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Distribution-free specification tests for dynamic linear models
Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - In: The econometrics journal 12 (2009), pp. 105-134
Persistent link: https://www.econbiz.de/10003876439
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Optimal fractional Dickey-Fuller tests
Lobato, Ignacio N.; Velasco, Carlos - In: The econometrics journal 9 (2006) 3, pp. 492-510
Persistent link: https://www.econbiz.de/10003390169
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Single step estimation of ARMA roots for nonfundamental nonstationary fractional models
Lobato, Ignacio N.; Velasco, Carlos - In: The econometrics journal 25 (2022) 2, pp. 455-476
Persistent link: https://www.econbiz.de/10013253844
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Optimal Fractional Dickey-Fuller tests
Lobato, Ignacion; Velasco, Carlos - In: The econometrics journal 9 (2006) 3, pp. 492-510
Persistent link: https://www.econbiz.de/10007402521