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person:"Pesaran, M. Hashem"
type_genre:"Article in journal"
~person:"Andrews, Donald W. K."
~person:"Linton, Oliver"
~person:"Taylor, Robert"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Time series analysis
Estimation theory
175
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175
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63
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63
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42
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41
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Pesaran, M. Hashem
Andrews, Donald W. K.
Linton, Oliver
Taylor, Robert
Phillips, Peter C. B.
28
Leybourne, Stephen James
18
Lütkepohl, Helmut
16
Teräsvirta, Timo
16
Harvey, Andrew C.
14
Johansen, Søren
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Xiao, Zhijie
12
Baillie, Richard
10
Koop, Gary
10
Robinson, Peter M.
10
Tauchen, George Eugene
10
Zhu, Ke
10
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9
Hendry, David F.
9
Kapetanios, George
9
Li, Jia
9
Lucas, André
9
McAleer, Michael
9
Westerlund, Joakim
9
Baltagi, Badi H.
8
Bauwens, Luc
8
Chen, Xiaohong
8
Franses, Philip Hans
8
Ghysels, Eric
8
Hong, Yongmiao
8
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8
Li, Qi
8
McElroy, Tucker
8
Nielsen, Morten Ørregaard
8
Politis, Dimitris N.
8
Ramírez, Miguel D.
8
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8
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7
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Journal of econometrics
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5
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2
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ECONIS (ZBW)
42
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42
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1
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
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
Saved in:
3
A ReMeDI for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
1
,
pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
Saved in:
4
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:
5
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:
6
A score statistic for testing the presence of a stochastic trend in conditional variances
Hong, Yongmiao
;
Linton, Oliver
;
McCabe, Brendan Peter Martin
- In:
Economics letters
213
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013442141
Saved in:
7
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Linton, Oliver
;
Xiao, Zhijie
-
2019
Persistent link: https://www.econbiz.de/10012692312
Saved in:
8
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
9
Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo
;
La Vecchia, Davide
;
Linton, Oliver
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 562-588
Persistent link: https://www.econbiz.de/10012618568
Saved in:
10
A weighted sieve estimator for nonparametric time series models with nonstationary variables
Dong, Chaohua
;
Linton, Oliver
;
Peng, Bin
- In:
Journal of econometrics
222
(
2021
)
2
,
pp. 909-932
Persistent link: https://www.econbiz.de/10012619807
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