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Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 91 (1999) 2, pp. 373-401
Persistent link: https://www.econbiz.de/10001382096
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Multivariate local polynomial estimators : uniform boundary properties and asymptotic linear representation
Fan, Yanqin; Guerre, Emmanuel - In: Essays in honor of Aman Ullah, (pp. 489-537). 2016
Persistent link: https://www.econbiz.de/10011530319
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Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates
Patton, Andrew J.; Chen, Xiaohong; Fan, Yanqin - 2004
Persistent link: https://www.econbiz.de/10002034254
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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154
Persistent link: https://www.econbiz.de/10003376080
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Estimation of copula-based semiparametric time series models
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 130 (2006) 2, pp. 307-335
Persistent link: https://www.econbiz.de/10003277967
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Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
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Vector copulas
Fan, Yanqin; Henry, Marc - In: Journal of econometrics 234 (2023) 1, pp. 128-150
Persistent link: https://www.econbiz.de/10014364686
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The econometric analysis of models with risk terms
Pagan, Adrian R.; Ullah, Aman - 1986
Persistent link: https://www.econbiz.de/10000701238
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Nonparametric time-series estimation of joint DGP, conditional DGP, and vector autoregression
Singh, Radhey S. - In: Econometric theory 1 (1985) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10001072749
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Efficiency properties of some estimators in pooling time-series and cross-section data
Srivastava, Virendra K. - In: Journal of quantitative economics : official journal of … 11 (1995) 1, pp. 63-76
Persistent link: https://www.econbiz.de/10001196305