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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Economics letters"
~isPartOf:"Journal of time series econometrics"
~language:"eng"
~person:"Francq, Christian"
~person:"Hualde, Javier"
~person:"Hyndman, Rob J."
~person:"Linton, Oliver"
~person:"McCabe, Brendan Peter Martin"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"generalized polynomial trend"
~subject:"nonstationarity"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Method of moments
Statistical inference
Zeitreihenanalyse
generalized polynomial trend
nonstationarity
Estimation theory
36
Schätztheorie
36
Theorie
11
Theory
11
Time series analysis
11
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Regression analysis
6
Regressionsanalyse
6
Asymptotic normality
2
Volatility
2
Volatilität
2
consistency
2
deterministic trend
2
fractional process
2
noninvertibility
2
ARMA model
1
ARMA-Modell
1
Autocorrelation
1
Autokorrelation
1
Bias
1
Core
1
Estimation
1
Fractional integration
1
GARCH
1
IV-Schätzung
1
Induktive Statistik
1
Instrumental variables
1
Large-m and fixed-m asymptotic theory
1
Long run variance estimation
1
Momentenmethode
1
Probability theory
1
Robust statistics
1
Robustes Verfahren
1
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18
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2
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2
Working Paper
2
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English
Author
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Francq, Christian
Hualde, Javier
Hyndman, Rob J.
Linton, Oliver
McCabe, Brendan Peter Martin
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Baltagi, Badi H.
8
Phillips, Peter C. B.
8
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Han, Chirok
7
Leybourne, Stephen James
7
Taylor, Robert
7
Chan, Ngai Hang
6
Hahn, Jinyong
6
Hassler, Uwe
6
Kristensen, Dennis
6
Lee, Lung-fei
6
Saikkonen, Pentti
6
Gao, Jiti
5
Hayakawa, Kazuhiko
5
Horváth, Lajos
5
Politis, Dimitris N.
5
Rahbek, Anders
5
Su, Liangjun
5
Andersen, Torben
4
Chambers, Marcus J.
4
Christensen, Kim
4
Gørgens, Tue
4
Hafner, Christian M.
4
Hall, Alastair R.
4
Jin, Fei
4
Kanaya, Shin
4
Kruse, Robinson
4
Krämer, Walter
4
Li, Qi
4
MacKinnon, James G.
4
Okui, Ryo
4
Pesaran, M. Hashem
4
Podolskij, Mark
4
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CREATES research paper
Econometric theory
Economics letters
Journal of time series econometrics
Journal of econometrics
23
Working paper / Department of Econometrics and Business Statistics, Monash University
19
CEMMAP working papers / Centre for Microdata Methods and Practice
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Cambridge working papers in economics
8
Econometrics papers
5
International journal of forecasting
4
Janeway Institute working paper series
3
Handbook of financial time series
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Queen's Economics Department working paper
2
Annals of economics and statistics
1
Cambridge-INET working papers
1
Cowles Foundation discussion paper
1
Discussion papers in economics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The econometrics journal
1
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ECONIS (ZBW)
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1
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:
2
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
3
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:
4
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:
5
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
- In:
Econometric theory
36
(
2020
)
4
,
pp. 751-772
Persistent link: https://www.econbiz.de/10012258429
Saved in:
6
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
7
Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
Hualde, Javier
;
Iacone, Fabrizio
- In:
Economics letters
150
(
2017
),
pp. 39-43
Persistent link: https://www.econbiz.de/10011762253
Saved in:
8
Averaging of an increasing number of moment condition estimators
Chen, Xiaohong
;
Jacho-Chávez, David T.
;
Linton, Oliver
- In:
Econometric theory
32
(
2016
)
1
,
pp. 30-70
Persistent link: https://www.econbiz.de/10011578413
Saved in:
9
Estimation of and inference about the expected shortfall for time series with infinite variance
Linton, Oliver
;
Xiao, Zhijie
- In:
Econometric theory
29
(
2013
)
4
,
pp. 771-807
Persistent link: https://www.econbiz.de/10010210161
Saved in:
10
Local linear fitting under near epoch dependence : uniform consistency with convergence rates
Li, Degui
;
Lu, Zu-di
;
Linton, Oliver
- In:
Econometric theory
28
(
2012
)
5
,
pp. 935-958
Persistent link: https://www.econbiz.de/10009714729
Saved in:
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