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Testing the permanent income hypothesis using a general rational lag formulation

Baillie, Richard T.; McMahon, Patrick C.; Smyth, David J. - In: Economics Letters 5 (1980) 1, pp. 39-43

Persistent link: https://www.econbiz.de/10005361795

Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates

Baillie, Richard T. - In: Economics Letters 13 (1983) 2-3, pp. 201-206

Persistent link: https://www.econbiz.de/10005095434

Nonlinear autoregressive models and long memory

Kapetanios, George - In: Economics Letters 91 (2006) 3, pp. 360-368

Persistent link: https://www.econbiz.de/10005297141

Estimating deterministically time-varying variances in regression models

Kapetanios, George - In: Economics Letters 97 (2007) 2, pp. 97-104

Persistent link: https://www.econbiz.de/10005307261

Nonlinear mean reversion in real exchange rates

Chortareas, Georgios E.; Kapetanios, George; Shin, Yongcheol - In: Economics Letters 77 (2002) 3, pp. 411-417

Persistent link: https://www.econbiz.de/10005307565

A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset

Kapetanios, George - In: Economics Letters 85 (2004) 1, pp. 63-69

Persistent link: https://www.econbiz.de/10005361865

A note on an iterative least-squares estimation method for ARMA and VARMA models

Kapetanios, George - In: Economics Letters 79 (2003) 3, pp. 305-312

Persistent link: https://www.econbiz.de/10005355920

Forecasting using predictive likelihood model averaging

Kapetanios, George; Labhard, Vincent; Price, Simon - In: Economics Letters 91 (2006) 3, pp. 373-379

Persistent link: https://www.econbiz.de/10005257524

Cross-sectional averaging and instrumental variable estimation with many weak instruments

Kapetanios, George; Marcellino, Massimiliano - In: Economics Letters 108 (2010) 1, pp. 36-39

The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.

Persistent link: https://www.econbiz.de/10008494874

Small sample properties of the conditional least squares estimator in SETAR models

Kapetanios, George - In: Economics Letters 69 (2000) 3, pp. 267-276

Persistent link: https://www.econbiz.de/10005095370