  71. 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.
  72. 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.
  73. 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.
  74. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019. "A General Framework for Prediction in Time Series Models," Papers 1902.01622, arXiv.org.
  75. 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.
  76. Okui, Ryo & Yanagi, Takahide, 2019. "Panel data analysis with heterogeneous dynamics," Journal of Econometrics, Elsevier, vol. 212(2), pages 451-475.
  77. 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.
  78. Dante Amengual & Xinyue Bei & Enrique Sentana, 2020. "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers wp2020_2002, CEMFI.
  79. 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.
  80. Davidson, James, 2020. "A new consistency proof for HAC variance estimators," Economics Letters, Elsevier, vol. 186(C).
  81. 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.
  82. 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.
  83. 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.
  84. 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.
  85. T. Arduini, 2016. "Distribution Free Estimation of Spatial Autoregressive Binary Choice Panel Data Models," Working Papers wp1052, Dipartimento Scienze Economiche, Universita' di Bologna.
  86. 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.
  87. 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.
  88. 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.
  89. Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
  90. 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.
  91. Kojevnikov, Denis & Marmer, Vadim & Song, Kyungchul, 2021. "Limit theorems for network dependent random variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 882-908.
  92. 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.
  93. 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.
  94. 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.
  95. 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.
  96. 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.
  97. 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.
  98. 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.
  99. Chudik, Alexander & Pesaran, M. Hashem, 2011. "Infinite-dimensional VARs and factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 4-22, July.
  100. 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.
  101. 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.
  102. 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.
  103. 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.
  104. 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.
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  106. 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.
  107. Yannick Hoga, 2024. "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers 2410.05861, arXiv.org.
  108. 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.
  109. 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.
  110. 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.
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  112. Čížek, Pavel, 2012. "Semiparametric robust estimation of truncated and censored regression models," Journal of Econometrics, Elsevier, vol. 168(2), pages 347-366.
  113. 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.
  114. 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.
  115. 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.
  116. Francisco Blasques & Christian Francq & Sébastien Laurent, 2020. "A New Class of Robust Observation-Driven Models," Tinbergen Institute Discussion Papers 20-073/III, Tinbergen Institute.
  117. 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).
  118. 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.
  119. 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.
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  121. 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.
  122. 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.
  123. 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.
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  125. 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.
  126. 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.
  127. 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.
  128. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
  129. 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.
  130. 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.
  131. 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.
  132. Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017. "Robust Forecast Comparison," Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
  133. 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.
  134. Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
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