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subject:"Estimation theory"
subject:"Statistische Methodenlehre"
~person:"Perron, Pierre"
~subject:"Forecasting model"
~subject:"Statistical test"
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Estimation theory
Statistische Methodenlehre
Forecasting model
Statistical test
Theorie
63
Theory
63
Time series analysis
41
Zeitreihenanalyse
41
Structural break
15
Strukturbruch
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Perron, Pierre
Pesaran, M. Hashem
158
Diebold, Francis X.
150
Franses, Philip Hans
146
Härdle, Wolfgang
126
Timmermann, Allan
102
Marcellino, Massimiliano
94
Swanson, Norman R.
93
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89
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77
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76
Koop, Gary
71
Hendry, David F.
70
Granger, C. W. J.
66
Kilian, Lutz
63
Gouriéroux, Christian
62
Andrews, Donald W. K.
60
Lütkepohl, Helmut
60
Hyndman, Rob J.
58
Heckman, James J.
57
Ravazzolo, Francesco
57
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56
Dijk, Herman K. van
55
Linton, Oliver
54
McCracken, Michael W.
54
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53
Stock, James H.
53
Baltagi, Badi H.
52
Gupta, Rangan
51
Krämer, Walter
50
Bollerslev, Tim
48
Koopman, Siem Jan
47
Dufour, Jean-Marie
45
Newey, Whitney K.
45
Giannone, Domenico
44
Bera, Anil K.
41
Dijk, Dick van
41
Herwartz, Helmut
41
Satchell, Stephen
41
White, Halbert
41
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Econometric theory
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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3
Cahier / Département de Sciences Économiques, Université de Montréal
2
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2
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ECONIS (ZBW)
37
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1
Forecasting in the presence of in-sample and out-of-sample breaks
Xu, Jiawen
;
Perron, Pierre
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 3001-3035
Persistent link: https://www.econbiz.de/10014329022
Saved in:
2
The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence
Perron, Pierre
;
Yamamoto, Yohei
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
3
,
pp. 1193-1218
Persistent link: https://www.econbiz.de/10012819527
Saved in:
3
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
-
2018
Persistent link: https://www.econbiz.de/10011962445
Saved in:
4
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 148-165
Persistent link: https://www.econbiz.de/10012424505
Saved in:
5
Continuous record Laplace-based inference about the break date in structural change models
Casini, Alessandro
;
Perron, Pierre
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 3-21
Persistent link: https://www.econbiz.de/10013275376
Saved in:
6
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
Saved in:
7
Modelling exchange rate volatility with random level shifts
Li, Ye
;
Perron, Pierre
;
Xu, Jiawen
- In:
Applied economics
49
(
2017
)
26
,
pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
Saved in:
8
Combining long memory and level shifts in modeling and forecasting of persistent time series
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
-
2011
Persistent link: https://www.econbiz.de/10009228960
Saved in:
9
Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre
;
Xu, Jiawen
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
Saved in:
10
Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 893-894
Persistent link: https://www.econbiz.de/10011621879
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