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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~isPartOf:"Working paper series"
~person:"Asai, Manabu"
~person:"Canepa, Alessandra"
~person:"Nielsen, Bent"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Bartlett correction"
~subject:"Estimation theory"
~subject:"Robustes Verfahren"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Bartlett correction
Estimation theory
Robustes Verfahren
Stochastischer Prozess
Zeitreihenanalyse
Schätztheorie
14
Time series analysis
10
Cointegration
5
Kointegration
5
Bootstrap approach
4
Bootstrap-Verfahren
4
LR test
3
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cointegration
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quasi-maximum likelihood estimation
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1-step Huber-skip
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ARMA model
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ARMA process
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ARMA-Modell
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Analysis of variance
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Bootstrap methods
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Chebychev estimator
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Cointegrating vectors
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Dickey-Fuller Tests
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Gegenbauer process
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General solution
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Asai, Manabu
Canepa, Alessandra
Nielsen, Bent
Kohn, Robert
23
Sheather, Simon J.
23
Phillips, Peter C. B.
22
Linton, Oliver
20
Nielsen, Morten Ørregaard
18
Johansen, Søren
15
Jansson, Michael
12
Kristensen, Dennis
12
Lee, Lung-fei
12
Hettmansperger, Thomas P.
11
McKean, Joseph W.
11
Teräsvirta, Timo
11
Cattaneo, Matias D.
10
Cavaliere, Giuseppe
10
Saikkonen, Pentti
10
Li, Qi
9
Taylor, Robert
9
White, Halbert
9
Andrews, Donald W. K.
8
Chen, Songnian
8
Newey, Whitney K.
8
Pötscher, Benedikt M.
8
Wand, M. P.
8
Ansley, Craig F.
7
Chan, Ngai Hang
7
Francq, Christian
7
Gao, Jiti
7
Horváth, Lajos
7
Jong, Robert M. de
7
Kanaya, Shin
7
Otsu, Taisuke
7
Podolskij, Mark
7
Rahbek, Anders
7
Varneskov, Rasmus Tangsgaard
7
Wang, Qiying
7
Wooldridge, Jeffrey M.
7
Zakoïan, Jean-Michel
7
Chambers, Marcus J.
6
Christensen, Bent Jesper
6
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6
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper series
Economics discussion papers
14
Econometrics : open access journal
6
Discussion papers / Department of Economics, University of Copenhagen
5
Department of Economics discussion paper series / University of Oxford
4
Univ. of Copenhagen Dept. of Economics Discussion Paper
3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
CREATES Research Paper 2008-9
1
Discussion papers in economics and business
1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics and finance working paper series
1
Financial engineering and the Japanese markets
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
The methodology and practice of econometrics : a Festschrift in honour of David F. Hendry
1
Tinbergen Institute Discussion Paper 2017-105/III
1
University of Copenhagen Economics Discussion Paper
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ECONIS (ZBW)
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1
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
2
Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra
- In:
Journal of time series econometrics
14
(
2022
)
1
,
pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
Saved in:
3
Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra
-
2021
Persistent link: https://www.econbiz.de/10013167436
Saved in:
4
Bootstrap Bartlett adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra
-
2020
Persistent link: https://www.econbiz.de/10012386989
Saved in:
5
Improvement on the LR test statistic on the cointegrating relations in VAR models : bootstrap methods and applications
Canepa, Alessandra
-
2020
Persistent link: https://www.econbiz.de/10012386990
Saved in:
6
Unified theory for the large family of time varying models with arma representations : one solution fits all
Karanasos, Menelaos
;
Paraskevopoulos, Athanasios
; …
-
2020
Persistent link: https://www.econbiz.de/10012387088
Saved in:
7
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
8
The analysis of marked and weighted empirical processes of estimated residuals
Berenguer-Rico, Vanessa
;
Johansen, Søren
;
Nielsen, Bent
-
2019
Persistent link: https://www.econbiz.de/10012063555
Saved in:
9
Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
Berenguer-Rico, Vanessa
;
Johansen, Søren
;
Nielsen, Bent
-
2019
Persistent link: https://www.econbiz.de/10012316436
Saved in:
10
Cumulated sum of squares statistics for nonlinear and nonstationary regressions
Berenguer-Rico, Vanessa
;
Nielsen, Bent
- In:
Econometric theory
36
(
2020
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10012156782
Saved in:
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