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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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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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Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331
Persistent link: https://www.econbiz.de/10011348447
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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Averaging estimators for autoregressions with a near unit root
Hansen, Bruce E. - In: Journal of econometrics 158 (2010) 1, pp. 142-155
Persistent link: https://www.econbiz.de/10008826867
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Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
Lin, Yingqian; Tu, Yundong - In: Journal of econometrics 219 (2020) 1, pp. 52-65
Persistent link: https://www.econbiz.de/10012483188
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A residual-based ADF test for stationary cointegration in I (2) settings
Gomez-Biscarri, Javier; Hualde, Javier - In: Journal of econometrics 184 (2015) 2, pp. 280-294
Persistent link: https://www.econbiz.de/10011339328
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Instrumental variable and variable addition based inference in predictive regressions
Breitung, Jörg; Demetrescu, Matei - In: Journal of econometrics 187 (2015) 1, pp. 358-375
Persistent link: https://www.econbiz.de/10011499478
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Unit root quantile autoregression testing using covariates
Galvão Júnior, Antônio Fialho - In: Journal of econometrics 152 (2009) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10003892736