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Quasi-maximum likelihood estimation for conditional quantiles
Komunjer, Ivana - In: Journal of econometrics 128 (2005) 1, pp. 137-164
Persistent link: https://www.econbiz.de/10006751474
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THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST
Komunjer, Ivana; Vuong, Quang - In: Econometric theory 26 (2010) 2, pp. 369-383
Persistent link: https://www.econbiz.de/10008388026
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Global identification of the semiparametric Box–Cox model
Komunjer, Ivana - In: Economics letters 104 (2009) 2, pp. 53-56
Persistent link: https://www.econbiz.de/10008270151
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Testing Models With Multiple Equilibria by Quantile Methods
Echenique, Federico; Komunjer, Ivana - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 4, pp. 1281-1298
Persistent link: https://www.econbiz.de/10008279076
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Asymmetric power distribution: Theory and applications to risk measurement
Komunjer, Ivana - In: Journal of applied econometrics 22 (2007) 5, pp. 891-922
Persistent link: https://www.econbiz.de/10007763162
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WHAT GOODS DO COUNTRIES TRADE? NEW RICARDIAN PREDICTIONS
Costinot, Arnaud; Komunjer, Ivana - 2007
Persistent link: https://www.econbiz.de/10007902870
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Estimation and Testing of Forecast Rationality under Flexible Loss
Elliott, Graham; Komunjer, Ivana; Timmermann, Allan - In: The review of economic studies 72 (2005) 253, pp. 1107-1126
Persistent link: https://www.econbiz.de/10007638911
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Semiparametric efficiency bound in time-series models for conditional quantiles
Komunjer, Ivana; Vuong, Quang H. - In: Econometric theory 26 (2010) 2, pp. 383-405
Persistent link: https://www.econbiz.de/10003968595
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Likelihood ratio testing in linear state space models : an application to dynamic stochastic general equilibrium models
Komunjer, Ivana; Zhu, Yinchu - In: Journal of econometrics 218 (2020) 2, pp. 561-586
Persistent link: https://www.econbiz.de/10012483171
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Consistent Estimation for Aggregated GARCH Processes
Komunjer, Ivana - 2001
We study the properties of a quasi-maximum likelihood (QML) for the parameters of a quot;weakquot; GARCH process obtained by contemporaneous aggregation of two independent quot;strongquot; GARCH processes. The inconsistency of the Gaussian quasi-likelihood estimator (QMLE) has already been...
Persistent link: https://www.econbiz.de/10012742212