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A blocking and regularization approach to high-dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C. A. - In: Journal of applied econometrics 27 (2012) 4, pp. 625-645
Persistent link: https://www.econbiz.de/10009618510
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
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A regularization approach to common correlated effects estimation
Juodis, Artūras - In: Journal of applied econometrics 37 (2022) 4, pp. 788-810
Persistent link: https://www.econbiz.de/10013332722
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Econometric regime shifts and the US subprime bubble
Anundsen, André Kallåk - In: Journal of applied econometrics 30 (2015) 1, pp. 145-169
Persistent link: https://www.econbiz.de/10011327643
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Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; … - In: Journal of applied econometrics 28 (2013) 1, pp. 62-81
Persistent link: https://www.econbiz.de/10009733363
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
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Distribution approximations for cointegration tests with stationary exogenous regressors
Boswijk, Herman Peter; Doornik, Jurgen A. - In: Journal of applied econometrics 20 (2005) 6, pp. 797-810
Persistent link: https://www.econbiz.de/10003168945
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Adaptive estimation of cointegrated models : simulation evidence and an application to the forward exchange market
Hodgson, Douglas J. - In: Journal of applied econometrics 14 (1999) 6, pp. 627-650
Persistent link: https://www.econbiz.de/10001440633
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Panel unit root tests and spatial dependence
Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - In: Journal of applied econometrics 22 (2007) 2, pp. 339-360
Persistent link: https://www.econbiz.de/10003455449
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A unified approach to standardized-residuals-based correlation tests for GARCH-type models
Chen, Yi-ting - In: Journal of applied econometrics 23 (2008) 1, pp. 111-133
Persistent link: https://www.econbiz.de/10003682856