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The asymptotic covariance matrix of the QMLE in ARMA models
Bao, Yong - In: Econometric reviews 37 (2018) 1/5, pp. 309-324
Persistent link: https://www.econbiz.de/10012038710
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Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution
Bao, Yong - In: Econometric theory 23 (2007) 4, pp. 767-773
Persistent link: https://www.econbiz.de/10003549618
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Indirect inference estimation of higher-order spatial autoregressive models
Bao, Yong - In: Econometric reviews 42 (2023) 3, pp. 247-280
Persistent link: https://www.econbiz.de/10014305506
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Indirect inference estimation of a first-order dynamic panel data model
Bao, Yong - In: Journal of quantitative economics 19 (2021), pp. 79-98
Persistent link: https://www.econbiz.de/10013441709
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Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors
Bao, Yong; Ullah, Aman; Zhang, Ru - In: Essays in honor of Peter C. B. Phillips, (pp. 65-92). 2014
Persistent link: https://www.econbiz.de/10010442878
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Distribution of the mean reversion estimator in the Ornstein-Uhlenbeck process
Bao, Yong; Ullah, Aman; Wang, Yun - In: Econometric reviews 36 (2017) 6/9, pp. 1039-1056
Persistent link: https://www.econbiz.de/10011795564
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A Monte Carlo power comparison of the classical and one-sided procedures for testing linear inequalities
Bao, Yong; Firoozi, Fathali; Lo, Melody - In: Journal of quantitative economics : official journal of … 6 (2008) 1/2, pp. 233-239
Persistent link: https://www.econbiz.de/10003906300
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Estimation bias and feasible conditional forecasts from the first-order moving average model
Bao, Yong; Zhang, Ru - In: Journal of time series econometrics 6 (2014) 1, pp. 63-80
Persistent link: https://www.econbiz.de/10010225248
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On the Fisher information matrix of a vector ARMA process
Bao, Yong; Hua, Ying - In: Economics letters 123 (2014) 1, pp. 14-16
Persistent link: https://www.econbiz.de/10010399080
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On skewness and kurtosis of econometric estimators
Bao, Yong; Ullah, Aman - In: The econometrics journal 12 (2009) 2, pp. 232-247
Persistent link: https://www.econbiz.de/10003875656