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Gaussian semiparametric estimation of multivariate fractionally integrated processes
Shimotsu, Katsumi - In: Journal of econometrics 137 (2007) 2, pp. 277-310
Persistent link: https://www.econbiz.de/10003441725
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Exact local Whittle estimation of fractionally cointegrated systems
Shimotsu, Katsumi - In: Journal of econometrics 169 (2012) 2, pp. 266-278
Persistent link: https://www.econbiz.de/10009673193
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Persistence-robust surplus-lag Granger causality testing
Bauer, Dietmar; Maynard, Alex - In: Journal of econometrics 169 (2012) 2, pp. 293-300
Persistent link: https://www.econbiz.de/10009673188
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Persistence-robust surplus-lag Granger causality testing
Bauer, Dietmar; Maynard, Alex - In: Journal of econometrics 169 (2012) 2, pp. 293-301
Persistent link: https://www.econbiz.de/10009987066
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Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Journal of econometrics 146 (2008) 1, pp. 92-106
Persistent link: https://www.econbiz.de/10003778224
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Local Whittle estimation of fractional integration and some of its variants
Shimotsu, Katsumi; Phillips, Peter C. B. - In: Journal of econometrics 130 (2006) 2, pp. 209-233
Persistent link: https://www.econbiz.de/10003277950
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Determining the cointegrating rank in nonstationary frational system by the exact local Whittle approach
Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596
Persistent link: https://www.econbiz.de/10003571326
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of econometrics 161 (2011) 2, pp. 110-121
Persistent link: https://www.econbiz.de/10009242200
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Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Journal of econometrics 208 (2019) 2, pp. 442-467
Persistent link: https://www.econbiz.de/10012145057
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Local Whittle estimation of fractional integration and some of its variants
Shimotsu, Katsumi; Phillips, Peter C.B. - In: Journal of econometrics 130 (2006) 2, pp. 209-234
Persistent link: https://www.econbiz.de/10006748300