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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10012110246

A test for second order stationarity of a multivariate time series

Jentsch, Carsten; Subba Rao, Suhasini - In: Journal of econometrics 185 (2015) 1, pp. 124-161

Persistent link: https://www.econbiz.de/10011339888

A new class of change point test statistics of Rényi type

Horváth, Lajos; Miller, Curtis; Rice, Gregory - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 570-579

Persistent link: https://www.econbiz.de/10012262495

Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models

Francq, Christian; Zakoïan, Jean-Michel - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 2, pp. 821-861

Persistent link: https://www.econbiz.de/10009534937

Methods for estimation and inference in modern econometrics

Anatolyev, Stanislav; Gospodinov, Nikolay - 2011

Persistent link: https://www.econbiz.de/10009243504

Testing linear factor models on individual stocks using the average F-test

Hwang, Soosung; Satchell, Stephen - In: The European journal of finance 20 (2014) 4/6, pp. 463-498

Persistent link: https://www.econbiz.de/10010461963

Non-asymptotic inference in a class of optimization problems

Horowitz, Joel; Lee, Sokbae - 2019

This paper describes a method for carrying out non-asymptotic inference on partially identifi ed parameters that are solutions to a class of optimization problems. The optimization problems arise in applications in which grouped data are used for estimation of a model's structural parameters....

Persistent link: https://www.econbiz.de/10012008232

A new bispectral test for nonlinear serial dependence

Rusticelli, Elena; Ashley, Richard A.; Dagum, Estela Bee; … - In: Econometric reviews 28 (2009) 1/3, pp. 279-293

Persistent link: https://www.econbiz.de/10003800753

New methods for testing, prediction, and estimation with applications to finance

Hediger, Simon - 2023

Persistent link: https://www.econbiz.de/10014282051

Sharp threshold based on sup-norm error rates in high-dimensional models

Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; … - 2015

Persistent link: https://www.econbiz.de/10011516996

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