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Lower risk bounds and properties of confidence sets for ill-posed estimation problems with applications to spectral density and persistence estimation, unit roots, and estimation o...
Pötscher, Benedikt M. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1035-1065
Persistent link: https://www.econbiz.de/10001688015
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Semiparametric power envelopes for tests of the unit root hypothesis
Jansson, Michael - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 5, pp. 1103-1142
Persistent link: https://www.econbiz.de/10003765873
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Efficient tests under a weak convergence assumption
Müller, Ulrich K. - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 2, pp. 395-435
Persistent link: https://www.econbiz.de/10009012627
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Do TFP and the relative price of investment share a common I(1) component?
Benati, Luca - In: Journal of economic dynamics & control 45 (2014), pp. 239-261
Persistent link: https://www.econbiz.de/10010474428
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Conditional testing for unit-root bilinearity in financial time series : some theoretical and empirical results
Charemza, Wojciech; Lifshits, Mikhail; Makarova, Svetlana - In: Journal of economic dynamics & control 29 (2005) 1/2, pp. 63-96
Persistent link: https://www.econbiz.de/10002590137
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A simple estimator of cointegrating vectors in higher order integrated systems
Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 783-820
Persistent link: https://www.econbiz.de/10001147143
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Testing for smooth structural changes in time series models via nonparametric regression
Chen, Bin; Hong, Yongmiao - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 3, pp. 1157-1183
Persistent link: https://www.econbiz.de/10009629017
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Asymptotic distribution theory for nonparametric entropy measures of serial dependence
Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901
Persistent link: https://www.econbiz.de/10002876743
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A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669
Persistent link: https://www.econbiz.de/10003370351
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Band spectral regression with trending data
Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1067-1109
Persistent link: https://www.econbiz.de/10001688017