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language:"zho"
~language:"eng"
~language:"por"
~language:"srp"
~person:"Taylor, Robert"
~subject:"Estimation"
~subject:"VAR model"
~type:"article"
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59
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Taylor, Robert
Gil-Alaña, Luis A.
80
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40
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38
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23
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23
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8
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Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
3
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
4
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
5
Tests for an end-of-sample bubble in financial time series
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
Saved in:
6
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
Saved in:
7
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
8
Bootstrap determination of the co-integration rank in heteroskedastic var models
Cavaliere, Guiseppe
;
Rahbek, Anders
;
Taylor, Robert
- In:
Econometric reviews
33
(
2014
)
5/6
,
pp. 606-650
Persistent link: https://www.econbiz.de/10010363896
Saved in:
9
On the behavior of fixed-b trend break tests under fractional integration
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
29
(
2013
)
2
,
pp. 393-418
Persistent link: https://www.econbiz.de/10009760001
Saved in:
10
The impact of persistent cycles on zero frequency unit root tests
Barrio Castro, Tomás del
;
Rodrigues, Paulo M. M.
; …
- In:
Econometric theory
29
(
2013
)
6
,
pp. 1289-1313
Persistent link: https://www.econbiz.de/10010343724
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