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Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo; Seo, Myung Hwan - In: Journal of econometrics 188 (2015) 1, pp. 166-181
Persistent link: https://www.econbiz.de/10011500287
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Optimal model averaging based on forward-validation
Zhang, Xiaomeng; Zhang, Xinyu - In: Journal of econometrics 237 (2023) 2,3, pp. 1-20
Persistent link: https://www.econbiz.de/10014471810
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R-estimation in semiparametric dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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Tailored randomized block MCMC methods with application to DSGE models
Chib, Siddhartha; Ramamurthy, Srikanth - In: Journal of econometrics 155 (2010) 1, pp. 19-38
Persistent link: https://www.econbiz.de/10003965375
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 161 (2011) 2, pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
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Complete subset regressions
Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of econometrics 177 (2013) 2, pp. 357-373
Persistent link: https://www.econbiz.de/10010255136
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Volatility puzzles: a simple framework for gauging return-volatility regressions
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 131 (2006) 1/2, pp. 123-150
Persistent link: https://www.econbiz.de/10003298567
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Time-varying model averaging
Sun, Yuying; Hong, Yongmiao; Lee, Tae-hwy; Wang, Shouyang; … - In: Journal of econometrics 222 (2021) 2, pp. 974-992
Persistent link: https://www.econbiz.de/10012619810
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Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 210 (2019) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
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Estimation of large dimensional factor models with an unknown number of breaks
Ma, Shujie; Su, Liangjun - In: Journal of econometrics 207 (2018) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012116087