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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~language:"eng"
~person:"Bugni, Federico A."
~person:"Jong, Robert M. de"
~person:"Leybourne, Stephen James"
~person:"Saikkonen, Pentti"
~person:"Taylor, Robert"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Method of moments
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
31
Schätztheorie
31
Time series analysis
16
Theorie
13
Theory
13
Heteroscedasticity
4
Heteroskedastizität
4
Statistical test
4
Statistischer Test
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Einheitswurzeltest
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Structural break
3
Strukturbruch
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Autocorrelation
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Bootstrap approach
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Bootstrap-Verfahren
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Causality analysis
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Estimation
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Induktive Statistik
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Kausalanalyse
2
Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
2
Momentenmethode
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Nichtparametrisches Verfahren
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Nonparametric statistics
2
Schätzung
2
VAR model
2
VAR-Modell
2
Volatility
2
Volatilität
2
ARMA model
1
ARMA-Modell
1
Cointegration
1
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Bugni, Federico A.
Jong, Robert M. de
Leybourne, Stephen James
Saikkonen, Pentti
Taylor, Robert
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Linton, Oliver
8
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Phillips, Peter C. B.
7
Chan, Ngai Hang
6
Kristensen, Dennis
6
Horváth, Lajos
5
Politis, Dimitris N.
5
Andersen, Torben
4
Christensen, Kim
4
Francq, Christian
4
Gao, Jiti
4
Kanaya, Shin
4
MacKinnon, James G.
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Zakoïan, Jean-Michel
4
Zhang, Rongmao
4
Asai, Manabu
3
Chambers, Marcus J.
3
Chen, Xiaohong
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Guggenberger, Patrik
3
Hafner, Christian M.
3
Hahn, Jinyong
3
Hualde, Javier
3
Kock, Anders Bredahl
3
Kokoszka, Piotr
3
Kruse, Robinson
3
Lee, Lung-fei
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CREATES research paper
Econometric theory
Journal of time series econometrics
Journal of econometrics
16
CEMMAP working papers / Centre for Microdata Methods and Practice
6
Queen's Economics Department working paper
4
Economics letters
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Quantitative economics : QE ; journal of the Econometric Society
3
An Elgar reference collection
2
Journal of forecasting
2
Nonparametric dynamic modelling
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The international library of critical writings in econometrics
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Annales d'économie et de statistique
1
Bank of Finland Research Discussion Paper
1
CREATES Research Paper 2008-30
1
CREDIT research paper
1
Discussion papers / Deutsches Institut für Wirtschaftsforschung
1
Discussion papers of interdisciplinary research project 373
1
ERID working paper
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Econometric reviews
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economic research paper / Loughborough University, Department of Economics
1
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
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Federal Reserve Bank of Cleveland working paper series
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HECER Discussion Paper
1
Journal of empirical finance
1
NBER working paper series
1
Oxford bulletin of economics and statistics
1
Structural econometric models
1
The econometrics journal
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University of Chicago, Becker Friedman Institute for Economics Working Paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
1
Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
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1
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
2
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
3
A property of the Hodrick-Prescott filter and its application
Sakarya, Neslihan
;
Jong, Robert M. de
- In:
Econometric theory
36
(
2020
)
5
,
pp. 840-870
Persistent link: https://www.econbiz.de/10012307241
Saved in:
4
Inference in partially identified models with many moment inequalities using Lasso
Bugni, Federico A.
;
Caner, Mehmet
;
Kock, Anders Bredahl
; …
-
2016
Persistent link: https://www.econbiz.de/10011474717
Saved in:
5
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
6
Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku
;
Meitz, Mika
;
Saikkonen, Pentti
-
2015
Persistent link: https://www.econbiz.de/10010514606
Saved in:
7
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1201-1233
Persistent link: https://www.econbiz.de/10012149284
Saved in:
8
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
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
9
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe
;
Georgiev, Iliyan
;
Taylor, Robert
- In:
Econometric theory
34
(
2018
)
2
,
pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
Saved in:
10
Identification and inference on regressions with missing covariate data
Aucejo, Esteban
;
Bugni, Federico A.
;
Hotz, Vincent Joseph
- In:
Econometric theory
33
(
2017
)
1
,
pp. 196-241
Persistent link: https://www.econbiz.de/10011665286
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