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Testing for smooth structural changes in time series models via nonparametric regression
Chen, Bin; Hong, Yongmiao - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 3, pp. 1157-1183
Persistent link: https://www.econbiz.de/10009629017
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Bootstrap determination of the co-integration rank in vector autoregressive models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1721-1740
Persistent link: https://www.econbiz.de/10009629515
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Copulas and temporal dependence
Beare, Brendan K. - In: Econometrica : journal of the Econometric Society, an … 78 (2010) 1, pp. 395-410
Persistent link: https://www.econbiz.de/10003989270
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Lower risk bounds and properties of confidence sets for ill-posed estimation problems with applications to spectral density and persistence estimation, unit roots, and estimation o...
Pötscher, Benedikt M. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1035-1065
Persistent link: https://www.econbiz.de/10001688015
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Band spectral regression with trending data
Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1067-1109
Persistent link: https://www.econbiz.de/10001688017
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Spatial price competition : a semiparametric approach
Pinkse, Joris; Slade, Margaret Emily; Brett, Craig - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1111-1153
Persistent link: https://www.econbiz.de/10001688043
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Adapting to unknown disturbance autocorrelation in regression with long memory
Hidalgo, Javier; Robinson, Peter M. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 4, pp. 1545-1581
Persistent link: https://www.econbiz.de/10001688094
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Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions
Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 1133-1150
Persistent link: https://www.econbiz.de/10003346183
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Asymptotic distribution theory for nonparametric entropy measures of serial dependence
Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901
Persistent link: https://www.econbiz.de/10002876743
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Optimal bandwidth selection in heteroskedasticity- autocorrelation robust testing
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 1, pp. 175-194
Persistent link: https://www.econbiz.de/10003726590