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source:"econis"
subject:"Zeitreihenanalyse"
~person:"Gouriéroux, Christian"
~person:"Taylor, Robert"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Estimation theory
55
Schätztheorie
55
Time series analysis
20
Theorie
18
Theory
18
Einheitswurzeltest
9
Structural break
9
Strukturbruch
9
Unit root test
9
Estimation
8
Schätzung
8
Bootstrap approach
6
Bootstrap-Verfahren
6
VAR model
6
VAR-Modell
6
Regression analysis
5
Regressionsanalyse
5
Volatility
5
Volatilität
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Cointegration
4
Forecasting model
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Heteroscedasticity
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Heteroskedastizität
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Prognoseverfahren
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Capital income
3
Endogeneity
3
Fractional integration
3
Identification
3
Kapitaleinkommen
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
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Predictive regression
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Schock
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Shock
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Statistical test
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Statistical theory
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Working Paper
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Graue Literatur
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English
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Gouriéroux, Christian
Taylor, Robert
Phillips, Peter C. B.
28
Leybourne, Stephen James
18
Linton, Oliver
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Harvey, Andrew C.
14
Johansen, Søren
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Xiao, Zhijie
11
Baillie, Richard
10
Koop, Gary
10
Robinson, Peter M.
10
Tauchen, George Eugene
10
Zhu, Ke
10
Harvey, David I.
9
Hendry, David F.
9
Kapetanios, George
9
Li, Jia
9
Lucas, André
9
McAleer, Michael
9
Westerlund, Joakim
9
Baltagi, Badi H.
8
Bauwens, Luc
8
Chen, Xiaohong
8
Franses, Philip Hans
8
Hong, Yongmiao
8
Koopman, Siem Jan
8
Li, Qi
8
McElroy, Tucker
8
Nielsen, Morten Ørregaard
8
Politis, Dimitris N.
8
Ramírez, Miguel D.
8
Sun, Yixiao
8
Boswijk, Herman Peter
7
Chan, Ngai Hang
7
Davis, Richard A.
7
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Journal of econometrics
10
Econometric theory
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Annals of economics and statistics
1
Econometric reviews
1
Journal of empirical finance
1
The review of economic studies : RES
1
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ECONIS (ZBW)
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
Saved in:
3
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
4
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
5
Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
The review of economic studies : RES
87
(
2020
)
4
,
pp. 1915-1953
Persistent link: https://www.econbiz.de/10012259682
Saved in:
6
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
7
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1201-1233
Persistent link: https://www.econbiz.de/10012149284
Saved in:
8
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe
;
Georgiev, Iliyan
;
Taylor, Robert
- In:
Econometric theory
34
(
2018
)
2
,
pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
Saved in:
9
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
10
Consistent pseudo-maximum likelihood estimators
Gouriéroux, Christian
;
Monfort, Alain
;
Renault, Eric
- In:
Annals of economics and statistics
125/126
(
2017
),
pp. 187-218
Persistent link: https://www.econbiz.de/10011744364
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