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Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
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Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 192 (2016) 2, pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - In: Journal of econometrics 178 (2014) 1, pp. 273-285
Persistent link: https://www.econbiz.de/10010256161
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Inference on impulse response functions in structural VAR models
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
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Methods for measuring expectations and uncertainty in Markov-switching models
Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99
Persistent link: https://www.econbiz.de/10011591621
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Dynamics between the budget deficit and the government debt in the United States : a nonlinear analysis
Ahmed, Haydory Akbar - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 93-109
Persistent link: https://www.econbiz.de/10012594179
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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304
Persistent link: https://www.econbiz.de/10011818296
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Infinite order cross-validated local polynomial regression
Hall, Peter; Racine, Jeffrey - In: Journal of econometrics 185 (2015) 2, pp. 510-525
Persistent link: https://www.econbiz.de/10011348953
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Distribution theory of the least squares averaging estimator
Liu, Chu-An - In: Journal of econometrics 186 (2015) 1, pp. 142-159
Persistent link: https://www.econbiz.de/10011349521
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557
Persistent link: https://www.econbiz.de/10010256867