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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Nonlinear estimation using estimated cointegrated relations
Jong, Robert M. de - In: Journal of econometrics 101 (2001) 1, pp. 109-122
Persistent link: https://www.econbiz.de/10001545122
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Hybrid stochastic local unit roots
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 215 (2020) 1, pp. 257-285
Persistent link: https://www.econbiz.de/10012439454
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Unit root quantile autoregression testing using covariates
Galvão Júnior, Antônio Fialho - In: Journal of econometrics 152 (2009) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10003892736
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Nonstationary panel models with latent group structures and cross-section dependence
Huang, Wenxin; Jin, Sainan; Phillips, Peter C. B.; Su, … - In: Journal of econometrics 221 (2021) 1, pp. 198-222
Persistent link: https://www.econbiz.de/10012618820
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Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of econometrics 208 (2019) 2, pp. 613-637
Persistent link: https://www.econbiz.de/10012149372
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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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Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels; Valdés, J. Eduardo Vera - In: Journal of econometrics 199 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011818800
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A test of the null of integer integration against the alternative of fractional integration
Cho, Cheol-Keun; Amsler, Christine Elaine; Schmidt, Peter - In: Journal of econometrics 187 (2015) 1, pp. 217-237
Persistent link: https://www.econbiz.de/10011498931
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Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482
Persistent link: https://www.econbiz.de/10012619245