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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418999
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Statistical analysis of hypothesis on the cointegrating relations in the I(2) model
Johansen, Søren - In: Journal of econometrics 132 (2006) 1, pp. 81-115
Persistent link: https://www.econbiz.de/10003320246
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Saddlepoint approximations for continuous-time Markov processes
Aït-Sahalia, Yacine; Yu, Jialin - In: Journal of econometrics 134 (2006) 2, pp. 507-551
Persistent link: https://www.econbiz.de/10003374338
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Asymptotic theory for iterated one-step Huber-skip estimators
Johansen, Søren; Nielsen, Bent - 2011
Persistent link: https://www.econbiz.de/10009377349
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Edgeworth expansions for realized volatility and related estimators
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - In: Journal of econometrics 160 (2011) 1, pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
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Semiparametric estimation in triangular system equations with nonstationarity
Gao, Jiti; Phillips, Peter C. B. - In: Journal of econometrics 176 (2013) 1, pp. 59-79
Persistent link: https://www.econbiz.de/10009764384
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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - 2012
Persistent link: https://www.econbiz.de/10009667400
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Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjostheim, Dag - 2013
Persistent link: https://www.econbiz.de/10009790613
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Least squares estimation in a simple random coefficient autoregressive model
Johansen, Søren; Lange, Theis - In: Journal of econometrics 177 (2013) 2, pp. 285-288
Persistent link: https://www.econbiz.de/10010255147