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Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases

Caner, Mehmet - In: Journal of econometrics 137 (2007) 1, pp. 28-67

Persistent link: https://www.econbiz.de/10003425500

Testing, estimation in GMM and cue with nearly-weak identification

Caner, Mehmet - In: Econometric reviews 29 (2010) 3, pp. 330-363

Persistent link: https://www.econbiz.de/10003965141

Tests for cointegration with infinite variance errors

Caner, Mehmet - In: Journal of econometrics 86 (1998) 1, pp. 155-175

Persistent link: https://www.econbiz.de/10001243863

A locally optimal seasonal unit-root test

Caner, Mehmet - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 349-356

Persistent link: https://www.econbiz.de/10001246505

Weak convergence to a matrix stochastic integral with stable processes

Caner, Mehmet - In: Econometric theory 13 (1997) 4, pp. 506-528

Persistent link: https://www.econbiz.de/10001230728

A note on least absolute deviation estimation of a threshold model

Caner, Mehmet - In: Econometric theory 18 (2002) 3, pp. 800-814

Persistent link: https://www.econbiz.de/10001673462

Threshold autoregression with a near unit root

Caner, Mehmet; Hansen, Bruce E. - 1998

Persistent link: https://www.econbiz.de/10000168269

Comment on: Threshold autoregressions with a unit root

Pitarakis, Jean-Yves - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 5, pp. 1207-1217

Persistent link: https://www.econbiz.de/10003765898

Comment on "Weak convergence to a matrix stochastic integral with stable processes"

Paulauskas, Vygantas; Račev, Svetlozar T.; Fabozzi, … - In: Econometric theory 27 (2011) 4, pp. 907-911

Persistent link: https://www.econbiz.de/10009311663

Size distortions of tests of the null hypothesis of stationarity : evidence and implications for applied work

Caner, Mehmet; Kilian, Lutz - 1999 - First Draft: March 1998, This Version: May 1, 1999

It is common in applied econometrics to test the null hypothesis of a level-stationary process against the alternative of a unit root process. We show that the use of conventional asymptotic critical values for the stationarity tests of Kwiatkowski et al. (1992) and Leybourne and McCabe (1994)...

Persistent link: https://www.econbiz.de/10010516947