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Vector autoregressive moving average identification for macroeconomic modeling : a new methodology
Poskitt, Donald Stephen - In: Journal of econometrics 192 (2016) 2, pp. 468-484
Persistent link: https://www.econbiz.de/10011704730
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Forecasting financial and macroeconomic variables using data reduction methods : new empirical evidence
Kim, Hyun Hak; Swanson, Norman R. - In: Journal of econometrics 178 (2014) 1, pp. 352-367
Persistent link: https://www.econbiz.de/10010256842
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Portmanteau-type tests for unit-root and cointegration
Zhang, Rongmao; Chan, Ngai Hang - In: Journal of econometrics 207 (2018) 2, pp. 307-324
Persistent link: https://www.econbiz.de/10012116354
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Minimax-regret sample design in anticipation of missing data, with application to panel data
Dominitz, Jeff; Manski, Charles F. - In: Journal of econometrics 226 (2022) 1, pp. 104-114
Persistent link: https://www.econbiz.de/10013440521
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CRPS learning
Berrisch, Jonathan; Ziel, Florian - In: Journal of econometrics 237 (2023) 2,3, pp. 1-24
Persistent link: https://www.econbiz.de/10014471798
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesran, M. Hashem; Smith, L. Vanessa - In: Journal of econometrics 208 (2019) 2, pp. 507-534
Persistent link: https://www.econbiz.de/10012145084
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Infinite Markov pooling of predictive distributions
Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321
Persistent link: https://www.econbiz.de/10013441752
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High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
Chen, Dachuan - In: Journal of econometrics 240 (2024) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10015075056
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Subsampling vector autoregressive tests of linear constraints
Choi, In - In: Journal of econometrics 124 (2005) 1, pp. 55-89
Persistent link: https://www.econbiz.de/10002439389