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Optimal bandwidth selection in non-parametric spectral density estimation : review and simulation
Fortin, Ines - 1999
comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based … on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method …. -- window width ; bandwidth ; non-parametric spectral estimation ; simulation …
Persistent link: https://www.econbiz.de/10009711652
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A simple test of the law of demand for the United States
Zambrano, Eduardo; Vogelsang, Timothy J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 4, pp. 1011-1020
Persistent link: https://www.econbiz.de/10001500180
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Specification testing in discretized diffusion models : theory and practice
Gao, Jiti; Casas, Isabel - In: Journal of econometrics 147 (2008) 1, pp. 131-140
Persistent link: https://www.econbiz.de/10003783793
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798233
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Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
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Modeling quantile dependence : a new look at the money-output relationship
Sim, Nicholas C. S. - 2009
Persistent link: https://www.econbiz.de/10003988928
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Variable selection and functional form uncertainty in cross-country growth regressions
Salimans, Tim - 2011
Persistent link: https://www.econbiz.de/10008824707
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Semiparametric regression estimation in null recurrent nonlinear time series
Chen, Jia (contributor); Gao, Jiti (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003813909
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Nonparametric specification testing for nonlinear time series with nonstationarity
Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - 2009
Persistent link: https://www.econbiz.de/10003813943