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Subsampling Weakly Dependent Times Series and Application to Extremes

Doukhan, Paul - 2010

This paper provides extensions of the work on subsampling by Bertail et al. (2004) for strongly mixing case to weakly dependent case by application of the results of Doukhan and Louhichi (1999). We investigate properties of smooth and rough subsampling estimators for distributions of converging...

Persistent link: https://www.econbiz.de/10013137537

Testing additive versus interactive effects in fixed-T panels

Westerlund, Joakim - In: Economics letters 174 (2019), pp. 5-8

Persistent link: https://www.econbiz.de/10012120997

Rethinking the univariate approach to panel unit root testing : using covariates to resolve the incidental trend problem

Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 430-443

Persistent link: https://www.econbiz.de/10011391381

An IV test for a unit root in generally trending and correlated panels

Westerlund, Joakim - In: Oxford bulletin of economics and statistics 78 (2016) 5, pp. 752-764

Persistent link: https://www.econbiz.de/10011579106

A simple test for nonstationarity in mixed panels with incidental trends

Westerlund, Joakim - In: Economics letters 125 (2014) 2, pp. 160-163

Persistent link: https://www.econbiz.de/10010505429

Feasible estimation in cointegrated panels

Westerlund, Joakim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001779631

Simple unit root testing in generally trending data with an application to precious metal prices in Asia

Westerlund, Joakim - In: Journal of Asian economics 28 (2013), pp. 12-27

Persistent link: https://www.econbiz.de/10010400872

Estimating cointegrated panels with common factors and the forwrd rate unbiasedness hypothesis

Westerlund, Joakim - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 491-522

Persistent link: https://www.econbiz.de/10003518507

Data dependent endogeneity correction in cointegrated panels

Westerlund, Joakim - In: Oxford bulletin of economics and statistics 67 (2005) 5, pp. 691-705

Persistent link: https://www.econbiz.de/10003142848

The effect of recursive detrending on panel unit root tests

Westerlund, Joakim - In: Journal of econometrics 185 (2015) 2, pp. 453-467

Persistent link: https://www.econbiz.de/10011348966

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