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Rolling window selection for out-of-sample forecasting with time-varying parameters
Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67
Persistent link: https://www.econbiz.de/10011743498
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The estimation of continuous time models with mixed frequency data
Chambers, Marcus J. - In: Journal of econometrics 193 (2016) 2, pp. 390-404
Persistent link: https://www.econbiz.de/10011704956
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - In: Journal of econometrics 231 (2022) 2, pp. 500-519
Persistent link: https://www.econbiz.de/10013464909
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Testing for short- and long-run causality : a frequency-domain approach
Breitung, Jörg; Candelon, Bertrand - In: Journal of econometrics 132 (2006) 2, pp. 363-378
Persistent link: https://www.econbiz.de/10003348759
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The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.; Zhang, Lan; Chen, Dachuan - In: Journal of econometrics 208 (2019) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
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Individual and time effects in nonlinear panel models with large N, T
Fernández-Val, Iván; Weidner, Martin - In: Journal of econometrics 192 (2016) 1, pp. 291-312
Persistent link: https://www.econbiz.de/10011617154
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Estimation of integrated quadratic covariation with endogenous sampling times
Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41
Persistent link: https://www.econbiz.de/10011818337
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Moment-based tests for individual and time effects in panel data models
Wu, Jianhong; Li, Guodong - In: Journal of econometrics 178 (2014) 1, pp. 569-581
Persistent link: https://www.econbiz.de/10010256863
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Time reversibility of stationary regular finite-state Markov chains
McCausland, William J. - In: Journal of econometrics 136 (2007) 1, pp. 303-318
Persistent link: https://www.econbiz.de/10003401659
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786