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Tests of equal accuracy for nested models with estimated factors

Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit - 2015

Persistent link: https://www.econbiz.de/10011392844

Bootstrapping factor models with cross sectional dependence

Gonçalves, Sílvia; Perron, Benoit - In: Journal of econometrics 218 (2020) 2, pp. 476-495

Persistent link: https://www.econbiz.de/10012483168

Bootstrapping factor models with cross sectional dependence

Gonçalves, Sílvia; Perron, Benoit - 2018

Persistent link: https://www.econbiz.de/10011884019

Stationarity properties of individual series in a panel

Moon, Hyungsik Roger; Perron, Benoit - 2009

Persistent link: https://www.econbiz.de/10003997384

Incidential trends and the power of panel unit root tests

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - In: Journal of econometrics 141 (2007) 2, pp. 416-459

Persistent link: https://www.econbiz.de/10003571307

Beyond panel unit root tests : using multiple testing to determine the nonstationarity properties of individual series in a panel

Moon, Hyungsik Roger; Perron, Benoit - In: Journal of econometrics 169 (2012) 1, pp. 29-33

Persistent link: https://www.econbiz.de/10009666772

Point-optimal panel unit root tests with serially correlated errors

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - In: The econometrics journal 17 (2014) 3, pp. 338-372

Persistent link: https://www.econbiz.de/10010498715

Incidental trends and the power of panel unit root tests

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - 2003

Persistent link: https://www.econbiz.de/10001798680

Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns

Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707

Persistent link: https://www.econbiz.de/10010512286

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10011431797