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Testing for structural breaks in variance with additive outliers and measurement errors

Rodrigues, Paulo M. M. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003324142

Unit root and cointegration testing

Lütkepohl, Helmut (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003894166

On the finite-sample biases in nonparametric testing for variance constancy

Rodrigues, Paulo M. M. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003436652

The effects of additive outliers and measurement errors when testing for structural breaks in variance

Rodrigues, Paulo M. M.; Rubia, Antonio - In: Oxford bulletin of economics and statistics 73 (2011) 4, pp. 449-468

Persistent link: https://www.econbiz.de/10009241614

The flexible fourier form and local generalised least squares de-trended unit root tests

Rodrigues, Paulo M. M.; Taylor, Robert - In: Oxford bulletin of economics and statistics 74 (2012) 5, pp. 736-759

Persistent link: https://www.econbiz.de/10009712119

Quantile regression for long memory testing : a case of realized volatility

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724

Persistent link: https://www.econbiz.de/10011623824

A new regression-based tail index estimator

Nicolau, João; Rodrigues, Paulo M. M. - In: The review of economics and statistics 101 (2019) 4, pp. 667-680

Persistent link: https://www.econbiz.de/10012116628

Tests for segmented cointegration : an application to US governments budgets

Martins, Luís Filipe; Rodrigues, Paulo M. M. - In: Empirical economics : a quarterly journal of the … 63 (2022) 2, pp. 567-600

Persistent link: https://www.econbiz.de/10013440317

Testing for episodic predictability in stock returns

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113

Persistent link: https://www.econbiz.de/10013441625

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014366629