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Estimation and inference in threshold type regime switching models

Gonzalo, Jesús; Pitarakis, Jean-Yves - Departamento de Economía, Universidad Carlos III de Madrid - 2012

Persistent link: https://www.econbiz.de/10010610151

A joint test for structural stability and a unit root in autoregressions

Pitarakis, Jean-Yves - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 577-587

A test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period is developed. The proposed test is a useful diagnostic tool for...

Persistent link: https://www.econbiz.de/10010871444

Specification via model selection in vector error correction models

Gonzalo, Jes`us; Pitarakis, Jean-Yves - In: Economics letters 60 (1998) 3, pp. 321-328

Persistent link: https://www.econbiz.de/10006787845

Joint Dynamics of Legal and Economic Integration in the European Union

Pitarakis, Jean-Yves; Tridimas, George - In: European journal of law and economics 16 (2003) 3, pp. 357-368

Persistent link: https://www.econbiz.de/10007654822

Regime-Specific Predictability in Predictive Regressions

Gonzalo, Jess; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 229-242

Persistent link: https://www.econbiz.de/10009976548

Jointly testing linearity and nonstationarity within threshold autoregressions

Pitarakis, Jean-Yves - In: Economics letters 117 (2012) 2, pp. 411-414

Persistent link: https://www.econbiz.de/10010021550

ARTICLES - Moment Generating Functions and Further Exact Results for Seasonal Autoregressions

Pitarakis, Jean-Yves - In: Econometric theory 14 (1998) 6, pp. 770-782

Persistent link: https://www.econbiz.de/10006991061

Comment on: Threshold Autoregressions With a Unit Root

Pitarakis, Jean-Yves - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 5, pp. 1207-1218

Persistent link: https://www.econbiz.de/10008097830

Least squares estimation and tests of breaks in mean and variance under misspecification

Pitarakis, Jean-Yves - In: The econometrics journal 7 (2004) 1, pp. 32-54

Persistent link: https://www.econbiz.de/10007449964

Estimation and model selection based inference in single and multiple threshold models

Gonzalo, Jesus; Pitarakis, Jean-Yves - In: Journal of econometrics 110 (2002) 2, pp. 319-352

Persistent link: https://www.econbiz.de/10006766968

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