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1
Cointegrating rank selection in models with time-varying variance
Cheng, Xu
;
Phillips, Peter C. B.
-
2009
Persistent link: https://www.econbiz.de/10003795694
Saved in:
2
Cointegrating Rank Selection in Models with Time-Varying Variance
Cheng, Xu
-
2009
Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...
Persistent link: https://www.econbiz.de/10012765272
Saved in:
3
Adaptive estimation of autoregressive models with time-varying variances
Xu, Ke-Li
(
contributor
);
Phillips, Peter C. B.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003461394
Saved in:
4
Adaptive estimation of autoregressive models with time-varying variances
Xu, Ke-Li
;
Phillips, Peter C. B.
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 265-280
Persistent link: https://www.econbiz.de/10003608182
Saved in:
5
Rate-optimality of consistent distribution-free tests of independence based on center-outward ranks and signs
Shi, Hongjian
;
Hallin, Marc
;
Drton, Mathias
;
Han, Fang
-
2020
Persistent link: https://www.econbiz.de/10012242873
Saved in:
6
Rank tests at jump events
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Lin, Huidi
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
Saved in:
7
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, Tobias
;
Podolskij, Mark
-
2014
Persistent link: https://www.econbiz.de/10010442414
Saved in:
8
Asymptotically distribution-free goodness-of-fit testing : a unifying view
Li, Bo
- In:
Econometric reviews
28
(
2009
)
6
,
pp. 632-657
Persistent link: https://www.econbiz.de/10003881210
Saved in:
9
Nonparametric regression for dependent data in the errors-in-variables problem
Honda, Toshio
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10003940095
Saved in:
10
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
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