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Alternative estimators and unit root tests for seasonal autoregressive processes
Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 120 (2004) 1, pp. 35-73
Persistent link: https://www.econbiz.de/10001998863
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Efficient tests of the seasonal unit root hypothesis
Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 141 (2007) 2, pp. 548-573
Persistent link: https://www.econbiz.de/10003571323
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
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Residual-augmented IVX predictive regression
Demetrescu, Matei; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 2, pp. 429-460
Persistent link: https://www.econbiz.de/10013442118
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The persistence of wages
Carneiro, Anabela; Portugal, Pedro; Raposo, Pedro; … - In: Journal of econometrics 233 (2023) 2, pp. 596-611
Persistent link: https://www.econbiz.de/10014362666
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Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. - In: Journal of econometrics 235 (2023) 2, pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
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Extensions to IVX methods of inference for return predictability
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
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Transformed regression-based long-horizon predictability tests
Demetrescu, Matei; Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 237 (2023) 2,3, pp. 1-37
Persistent link: https://www.econbiz.de/10014471812