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Distribution of the ML estimator of an MA(1) and a local level model
Shephard, Neil G. - In: Econometric theory 9 (1993) 3, pp. 377-401
Persistent link: https://www.econbiz.de/10001151128
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Cointegration rank testing under conditional heteroskedasticity
Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1760
Persistent link: https://www.econbiz.de/10008738343
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The likelihood ratio test for cointegration ranks in the I(2) model
Bohn Nielsen, Heino; Rahbek, Anders - In: Econometric theory 23 (2007) 4, pp. 615-637
Persistent link: https://www.econbiz.de/10003549573
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On the law of large numbers for (geometrically) ergodic Markov chains
Jensen, Søren Tolver; Rahbek, Anders - In: Econometric theory 23 (2007) 4, pp. 761-766
Persistent link: https://www.econbiz.de/10003549613
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Asymptotic inference for nonstationary GARCH
Jensen, Søren Tolver; Rahbek, Anders - In: Econometric theory 20 (2004) 6, pp. 1203-1226
Persistent link: https://www.econbiz.de/10002424931
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Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 21 (2005) 5, pp. 946-961
Persistent link: https://www.econbiz.de/10003101947
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Testing and inference in nonlinear cointegrating vector erro correction models
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 29 (2013) 6, pp. 1238-1288
Persistent link: https://www.econbiz.de/10010343726
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Determining the cointegration rank in heteroskedastic VAR models of unknown order
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Econometric theory 34 (2018) 2, pp. 349-382
Persistent link: https://www.econbiz.de/10011950959
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Testing GARCH-X type models
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Econometric theory 35 (2019) 5, pp. 1012-1047
Persistent link: https://www.econbiz.de/10012146218
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A primer on bootstrap testing of hypotheses in time series models : with an application to double autoregressive models
Cavaliere, Giuseppe; Rahbek, Anders - In: Econometric theory 37 (2021) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10012437042