Similar Search Results

Time-varying Lasso

Kapetanios, George; Zikes, Filip - In: Economics letters 169 (2018), pp. 1-6

Persistent link: https://www.econbiz.de/10012019554

Semiparametric sieve-type generalized least squares inference

Kapetanios, George; Psaradakis, Zacharias G. - In: Econometric reviews 35 (2016) 5/7, pp. 951-985

Persistent link: https://www.econbiz.de/10011590983

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143

Persistent link: https://www.econbiz.de/10011300500

Marcellino, Massimiliano; Kapetanios, George; … - 2020

Persistent link: https://www.econbiz.de/10012214041

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960

Persistent link: https://www.econbiz.de/10011686163

A shrinkage instrumental variable estimator for large datasets

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: L' Actualité économique : revue trimest. 91 (2015) 1/2, pp. 67-87

Persistent link: https://www.econbiz.de/10011775777

Inference for impulse response coefficients from multivariate fractionally integrated processes

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84

Persistent link: https://www.econbiz.de/10011794639

A time varying parameter structural model of the UK economy

Petrova, Katerina; Kapetanios, George; Masolo, Riccardo M. - 2017

Persistent link: https://www.econbiz.de/10011741214

A shrinkage instrumental variable estimator for large datasets

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2015 - This version: September 22, 2015

Persistent link: https://www.econbiz.de/10011809636

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10011900761