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Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lütkepohl, Helmut - In: Journal of econometrics 81 (1997) 1, pp. 127-157
Persistent link: https://www.econbiz.de/10001336799
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Local polynomial estimators of the volatility function in nonparametric autoregression
Härdle, Wolfgang - In: Journal of econometrics 81 (1997) 1, pp. 223-242
Persistent link: https://www.econbiz.de/10001336796
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Testing cointegration in infinite order vector autoregressive processes
Saikkonen, Pentti - In: Journal of econometrics 81 (1997) 1, pp. 93-126
Persistent link: https://www.econbiz.de/10001336800
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Local power of likelihood ratio tests for the cointegrating rank of a VAR process
Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 15 (1999) 1, pp. 50-78
Persistent link: https://www.econbiz.de/10001381809
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Continuous weak convergence and stochastic equicontinuity results for integrated processes with an application to the estimation of a regression model
Saikkonen, Pentti - In: Econometric theory 9 (1993) 2, pp. 155-188
Persistent link: https://www.econbiz.de/10001143743
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Estimation and testing of cointegrated systems by an autoregressive approximation
Saikkonen, Pentti - In: Econometric theory 8 (1992) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001126812
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Point optimal tests for testing the order of differencing in ARIMA models
Saikkonen, Pentti - In: Econometric theory 9 (1993) 3, pp. 343-362
Persistent link: https://www.econbiz.de/10001151130
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Testing a parametric model against a semiparametric alternative
Horowitz, Joel - In: Econometric theory 10 (1994) 5, pp. 821-848
Persistent link: https://www.econbiz.de/10001175056
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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Wang, Weining; Yu, Lining - In: Journal of econometrics 192 (2016) 2, pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
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A bootstrap test for positive definiteness of income effect matrices
Härdle, Wolfgang - In: Econometric theory 8 (1992) 2, pp. 276-290
Persistent link: https://www.econbiz.de/10001128732