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Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494

Persistent link: https://www.econbiz.de/10011348962

Weak identification of long memory with implications for inference

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013326614

Weak identification of long memory with implications for inference

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013542193

A complete asymptotic series for the autocovariance function of a long memory process

Lieberman, Offer (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003461413

A complete asymptotic series for the autocovariance function of a long memory process

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 147 (2008) 1, pp. 99-103

Persistent link: https://www.econbiz.de/10003783788

Testing Equality of Covariance Matrices via Pythagorean Means

Cho, Jin Seo - 2014

We provide a new test for equality of covariance matrices that leads to a convenient mechanism for testing specification using the information matrix equality. The test relies on a new characterization of equality between two k dimensional positive-definite matrices A and B: the traces of...

Persistent link: https://www.econbiz.de/10013043161