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Information criteria for latent factor models : a study on factor pervasiveness and adaptivity
Guo, Xiao; Chen, Yu; Tang, Cheng Yong - In: Journal of econometrics 233 (2023) 1, pp. 237-250
Persistent link: https://www.econbiz.de/10014341042
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Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
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Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 192 (2016) 2, pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
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Determining the number of factors when the number of factors can increase with sample size
Li, Hongjun; Li, Qi; Shi, Yutang - In: Journal of econometrics 197 (2017) 1, pp. 76-86
Persistent link: https://www.econbiz.de/10011818343
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On model selection criteria for climate change impact studies
Cui, Xiaomeng; Gafarov, Bulat; Ghanem, Dalia; Kuffner, Todd - In: Journal of econometrics 239 (2024) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10015073966
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - In: Journal of econometrics 178 (2014) 1, pp. 273-285
Persistent link: https://www.econbiz.de/10010256161
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Inference on impulse response functions in structural VAR models
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
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Methods for measuring expectations and uncertainty in Markov-switching models
Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99
Persistent link: https://www.econbiz.de/10011591621
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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304
Persistent link: https://www.econbiz.de/10011818296