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Bayesian unit root inference in the Hamilton model
Hoek, Henk; Paap, Richard - 1994
Persistent link: https://www.econbiz.de/10000560205
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Comprehensive definitions of breakdown-points for independent and dependent observations
Genton, Marc G.; Lucas, André - 2000
We provide a new definition of breakdown in finite samples with an extension to asymptotic breakdown. Previous definitions center around defining a critical region for either the parameter or the objective function. If for a particular outlier constellation the critical region is entered,...
Persistent link: https://www.econbiz.de/10011303297
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GARCH effects on a test of cointegration
Franses, Philip H.; Kofman, Paul; Moser, James - 1992
Persistent link: https://www.econbiz.de/10000122460
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On /2-optimal approximate modelling of vector time series
Roorda, Berend; Heij, Christiaan - 1993
Persistent link: https://www.econbiz.de/10000122464
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Global total least squares modelling of multivariable time series
Roorda, Berend; Heij, Christiaan - 1993
Persistent link: https://www.econbiz.de/10000122512
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Periodic cointegration : representation and inference
Boswijk, H. P.; Franses, Philip H. - 1993
Persistent link: https://www.econbiz.de/10000122531
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A note on the relationship between GARCH and symmetric stable processes
Groenendijk, Patrick A. (contributor) - 1995
Persistent link: https://www.econbiz.de/10000902084
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System identification by dynamic factor models
Heij, Christiaan - 1995
Persistent link: https://www.econbiz.de/10000904952
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Exact tests in single equation autoregressive distributed lag models
Kiviet, J. F. - 1995
Persistent link: https://www.econbiz.de/10000909000
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Bayesian analysis of an unobserved component time series model of GNP with Markov switching and time varying growths
Luginbuhl, Rob; Vos, Aart F. de - 1996
Persistent link: https://www.econbiz.de/10000938517