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The effect of microaggregation by individual ranking on the estimation of moments
Schmid, Matthias; Schneeweiß, Hans - In: Journal of econometrics 153 (2009) 2, pp. 174-182
Persistent link: https://www.econbiz.de/10003920296
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Generalized R-estimators under conditional heteroscedasticity
Mukherjee, Kanchan - In: Journal of econometrics 141 (2007) 2, pp. 383-415
Persistent link: https://www.econbiz.de/10003571300
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Determining the cointegrating rank in nonstationary frational system by the exact local Whittle approach
Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596
Persistent link: https://www.econbiz.de/10003571326
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Data-based ranking of realised volatility estimators
Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-303
Persistent link: https://www.econbiz.de/10009242129
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A Simple R-estimation method for semiparametric duration models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 218 (2020) 2, pp. 736-749
Persistent link: https://www.econbiz.de/10012483179
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On rank estimators in increasing dimensions
Fan, Yanqin; Han, Fang; Li, Wei; Zhou, Xiao-Hua - In: Journal of econometrics 214 (2020) 2, pp. 379-412
Persistent link: https://www.econbiz.de/10012438434
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Inference in heavy-tailed vector error correction models
She, Rui; Ling, Shiqing - In: Journal of econometrics 214 (2020) 2, pp. 433-450
Persistent link: https://www.econbiz.de/10012439014
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Rank regularized estimation of approximate factor models
Bai, Jushan; Ng, Serena - In: Journal of econometrics 212 (2019) 1, pp. 78-96
Persistent link: https://www.econbiz.de/10012303892
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Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61
Persistent link: https://www.econbiz.de/10011591614
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Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 192 (2016) 2, pp. 451-467
Persistent link: https://www.econbiz.de/10011704729