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Unit root and cointegration testing : guest editors' introduction
Lütkepohl, Helmut; Rodrigues, Paulo M. M. - In: Econometric theory 24 (2008) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10003893874
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Forecasting time series subject to multiple structural breaks
Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - In: The review of economic studies 73 (2006) 4, pp. 1057-1084
Persistent link: https://www.econbiz.de/10003378035
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Forecasting stock returns under economic constraints
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of financial economics 114 (2014) 3, pp. 517-553
Persistent link: https://www.econbiz.de/10010532691
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Forecasting aggregated time series variables : a survey
Lütkepohl, Helmut - In: Journal of business cycle measurement and analysis : a … (2010) 2, pp. 37-62
Persistent link: https://www.econbiz.de/10008938374
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How costly is it to ignore breaks when forecasting the direction of a time series?
Pesaran, M. Hashem; Timmermann, Allan - In: International journal of forecasting 20 (2004) 3, pp. 411-425
Persistent link: https://www.econbiz.de/10002169185
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Testing for a unit root in a time series with a level shift at unknown time
Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 18 (2002) 2, pp. 313-348
Persistent link: https://www.econbiz.de/10001661298
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Structural breaks, incomplete information, and stock prices
Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 3, pp. 299-314
Persistent link: https://www.econbiz.de/10001603250
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Testing for unit roots in time series with level shifts
Saikkonen, Pentti; Lütkepohl, Helmut - In: Allgemeines statistisches Archiv : AStA ; journal of … 85 (2001) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001555592
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Moments of Markov switching models
Timmermann, Allan - In: Journal of econometrics 96 (2000) 1, pp. 75-111
Persistent link: https://www.econbiz.de/10001466745