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Robust methods for detecting multiple level breaks in autocorrelated time series
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 157 (2010) 2, pp. 342-358
Persistent link: https://www.econbiz.de/10008662998
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Averaging estimators for autoregressions with a near unit root
Hansen, Bruce E. - In: Journal of econometrics 158 (2010) 1, pp. 142-155
Persistent link: https://www.econbiz.de/10008826867
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Testing for individual effects in autoregressive models
Holtz-Eakin, Douglas - In: Journal of econometrics 39 (1988) 3, pp. 297-307
Persistent link: https://www.econbiz.de/10003580383
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Multivariate contemporaneous-threshold autoregressive models
Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-325
Persistent link: https://www.econbiz.de/10009242250
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Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331
Persistent link: https://www.econbiz.de/10011348447
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Least squares estimation in a simple random coefficient autoregressive model
Johansen, Søren; Lange, Theis - In: Journal of econometrics 177 (2013) 2, pp. 285-288
Persistent link: https://www.econbiz.de/10010255147
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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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Estimating multiple breaks in nonstationary autoregressive models
Pang, Tianxiao; Du, Lingjie; Chong, Terence Tai-Leung - In: Journal of econometrics 221 (2021) 1, pp. 277-311
Persistent link: https://www.econbiz.de/10012618836
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Model averaging prediction for time series models with a diverging number of parameters
Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu - In: Journal of econometrics 223 (2021) 1, pp. 190-221
Persistent link: https://www.econbiz.de/10012619966
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Inference in time series models using smoothed-clustered standard errors
Rho, Seunghwa; Vogelsang, Timothy J. - In: Journal of econometrics 224 (2021) 1, pp. 113-133
Persistent link: https://www.econbiz.de/10013275365