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Lag length selection for unit root tests in the presence of nonstationary volatility

Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - In: Econometric reviews 34 (2015) 1/5, pp. 512-536

Persistent link: https://www.econbiz.de/10011373261

Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Boswijk, Herman Peter; Cavaliere, Giuseppe; De Angelis, Luca - In: Econometric reviews 42 (2023) 9/10, pp. 725-757

Persistent link: https://www.econbiz.de/10014420355

Inference for impulse response coefficients from multivariate fractionally integrated processes

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84

Persistent link: https://www.econbiz.de/10011794639

Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

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The effective sample size

Berger, James O.; Bayarri, M. J.; Pericchi, Luis R. - In: Econometric reviews 33 (2014) 1/4, pp. 197-217

Persistent link: https://www.econbiz.de/10010358312

Limit theory for VARs with mixed roots near unity

Phillips, Peter C. B.; Lee, Ji Hyung - In: Econometric reviews 34 (2015) 6/10, pp. 1035-1056

Persistent link: https://www.econbiz.de/10011483449

Lassoing the HAR model : a model selection perspective on realized volatility dynamics

Audrino, Francesco; Knaus, Simon D. - In: Econometric reviews 35 (2016) 8/10, pp. 1485-1521

Persistent link: https://www.econbiz.de/10011592369

Forecasting macroeconomic variables using neural network models and three automated model selection techniques

Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779

Persistent link: https://www.econbiz.de/10011592391

Multistep forecast selection for panel data

Greenaway-McGrevy, Ryan - In: Econometric reviews 39 (2020) 4, pp. 373-406

Persistent link: https://www.econbiz.de/10012181429

Semi-automatic Non-linear Model selection

Castle, Jennifer; Hendry, David - Department of Economics, Oxford University - 2013

We consider model selection for non-linear dynamic equations with more candidate variables than observations, based on a general class of non-linear-in-the-variables functions, addressing possible location shifts by impulse-indicator saturation. After an automatic search delivers a simplified...

Persistent link: https://www.econbiz.de/10011004135