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isPartOf:"Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques"
subject:"Estimation theory"
~isPartOf:"CREATES research paper"
~person:"Kristensen, Dennis"
~person:"Nielsen, Morten Ørregaard"
~subject:"Stochastic process"
~subject:"United States"
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Estimation theory
Stochastic process
United States
Schätztheorie
23
Time series analysis
15
Zeitreihenanalyse
15
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Bootstrap approach
5
Bootstrap-Verfahren
5
Estimation
5
Schätzung
5
Cointegration
4
Kointegration
4
Statistical test
4
Statistischer Test
4
Stochastischer Prozess
4
Cluster analysis
3
Clusteranalyse
3
Heteroscedasticity
3
Heteroskedastizität
3
Induktive Statistik
3
Regional cluster
3
Regionales Cluster
3
Statistical inference
3
Volatility
3
Volatilität
3
cluster-robust variance estimator
3
nonstationarity
3
wild cluster bootstrap
3
ARCH model
2
ARCH-Modell
2
Asymptotic normality
2
Core
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Modellierung
2
Scientific modelling
2
Theorie
2
Theory
2
clustered data
2
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Arbeitspapier
23
Graue Literatur
23
Non-commercial literature
23
Working Paper
23
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English
23
Author
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Kristensen, Dennis
Nielsen, Morten Ørregaard
Gouriéroux, Christian
13
Robert, Christian P.
12
Teräsvirta, Timo
11
Johansen, Søren
10
Guégan, Dominique
8
Podolskij, Mark
7
Zakoïan, Jean-Michel
7
Cattaneo, Matias D.
6
Jansson, Michael
6
Kruse, Robinson
6
Monfort, Alain
6
Christensen, Bent Jesper
5
Christensen, Kim
5
Francq, Christian
5
Hounyo, Ulrich
5
Philippe, Anne
5
Varneskov, Rasmus Tangsgaard
5
Andersen, Torben
4
Berred, Alexandre M.
4
Comte, Fabienne
4
Guerre, Emmanuel
4
Hillebrand, Eric
4
Jasiak, Joann
4
Lunde, Asger
4
MacKinnon, James G.
4
Rahbek, Anders
4
Robin, Jean-Marc
4
Santucci de Magistris, Paolo
4
Silvennoinen, Annastiina
4
Taylor, Robert
4
Bennedsen, Mikkel
3
Billio, Monica
3
Broze, Laurence
3
Cavaliere, Giuseppe
3
Crump, Richard K.
3
Darolles, Serge
3
Ghysels, Eric
3
Hardouin, C.
3
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
CREATES research paper
Queen's Economics Department working paper
23
Journal of econometrics
15
Econometric theory
7
CEMMAP working papers / Centre for Microdata Methods and Practice
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
The econometrics journal
4
CREATES Research Paper
3
Discussion papers / Department of Economics, University of Copenhagen
3
Journal of empirical finance
3
Univ. of Copenhagen Dept. of Economics Discussion Paper
3
Discussion paper series / LSE Financial Markets Group
2
Journal of applied econometrics
2
Barcelona GSE working paper series : working paper
1
CAE working paper
1
CREATES Research Paper 2007-1
1
CREATES Research Paper 2008-58
1
Columbia economics discussion paper series / Department of Economics, Columbia University
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
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ECONIS (ZBW)
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1
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
2
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
Saved in:
3
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189456
Saved in:
4
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
5
Wild Bootstrap and Asymptotic Inference with Multiway Clustering
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
-
2020
Persistent link: https://www.econbiz.de/10012317779
Saved in:
6
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2020
Persistent link: https://www.econbiz.de/10012317784
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
9
Asymptotic theory and wild bootstrap inference with clustered errors
Djogbenou, Antoine A.
;
MacKinnon, James G.
;
Nielsen, …
-
2019
Persistent link: https://www.econbiz.de/10012063541
Saved in:
10
Diffusion copulas : identification and estimation
Bu, Ruijun
;
Hadri, Kaddour
;
Kristensen, Dennis
-
2018
Persistent link: https://www.econbiz.de/10011913721
Saved in:
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