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Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
Kim, Dukpa; Oka, Tatsushi; Estrada, Francisco; Perron, … - In: Journal of econometrics 214 (2020) 1, pp. 130-152
Persistent link: https://www.econbiz.de/10012438315
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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; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Quantile treatment effects in difference in differences models under dependence restrictions and with only two time periods
Callaway, Brantly; Li, Tong; Oka, Tatsushi - In: Journal of econometrics 206 (2018) 2, pp. 395-413
Persistent link: https://www.econbiz.de/10012110398
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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Simple tests for stock return predictability with good size and power properties
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 224 (2021) 1, pp. 198-214
Persistent link: https://www.econbiz.de/10013275372