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Structural change tests in tail behaviour and the Asian crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - In: The review of economic studies 68 (2001) 3, pp. 633-663

Persistent link: https://www.econbiz.de/10001608811

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868

Stability tests in error correction models

Quintos, Carmela E. - In: Journal of econometrics 82 (1998) 2, pp. 289-315

Persistent link: https://www.econbiz.de/10001234536

Analysis of cointegration vectors using the GMM approach

Quintos, Carmela E. - In: Journal of econometrics 85 (1998) 1, pp. 155-188

Persistent link: https://www.econbiz.de/10001240377

Sustainability of the deficit process with structural shifts

Quintos, Carmela E. - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 409-417

Persistent link: https://www.econbiz.de/10001190295

Structural Change Tests in Tail Behaviour and the Asian Crisis

Quintos, Carmela - 2008

This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

Persistent link: https://www.econbiz.de/10012769331

Measuring Change in Tail Behavior

Quintos, Carmela; Fan, Zhenhong; Phillips, Peter C. B. - 2000

This paper explores tests of the hypotheses that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

Persistent link: https://www.econbiz.de/10014152767

Parameter constancy in cointegrating regressions

Quintos, Carmela E.; Phillips, Peter C. - 1994

Persistent link: https://www.econbiz.de/10000148661

Parameter constancy in cointegrating regressions

Quintos, Carmela E. - In: Empirical economics : a journal of the Institute for … 18 (1993) 4, pp. 675-706

Persistent link: https://www.econbiz.de/10001331525

Inference in near-singular regression

Phillips, Peter C. B. - In: Essays in honor of Aman Ullah, (pp. 461-486). 2016

Persistent link: https://www.econbiz.de/10011530307