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Estimating smooth structural change in cointegration models
Phillips, Peter C. B.; Li, Degui; Gao, Jiti - 2013
Persistent link: https://www.econbiz.de/10010189524
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Estimating smooth structural change in cointegration models
Philips, Peter C.; Li, Degui; Gao, Jiti - 2013
Persistent link: https://www.econbiz.de/10010190229
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Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
Li, Degui; Phillips, Peter C. B.; Gao, Jiti - In: Journal of econometrics 215 (2020) 2, pp. 607-632
Persistent link: https://www.econbiz.de/10012439572
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Kernel-based inference in time-varying coefficient cointegrating regression
Li, Degui; Phillips, Peter C. B.; Gao, Jiti - 2017
Persistent link: https://www.econbiz.de/10011748557
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Estimating smooth structural change in cointegration models
Phillips, Peter C. B.; Li, Degui; Gao, Jiti - In: Journal of econometrics 196 (2017) 1, pp. 180-195
Persistent link: https://www.econbiz.de/10011743793
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Kernel-based inference in time-varying coefficient models with multiple integrated regressors
Li, Degui; Phillips, Peter C. B.; Gao, Jiti - 2017
Persistent link: https://www.econbiz.de/10011782211
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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021
Persistent link: https://www.econbiz.de/10013259517
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Model specification between parametric and nonparametric cointegration
Gao, Jiti; Tjostheim, Dag; Yin, Jiying - 2012
Persistent link: https://www.econbiz.de/10009625671
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Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - 2014
Persistent link: https://www.econbiz.de/10010245240
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Specification testing in structural nonparametric cointegration
Dong, Chaohua; Gao, Jiti - 2014
Persistent link: https://www.econbiz.de/10010245252