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subject:"CAPM"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~person:"Andrews, Donald W. K."
~person:"Saikkonen, Pentti"
~subject:"Cointegration"
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CAPM
Estimation theory
Cointegration
Theorie
12
Theory
12
Schätztheorie
5
Kointegration
4
VAR model
3
VAR-Modell
3
Statistical test
2
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Article
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9
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9
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Andrews, Donald W. K.
Saikkonen, Pentti
Phillips, Peter C. B.
10
Lütkepohl, Helmut
8
Chib, Siddhartha
6
Gouriéroux, Christian
6
Lee, Lung-fei
6
Li, Qi
6
Swanson, Norman R.
6
Aït-Sahalia, Yacine
5
Baltagi, Badi H.
5
Granger, C. W. J.
5
Kohn, Robert
5
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5
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4
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4
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4
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4
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4
Kleibergen, Frank
4
Paap, Richard
4
Schmidt, Peter
4
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3
Ali, Mukhtar M.
3
Boswijk, Herman Peter
3
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3
Diebold, Francis X.
3
Donald, Stephen G.
3
Franses, Philip Hans
3
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3
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3
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3
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3
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3
Horowitz, Joel
3
Hsiao, Cheng
3
Jong, Robert M. de
3
Kelejian, Harry H.
3
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3
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Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Econometric theory
15
Cowles Foundation discussion paper
12
Discussion papers of interdisciplinary research project 373
9
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
EUI working paper
4
Econometric reviews
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
The econometrics journal
3
The review of economic studies
3
Bank of Finland research discussion papers
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Nonparametric dynamic modelling
2
Discussion paper / Department of Economics, University of California San Diego
1
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1
Nonlinear econometric modeling in time series : proceedings of the Eleventh International Symposium in Economic Theory
1
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1
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ECONIS (ZBW)
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1
Residual autocorrelation testing for vector error correction models
Brüggemann, Ralf
;
Lütkepohl, Helmut
;
Saikkonen, Pentti
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 579-604
Persistent link: https://www.econbiz.de/10003374345
Saved in:
2
Stability results for nonlinear error correction models
Saikkonen, Pentti
- In:
Journal of econometrics
127
(
2005
)
1
,
pp. 69-81
Persistent link: https://www.econbiz.de/10002756922
Saved in:
3
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Lütkepohl, Helmut
;
Saikkonen, Pentti
;
Trenkler, Carsten
- In:
Journal of econometrics
113
(
2003
)
2
,
pp. 201-229
Persistent link: https://www.econbiz.de/10001738893
Saved in:
4
Evaluation of a three-step method for choosing the number of bootstrap repetitions
Andrews, Donald W. K.
;
Buchinsky, Moshe
- In:
Journal of econometrics
103
(
2001
)
1/2
,
pp. 345-386
Persistent link: https://www.econbiz.de/10001585371
Saved in:
5
Testing for the cointegrating rank of a VAR process with a time trend
Lütkepohl, Helmut
;
Saikkonen, Pentti
- In:
Journal of econometrics
95
(
2000
)
1
,
pp. 177-198
Persistent link: https://www.econbiz.de/10001432560
Saved in:
6
Hypothesis testing with a restricted parameter space
Andrews, Donald W. K.
- In:
Journal of econometrics
84
(
1998
)
1
,
pp. 155-199
Persistent link: https://www.econbiz.de/10001234468
Saved in:
7
Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lütkepohl, Helmut
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 127-157
Persistent link: https://www.econbiz.de/10001336799
Saved in:
8
Testing cointegration in infinite order vector autoregressive processes
Saikkonen, Pentti
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 93-126
Persistent link: https://www.econbiz.de/10001336800
Saved in:
9
Asymptotic optimality of generalized C L, cross-validation, and generalized cross-validation in regression with heteroskedastic errors
Andrews, Donald W. K.
- In:
Journal of econometrics
47
(
1991
)
2
,
pp. 359-377
Persistent link: https://www.econbiz.de/10001099504
Saved in:
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