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Unified inference for an AR process regardless of finite or infinite variance GARCH errors

Huang, Haitao; Leng, Xuan; Liu, Xiaohui; Peng, Liang - In: Journal of financial econometrics 18 (2020) 2, pp. 425-470

Persistent link: https://www.econbiz.de/10012232977

Unit root quantile autoregression inference

Koenker, Roger; Xiao, Zhijie - In: Journal of the American Statistical Association : JASA 99 (2004) 467, pp. 775-787

Persistent link: https://www.econbiz.de/10002242185

Estimation and inference for impulse response functions from univariate strongly persistent processes

Baillie, Richard; Kapetanios, George - In: The econometrics journal 16 (2013) 3, pp. 373-399

Persistent link: https://www.econbiz.de/10010253634

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and...

Persistent link: https://www.econbiz.de/10009786715