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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
Yu, Jihai; Jong, Robert M. de; Lee, Lung-fei - In: Journal of econometrics 146 (2008) 1, pp. 118-134
Persistent link: https://www.econbiz.de/10003778230
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GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
Lee, Lung-fei - In: Journal of econometrics 137 (2007) 2, pp. 489-514
Persistent link: https://www.econbiz.de/10003441944
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Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 160-175
Persistent link: https://www.econbiz.de/10009242527
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On the bootstrap for Moran’s I test for spatial dependence
Jin, Fei; Lee, Lung-fei - In: Journal of econometrics 184 (2015) 2, pp. 295-314
Persistent link: https://www.econbiz.de/10011339326
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Estimating a spatial autoregressive model with an endogenous spatial weight matrix
Qu, Xi; Lee, Lung-fei - In: Journal of econometrics 184 (2015) 2, pp. 209-232
Persistent link: https://www.econbiz.de/10011339357
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Efficient GMM estimation of spatial dynamic panel data models with fixed effects
Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 180 (2014) 2, pp. 174-197
Persistent link: https://www.econbiz.de/10010433390
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Large sample properties of the matrix exponential spatial specification with an application to FDI
Debarsy, Nicolas; Jin, Fei; Lee, Lung-fei - In: Journal of econometrics 188 (2015) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011500241
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Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Aït-Sahalia, Yacine; Bickel, Peter J.; Stoker, Thomas … - In: Journal of econometrics 105 (2001) 2, pp. 363-412
Persistent link: https://www.econbiz.de/10001633671
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Semiparametric two-stage estimation of sample selection models subject to Tobit-type selection rules
Lee, Lung-fei - In: Journal of econometrics 61 (1994) 2, pp. 305-344
Persistent link: https://www.econbiz.de/10001155767