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Parsimony inducing priors for large scale state-space models
Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - In: Journal of econometrics 230 (2022) 1, pp. 39-61
Persistent link: https://www.econbiz.de/10013441913
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Journal of econometrics 158 (2010) 1, pp. 51-66
Persistent link: https://www.econbiz.de/10008826876
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An invarant sign test for random walks based on recursive median adjustment
So, Beong Soo; Shin, Dong-wan - In: Journal of econometrics 102 (2001) 2, pp. 197-229
Persistent link: https://www.econbiz.de/10001580614
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On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
Burridge, Peter; Taylor, Robert - In: Journal of econometrics 104 (2001) 1, pp. 91-117
Persistent link: https://www.econbiz.de/10001589527
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - In: Journal of econometrics 123 (2004) 1, pp. 89-120
Persistent link: https://www.econbiz.de/10002223733
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Variable selection for high-dimensional regression models with time series and heteroscedastic errors
Chiou, Hai-Tang; Guo, Meihui; Ing, Ching-Kang - In: Journal of econometrics 216 (2020) 1, pp. 118-136
Persistent link: https://www.econbiz.de/10012439653
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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
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R-estimation in semiparametric dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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The effect of data transformation on common cycle, cointegration and unit root tests : Monte Carlo results and a simple test
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 132 (2006) 1, pp. 195-229
Persistent link: https://www.econbiz.de/10003320260
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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