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The SR approach : a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
Andreasen, Martin Møller; Christensen, Bent Jesper - In: Journal of econometrics 184 (2015) 2, pp. 420-451
Persistent link: https://www.econbiz.de/10011339282
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The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Magnus, Jan R. - In: Journal of econometrics 42 (1989) 2, pp. 157-179
Persistent link: https://www.econbiz.de/10001071077
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Consistent maximum-likelihood estimation with dependent observations : the general (non-normal) case
Heymans, Risto D. H.; Magnus, Jan R. - In: Journal of econometrics 32 (1986) 2, pp. 253-285
Persistent link: https://www.econbiz.de/10003577655
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The exact multi-period mean-square forecast error for the first-order autoregressive model
Hoque, Asraul; Magnus, Jan R.; Pesaran, Bahram - In: Journal of econometrics 39 (1988) 3, pp. 327-346
Persistent link: https://www.econbiz.de/10003580961
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Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 197 (2017) 2, pp. 218-244
Persistent link: https://www.econbiz.de/10011818356
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Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - In: Journal of econometrics 194 (2016) 1, pp. 116-137
Persistent link: https://www.econbiz.de/10011705052
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On the harm that ignoring pretesting can cause
Danilov, Dmitry L.; Magnus, Jan R. - In: Journal of econometrics 122 (2004) 1, pp. 27-46
Persistent link: https://www.econbiz.de/10002136485
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Inference in non-linear panel models with partially missing observations : the case of the equilibrium search model
Christensen, Bent Jesper - In: Journal of econometrics 79 (1997) 2, pp. 201-219
Persistent link: https://www.econbiz.de/10001335932
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The sensitivity of OLS when the variance matrix is (partially) unknown
Banerjee, Anurag Narayan; Magnus, Jan R. - In: Journal of econometrics 92 (1999) 2, pp. 295-323
Persistent link: https://www.econbiz.de/10001400172