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Comprehensive definitions of breakdown-points for independent and dependent observations
Genton, Marc G.; Lucas, André - 2000
-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …
Persistent link: https://www.econbiz.de/10011303297
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A hybrid joint moment ratio test for financial times series
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000994244
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Mixed density based copula likelihood
Azam, Kazim; Lucas, André - 2015 - This version: January 7, 2015
using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …
Persistent link: https://www.econbiz.de/10010464789
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Classical and Bayesian aspects of robust unit root inference
Hoek, Henk; Lucas, André; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000151638
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Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods
Lucas, André - In: Econometric reviews 17 (1998) 2, pp. 185-214
Persistent link: https://www.econbiz.de/10001240672
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Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
Genton, Marc G.; Lucas, André - 2000
-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …
Persistent link: https://www.econbiz.de/10010324408
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Unit root tests based on M estimators
Lucas, André - 1993
Persistent link: https://www.econbiz.de/10000150813
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008
Persistent link: https://www.econbiz.de/10003787160
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A non-Gaussian panel time series model for estimatingand decomposing default risk
Koopman, Siem Jan; Lucas, André; Daniels, Robert J. - 2005
Persistent link: https://www.econbiz.de/10003321902