Similar Search Results

GARCH model estimation using estimated quadratic variation

Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192

Persistent link: https://www.econbiz.de/10011483454

Évaluation de critères di̕nformation pour des modèles de séries chronologiques

Galbraith, John W.; Zinde-Walsh, Victoria - In: L' Actualité économique : revue trimest. 80 (2004) 2/3, pp. 207-227

Persistent link: https://www.econbiz.de/10003086162

Estimation of a linear regression model with stationary ARMA (p, q) errors

Zinde-Walsh, Victoria - In: Journal of econometrics 47 (1991) 2, pp. 333-357

Persistent link: https://www.econbiz.de/10001099505

Measurement of the quality of autoregressive approximation, with econometric applications

Galbraith, John W.; Zinde-Walsh, Victoria - In: Handbook of applied econometrics and statistical inference, (pp. 401-421). 2002

Persistent link: https://www.econbiz.de/10001701984

Estimation of the vector moving average model by vector autoregression

Galbraith, John W.; Ullah, Aman; Zinde-Walsh, Victoria - In: Econometric reviews 21 (2002) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10001704803

Transforming the error-components model for estimation with general ARMA disturbances

Galbraith, John W. - In: Journal of econometrics 66 (1995) 1, pp. 349-355

Persistent link: https://www.econbiz.de/10001174114

The GLS transformation matrix and a semi-recursive estimator for the linear regression model with ARMA errors

Galbraith, John W. - In: Econometric theory 8 (1992) 1, pp. 95-111

Persistent link: https://www.econbiz.de/10001126806

On the distribution of augmented Dickey-Fuller statistics in processes with moving average components

Galbraith, John W.; Zinde-Walsh, Victoria - In: Journal of econometrics 93 (1999) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10001406636

Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects

Galbraith, John W.; Zinde-Walsh, Victoria - In: Journal of econometrics 218 (2020) 2, pp. 609-632

Persistent link: https://www.econbiz.de/10012483173

Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes

Zernov, Serguei; Zinde-Walsh, Victoria; Galbraith, John W. - In: Journal of Multivariate Analysis 100 (2009) 3, pp. 497-508

Many processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for...

Persistent link: https://www.econbiz.de/10005199596