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On the uses of misspecification checks and tests of non-nested hypotheses in empirical econometrics
Godfrey, L. G. - 1983
Persistent link: https://www.econbiz.de/10003561152
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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...
Persistent link: https://www.econbiz.de/10010225468
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Bayesian approaches to cointegration
Koop, Gary (contributor); Strachan, Rodney W. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002229038
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Testing for structural change in the presence auf auxiliary models
Ghysels, Eric; Guay, Alain - In: Econometric theory 20 (2004) 6, pp. 1168-1202
Persistent link: https://www.econbiz.de/10002424914
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Predictive tests for structural change with unknown breakpoint
Ghysels, Eric; Guay, Alain; Hall, Alastair R. - 1995
Persistent link: https://www.econbiz.de/10001512516
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Predictive tests for structural change with unknown breakpoint
Ghysels, Eric - In: Journal of econometrics 82 (1998) 2, pp. 209-233
Persistent link: https://www.econbiz.de/10001234579
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Diagnostic checks for single-equation error-correction and autoregressive distributed lag models
Gerrard, W. J. - In: The Manchester School 66 (1998) 2, pp. 222-237
Persistent link: https://www.econbiz.de/10001238923
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Some results on the Glejser and Koenker tests for heteroskedasticity
Godfrey, L. G. - In: Journal of econometrics 72 (1996) 1, pp. 275-299
Persistent link: https://www.econbiz.de/10001198015
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On the behavior of conditional moment tests in the presence of unconsidered local alternatives
Godfrey, L. G. - In: International economic review 37 (1996) 2, pp. 263-281
Persistent link: https://www.econbiz.de/10001202125
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A note on F statistics for instrumental variable regressions
Godfrey, L. G. - In: Econometric reviews 11 (1992) 3, pp. 329-336
Persistent link: https://www.econbiz.de/10001133931