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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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Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
Psaradakis, Zacharias G. - In: Journal of econometrics 86 (1998) 2, pp. 369-386
Persistent link: https://www.econbiz.de/10001243479
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On the power of tests for superexogeneity and structural invariance
Psaradakis, Zacharias G. - In: Journal of econometrics 72 (1996) 1, pp. 151-175
Persistent link: https://www.econbiz.de/10001198020
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On the power of tests for superexogeneity and structural invariance
Psaradakis, Zacharias; Sola, Martin - In: Journal of econometrics 72 (1996) 1-2, pp. 151-176
Persistent link: https://www.econbiz.de/10006794100
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Multivariate contemporaneous-threshold autoregressive models
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-326
Persistent link: https://www.econbiz.de/10008770533
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Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71
Persistent link: https://www.econbiz.de/10003783785
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Making a match : combining theory and evidence in policy-oriented macroeconomic modeling
Kapetanios, George; Pagan, Adrian R.; Scott, Andrew - In: Journal of econometrics 136 (2007) 2, pp. 565-594
Persistent link: https://www.econbiz.de/10003412676
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Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
Blake, Andrew P.; Kapetanios, George - In: Journal of econometrics 137 (2007) 2, pp. 472-488
Persistent link: https://www.econbiz.de/10003441933
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Panels with non-stationary multifactor error structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of econometrics 160 (2011) 2, pp. 326-348
Persistent link: https://www.econbiz.de/10009242244
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Inference on stochastic time-varying coefficient models
Giraitis, Liudas; Kapetanios, George; Yates, Anthony - In: Journal of econometrics 179 (2014) 1, pp. 46-65
Persistent link: https://www.econbiz.de/10010258276