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Three essays on econometrics
Kim, Myungsup - 2005
Persistent link: https://www.econbiz.de/10003905358
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Testing for strict stationarity
Kapetanios, George (contributor) - 2007
Persistent link: https://www.econbiz.de/10003475291
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A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance
Corradi, Valentina; Swanson, Norman R. - 2013
In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published … in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995 … that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …
Persistent link: https://www.econbiz.de/10009766717
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A test for strict stationarity
Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Uncertainty analysis in econometrics with applications …, (pp. 17-30). 2013
Persistent link: https://www.econbiz.de/10009711170
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Bootstrap LR Tests of Stationarity, Common Trends and Cointegration
Busetti, Fabio - 2011
power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …
Persistent link: https://www.econbiz.de/10013125622
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Testing the existence of moments for GARCH processes
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 227 (2022) 1, pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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Testing for strict stationarity via the discrete fourier transform
Fu, Zhonghao; Gao, Shang; Su, Liangjun; Wang, Xia - In: Econometric theory 40 (2024) 3, pp. 511-557
Persistent link: https://www.econbiz.de/10015055106
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Pitfalls in bootstrapping spurious regression
Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217
Persistent link: https://www.econbiz.de/10013441715
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Complex-Valued Econometrics with Examples in R : Modelling, Regression and Applications
Svetunkov, Sergey; Svetunkov, Ivan - 2024
Chapter 1. Introduction to theory of complex variables -- Chapter 2. Simple Complex Linear Regression -- Chapter 3. Correlation analysis of complex random variables -- Chapter 4. Multiple Complex Linear Regression -- Chapter 5. Assumptions of Complex Linear Models -- Chapter 6. Complex Dynamic...
Persistent link: https://www.econbiz.de/10014631750