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Pitfalls in bootstrapping spurious regression

Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217

Persistent link: https://www.econbiz.de/10013441715

Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data

Filimonov, Vladimir; Sornette, Didier - 2013

index'' n that quantifies the degree of endogeneity of how much past events trigger future events. We report the following … seasonality and detrending of the data and (ii) vulnerability of the analysis to day-to-day nonstationarity and regime shifts …

Persistent link: https://www.econbiz.de/10010257507

Forecasting nonlinear aggregates and aggregates with time-varying weights

Lütkepohl, Helmut - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 107-133

Persistent link: https://www.econbiz.de/10008902887

Specification testing for nonlinear time series with long-rang dependence

Gao, Jiti (contributor); Wang, Qiying (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003813950

Estimation of long-run parameters in unbalanced cointegration

Hualde, Javier - In: Journal of econometrics 178 (2014) 2, pp. 761-778

Persistent link: https://www.econbiz.de/10010257663

Nonlinearity and the unit root hypothesis for African per capita real GDP

Solarin Sakiru Adebola; Anoruo, Emmanuel - In: International economic journal 29 (2015) 4, pp. 617-630

Persistent link: https://www.econbiz.de/10011548770

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data

Wild, Phillip; Foster, John - 2012

Persistent link: https://www.econbiz.de/10009563439

Identification, estimation and specification in a class of semiparametic time series models

Gao, Jiti - 2012

Persistent link: https://www.econbiz.de/10009565428

Constructing non-linear Gaussian time series by means of a simplified state space representation

Vidoni, Paolo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2

Persistent link: https://www.econbiz.de/10002651826

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