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Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers
Ferreira, José T. A. S.; Steel, Mark F. J. - In: Journal of econometrics 137 (2007) 2, pp. 641-673
Persistent link: https://www.econbiz.de/10003442034
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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 134 (2006) 2, pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Journal of econometrics 158 (2010) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
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Efficient tests of the seasonal unit root hypothesis
Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 141 (2007) 2, pp. 548-573
Persistent link: https://www.econbiz.de/10003571323
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Mixtures of g-priors for Bayesian model averaging with economic applications
Ley, Eduardo; Steel, Mark F. J. - In: Journal of econometrics 171 (2012) 2, pp. 251-266
Persistent link: https://www.econbiz.de/10009691149
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Stick-breaking autoregressive processes
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 162 (2011) 2, pp. 383-396
Persistent link: https://www.econbiz.de/10009270620
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Tests of stationarity against a change in persistence
Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 123 (2004) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10002223712
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Semiparametric Bayesian inference for stochastic frontier models
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 123 (2004) 1, pp. 121-152
Persistent link: https://www.econbiz.de/10002223753
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Alternative efficiency measures for multiple-output production
Fernández, Carmen; Koop, Gary; Steel, Mark F. J. - In: Journal of econometrics 126 (2005) 2, pp. 411-444
Persistent link: https://www.econbiz.de/10002647874