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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Testing a linear dynamic panel data model against nonlinear alternatives
Lee, Yoon-jin - In: Journal of econometrics 178 (2014) 1, pp. 146-166
Persistent link: https://www.econbiz.de/10010255452
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Generalized ARMA models with martingale difference errors
Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506
Persistent link: https://www.econbiz.de/10011504639
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Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - In: Journal of econometrics 224 (2021) 2, pp. 245-270
Persistent link: https://www.econbiz.de/10013275390
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Unified M-estimation of fixed-effects spatial dynamic models with short panels
Yang, Zhenlin - In: Journal of econometrics 205 (2018) 2, pp. 423-447
Persistent link: https://www.econbiz.de/10012110313
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On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Inference theory for volatility functional dependencies
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
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Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - In: Journal of econometrics 194 (2016) 1, pp. 116-137
Persistent link: https://www.econbiz.de/10011705052
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Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262
Persistent link: https://www.econbiz.de/10011705124