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type:"book"
type_genre:"Working Paper"
~person:"Martin, Gael M."
~subject:"Time series analysis"
~subject:"VAR-Modell"
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Time series analysis
VAR-Modell
Estimation theory
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Zeitreihenanalyse
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Martin, Gael M.
Lütkepohl, Helmut
37
Gao, Jiti
36
Koopman, Siem Jan
30
Phillips, Peter C. B.
26
Nielsen, Morten Ørregaard
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Johansen, Søren
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Maravall Herrero, Agustín
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Kapetanios, George
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Gouriéroux, Christian
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Staszewska-Bystrova, Anna
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Winker, Peter
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Hyndman, Rob J.
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Härdle, Wolfgang
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Peng, Bin
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Sentana, Enrique
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Swanson, Norman R.
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Koop, Gary
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Cai, Zongwu
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Fiorentini, Gabriele
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Working paper / Department of Econometrics and Business Statistics, Monash University
9
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ECONIS (ZBW)
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1
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
2
Optimal bias correction of the logperiodogram estimator of the fractional paramete : a Jackknife Approach
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2019
Persistent link: https://www.econbiz.de/10012592265
Saved in:
3
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
-
2018
Persistent link: https://www.econbiz.de/10012583573
Saved in:
4
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
5
Data-driven particle filters for Particle Markov Chain Monte Carlo
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2016
Persistent link: https://www.econbiz.de/10011781784
Saved in:
6
Issues in the estimation of mMis-specified models of fractionally integrated processes
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
Persistent link: https://www.econbiz.de/10011780803
Saved in:
7
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
-
Revised 13, 29
Persistent link: https://www.econbiz.de/10011780804
Saved in:
8
Bias reduction of long memory parameter estimators via the pre-filtered Sieve bootstrap
Poskitt, Donald Stephen
;
Martin, Gael M.
;
Grose, Simone D.
-
2014
-
Rev. Ed.
Persistent link: https://www.econbiz.de/10010349989
Saved in:
9
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2013
Persistent link: https://www.econbiz.de/10010245441
Saved in:
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