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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels; Valdés, J. Eduardo Vera - In: Journal of econometrics 199 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011818800
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Trend stationarity in the I(2) cointegration model
Rahbek, Anders; Kongsted, Hans Christian; Jørgensen, … - In: Journal of econometrics 90 (1999) 2, pp. 265-289
Persistent link: https://www.econbiz.de/10001382131
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
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K-state switching models with time-varying transition distributions : does loan growth signal stronger effects of variables on inflation?
Kaufmann, Sylvia - In: Journal of econometrics 187 (2015) 1, pp. 82-94
Persistent link: https://www.econbiz.de/10011498759
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Detection of change in persistence of a linear time series
Kim, Chae-yŏng - In: Journal of econometrics 95 (2000) 1, pp. 97-116
Persistent link: https://www.econbiz.de/10001432520
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Accelerating score-driven time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - In: Journal of econometrics 212 (2019) 2, pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
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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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Editorial: Recent advances in nonstationary time series : a festschrift in honor of Peter C.B. Phillips
Mariano, Roberto S.; Xiao, Zhijie; Yu, Jun - In: Journal of econometrics 169 (2012) 2, pp. 139-141
Persistent link: https://www.econbiz.de/10009671398
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Recent Advances in nonstationary time series : a Festschrift in honor of Peter C. B. Phillips
Mariano, Roberto S. (contributor);  … - 2012
Persistent link: https://www.econbiz.de/10009671554