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subject:"Schätztheorie"
~language:"eng"
~person:"Andrews, Donald W. K."
~person:"Perron, Pierre"
~person:"Robinson, Peter M."
~subject:"ARCH-Modell"
~subject:"Time series analysis"
~type:"article"
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Schätztheorie
ARCH-Modell
Time series analysis
Theorie
142
Theory
142
Estimation theory
61
Zeitreihenanalyse
48
Statistical theory
21
Statistische Methodenlehre
21
Structural break
13
Strukturbruch
13
Statistical test
11
Statistischer Test
11
Cointegration
10
Kointegration
10
Nichtparametrisches Verfahren
10
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10
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8
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Econometrics
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Method of moments
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Schätzung
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IV-Schätzung
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Andrews, Donald W. K.
Perron, Pierre
Robinson, Peter M.
Phillips, Peter C. B.
77
Franses, Philip Hans
63
McAleer, Michael
48
Gil-Alaña, Luis A.
42
Granger, C. W. J.
35
Pesaran, M. Hashem
35
Lütkepohl, Helmut
33
Ghysels, Eric
31
Koop, Gary
30
Hendry, David F.
29
Koopman, Siem Jan
28
Leybourne, Stephen James
28
Li, Qi
28
Newey, Whitney K.
28
Taylor, Robert
28
Teräsvirta, Timo
28
Caporale, Guglielmo Maria
27
Harvey, Andrew C.
27
Baltagi, Badi H.
26
Engle, Robert F.
26
Herwartz, Helmut
26
Linton, Oliver
25
Swanson, Norman R.
25
Hassler, Uwe
24
Hong, Yongmiao
24
Mills, Terence C.
24
Saikkonen, Pentti
24
Giles, David E. A.
22
Hecq, Alain W. J.
22
Horowitz, Joel
22
Härdle, Wolfgang
22
Lee, Lung-fei
22
Newbold, Paul
22
Ohtani, Kazuhiro
22
Schmidt, Peter
22
Stock, James H.
22
Gouriéroux, Christian
21
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
32
Econometric theory
14
Journal of econometrics
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
The review of economic studies
7
The econometrics journal
4
Econometric reviews
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
International journal of forecasting
2
Journal of applied econometrics
2
Revista de econometria
2
Special issue on new developments in time series econometrics
2
Applied economics
1
Economic behaviour and policy choice under price stability : proceedings of a conference held at the Bank of Canada, October 1993
1
Economic time series with random walk and other nonstationary components
1
International economic review
1
Journal of economic surveys
1
NBER macroeconomics annual
1
Nonlinear statistical modeling : proceedings of the Thirteenth International Symposium in Economic Theory and Econometrics ; essays in honor of Takeshi Amemiya
1
Oxford bulletin of economics and statistics
1
Quantitative finance
1
Research in economics : an international review of economics
1
Revista española de economía
1
Robust inference
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
The review of economics and statistics
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ECONIS (ZBW)
99
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1
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99
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date (oldest first)
1
Forecasting in the presence of in-sample and out-of-sample breaks
Xu, Jiawen
;
Perron, Pierre
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 3001-3035
Persistent link: https://www.econbiz.de/10014329022
Saved in:
2
The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence
Perron, Pierre
;
Yamamoto, Yohei
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
3
,
pp. 1193-1218
Persistent link: https://www.econbiz.de/10012819527
Saved in:
3
Generalized laplace inference in multiple change-points models
Casini, Alessandro
;
Perron, Pierre
- In:
Econometric theory
38
(
2022
)
1
,
pp. 35-65
Persistent link: https://www.econbiz.de/10013166116
Saved in:
4
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 148-165
Persistent link: https://www.econbiz.de/10012424505
Saved in:
5
Continuous record Laplace-based inference about the break date in structural change models
Casini, Alessandro
;
Perron, Pierre
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 3-21
Persistent link: https://www.econbiz.de/10013275376
Saved in:
6
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
Saved in:
7
Modelling exchange rate volatility with random level shifts
Li, Ye
;
Perron, Pierre
;
Xu, Jiawen
- In:
Applied economics
49
(
2017
)
26
,
pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
Saved in:
8
Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre
;
Xu, Jiawen
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
Saved in:
9
Inference on nonstationary time series with moving mean
Gao, Jiti
;
Robinson, Peter M.
- In:
Econometric theory
32
(
2016
)
2
,
pp. 431-457
Persistent link: https://www.econbiz.de/10011578494
Saved in:
10
Measuring business cycles with structural breaks and outliers : applications to international data ☆
Perron, Pierre
;
Wada, Tatsuma
- In:
Research in economics : an international review of economics
70
(
2016
)
2
,
pp. 281-303
Persistent link: https://www.econbiz.de/10011631146
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