Similar Search Results

Robust inference in autoregressions with multiple outliers

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 25 (2009) 6, pp. 1625-1661

Persistent link: https://www.econbiz.de/10003904429

Wild bootstrap of the sample mean in the infite variance case

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert - In: Econometric reviews 32 (2013) 1/4, pp. 204-219

Persistent link: https://www.econbiz.de/10009717796

Exploiting infinite variance through dummy variables in nonstationary autoregressions

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 29 (2013) 6, pp. 1162-1195

Persistent link: https://www.econbiz.de/10010343729

Bootstrapping non-stationary stochastic volatility

Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - In: Journal of econometrics 224 (2021) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10013275368

Functional weak limit theory for rare outlying events

Georgiev, Iliyan (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001725653

A mixture-distribution factor model for multivariate outliers

Georgiev, Iliyan - In: The econometrics journal 10 (2007) 3, pp. 605-636

Persistent link: https://www.econbiz.de/10003637660

Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables

Georgiev, Iliyan - In: Journal of econometrics 158 (2010) 1, pp. 37-50

Persistent link: https://www.econbiz.de/10008826877

Asymptotics for cointegrated processes with infrequent stochastic level shifts and outliers

Georgiev, Iliyan - In: Econometric theory 24 (2008) 3, pp. 587-615

Persistent link: https://www.econbiz.de/10003894270

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194

Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables

Georgiev, Iliyan - In: Journal of Econometrics 158 (2010) 1, pp. 37-50

Quasi-maximum-likelihood (QML) estimation of a model combining cointegration in the conditional mean and rare large shocks (outliers) with a factor structure in the innovations is studied. The goal is not only to robustify inference on the conditional-mean parameters, but also to find...

Persistent link: https://www.econbiz.de/10008866549