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Testing parameter constancy in unit root autoregressive models against multiple continuous structural changes
He, Changli; Sandberg, Rickard - In: Econometric reviews 31 (2012) 1/3, pp. 34-59
Persistent link: https://www.econbiz.de/10009515974
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On the power of bootstrapped specification tests
Domínguez, Manuel A. - In: Econometric reviews 23 (2004) 3, pp. 215-228
Persistent link: https://www.econbiz.de/10002263068
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665
Persistent link: https://www.econbiz.de/10011592382
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Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis - In: Econometric reviews 39 (2020) 4, pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823
Persistent link: https://www.econbiz.de/10012040412