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Least squares estimation in a simple random coefficient autoregressive model
Johansen, Søren; Lange, Theis - In: Journal of econometrics 177 (2013) 2, pp. 285-288
Persistent link: https://www.econbiz.de/10010255147
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Estimation and Asymptotic Inference in the AR-ARCH Model
Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver - In: Econometric Reviews 30 (2011) 2, pp. 129-153
This article studies asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for the parameters in the autoregressive (AR) model with autoregressive conditional heteroskedastic (ARCH) errors. A modified QMLE (MQMLE) is also studied. This estimator is based on truncation of...
Persistent link: https://www.econbiz.de/10009228501
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High decision latitude at work combined with traumatic life events in private life is associated with reduced sleep quality : resultsfrom the GAZEL study
Dich, Nadya; Lange, Theis; Goldberg, Marcel; Zins, Marie; … - In: Scandinavian journal of work and organizational … 3 (2018) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10011951357
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An introduction to regime switching time series models
Lange, Theis; Rahbek, Anders - In: Handbook of financial time series, (pp. 871-887). 2009
Persistent link: https://www.econbiz.de/10003834264
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On convergence of the QMLE for misspecified GARCH models
Jensen, Anders Tolver; Lange, Theis - In: Journal of time series econometrics 2 (2010) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10009623323
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Estimation and asymptotic inference in the AR-ARCH model
Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver - In: Econometric reviews 30 (2011) 2, pp. 129-153
Persistent link: https://www.econbiz.de/10008990449
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On convergence of the QMLE for misspecified GARCH models
Jensen, Anders Tolver; Lange, Theis - In: Journal of time series econometrics 2 (2010) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10010029867
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Estimation and Asymptotic Inference in the AR-ARCH Model
Lange, Theis; Rahbek, Anders; Jensen, Sren Tolver - In: Econometric reviews 30 (2011) 2, pp. 129-154
Persistent link: https://www.econbiz.de/10008813123
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Determination of cointegration rank in the presence of a linear trend
Johansen, Søren - In: Oxford bulletin of economics and statistics 54 (1992) 3, pp. 383-397
Persistent link: https://www.econbiz.de/10001330268
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Likelihood-based inference for cointegration of some nonstationary time series
Johansen, Søren - In: Time series models : in econometrics, finance and other …, (pp. 69-100). 1996
Persistent link: https://www.econbiz.de/10001319936