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Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - In: Journal of econometrics 201 (2017) 2, pp. 322-332
Persistent link: https://www.econbiz.de/10011920505
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Asymptotics for panel quantile regression models with individual effects
Kato, Kengo; Galvão Júnior, Antônio Fialho; … - In: Journal of econometrics 170 (2012) 1, pp. 76-91
Persistent link: https://www.econbiz.de/10009673139
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Quantile regression for dynamic panel data with fixed effects
Galvão Júnior, Antônio Fialho - In: Journal of econometrics 164 (2011) 1, pp. 142-157
Persistent link: https://www.econbiz.de/10009270393
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Evaluating DSGE model forecasts of comovements
Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 171 (2012) 2, pp. 152-166
Persistent link: https://www.econbiz.de/10009691168
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Bootstrap inference in systems of single equation error correction models
Herwartz, Helmut; Neumann, Michael H. - In: Journal of econometrics 128 (2005) 1, pp. 165-193
Persistent link: https://www.econbiz.de/10003002296
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Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua - In: Journal of econometrics 235 (2023) 2, pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
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Uniform inference for value functions
Firpo, Sérgio Pinheiro; Galvão Júnior, Antônio Fialho; … - In: Journal of econometrics 235 (2023) 2, pp. 1680-1699
Persistent link: https://www.econbiz.de/10014471422
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High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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Unit root quantile autoregression testing using covariates
Galvão Júnior, Antônio Fialho - In: Journal of econometrics 152 (2009) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10003892736