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High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
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Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
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Efficient estimation and filtering for multivariate jump-diffusions
Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10012619970
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An exact discrete analog of an open linear nonstationary first-order continuous-time system with mixed sampe
Agbeyegbe, Terence D. - In: Journal of econometrics 39 (1988) 3, pp. 237-250
Persistent link: https://www.econbiz.de/10003465283
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Testing for seasonal unit roots by frequency domain regression
Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, Robert - In: Journal of econometrics 178 (2014) 1, pp. 243-258
Persistent link: https://www.econbiz.de/10010256166
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Index models with integrated time series
Chang, Yoosoon; Park, Joon Y. - In: Journal of econometrics 114 (2003) 1, pp. 73-106
Persistent link: https://www.econbiz.de/10001738918
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Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
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Linear double autoregression
Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
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On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538