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subject:"Estimation"
subject:"Volatilität"
~isPartOf:"The econometrics journal"
~subject:"Heteroskedastizität"
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Estimation
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Estimation theory
268
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59
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59
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The econometrics journal
Journal of econometrics
325
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
Economics letters
138
Econometric reviews
82
Applied economics letters
61
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Testing conditional moment restriction models using empirical likelihood
Berger, Yves G.
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 384-403
Persistent link: https://www.econbiz.de/10013253841
Saved in:
3
Testing for quantile sample selection
Corradi, Valentina
;
Gutknecht, Daniel
- In:
The econometrics journal
26
(
2023
)
2
,
pp. 147-173
Persistent link: https://www.econbiz.de/10014319284
Saved in:
4
Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV
Carrasco, Marine
;
Doukali, Mohamed
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 71-97
Persistent link: https://www.econbiz.de/10012878896
Saved in:
5
Distribution regression in duration analysis : an application to unemployment spells
Delgado, Miguel A.
;
García, Andrés
;
Sant'Anna, Pedro H. C.
- In:
The econometrics journal
25
(
2022
)
3
,
pp. 675-698
Persistent link: https://www.econbiz.de/10013399857
Saved in:
6
CCE in heterogenous fixed-T panels
Westerlund, Joakim
;
Kaddoura, Yousef
- In:
The econometrics journal
25
(
2022
)
3
,
pp. 719-738
Persistent link: https://www.econbiz.de/10013399863
Saved in:
7
Estimation of dynamic models of recurrent events with censored data
Lee, Sanghyeok
;
Gørgens, Tue
- In:
The econometrics journal
24
(
2021
)
2
,
pp. 199-224
Persistent link: https://www.econbiz.de/10012594987
Saved in:
8
A simple estimator for quantile panel data models using smoothed quantile regressions
Chen, Liang
;
Huo, Yulong
- In:
The econometrics journal
24
(
2021
)
2
,
pp. 247-263
Persistent link: https://www.econbiz.de/10012594992
Saved in:
9
Online estimation of DSGE models
Cai, Michael
;
Del Negro, Marco
;
Herbst, Edward P.
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. C33-C58
Persistent link: https://www.econbiz.de/10012504440
Saved in:
10
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
11
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
12
Information technology outsourcing and firm productivity : eliminating bias from selective missingness in the dependent variable
Breunig, Christoph
;
Kummer, Michael E.
;
Ohnemus, Joerg
; …
- In:
The econometrics journal
23
(
2020
)
1
,
pp. 88-114
Persistent link: https://www.econbiz.de/10012167245
Saved in:
13
Initial conditions of dynamic panel data models : on within and between equations
Lee, Lung-fei
;
Yu, Jihai
- In:
The econometrics journal
23
(
2020
)
1
,
pp. 115-136
Persistent link: https://www.econbiz.de/10012167249
Saved in:
14
High‐dimensional macroeconomic forecasting and variable selection via penalized regression : editor's choice
Uematsu, Yoshimasa
;
Tanaka, Shinya
- In:
The econometrics journal
22
(
2019
)
1
,
pp. 34-56
Persistent link: https://www.econbiz.de/10012166649
Saved in:
15
Testing for moderate explosiveness
Guo, Gangzheng
;
Sun, Yixiao
;
Wang, Shaoping
- In:
The econometrics journal
22
(
2019
)
1
,
pp. 73-95
Persistent link: https://www.econbiz.de/10012166654
Saved in:
16
A guided nonparametric goodness-of-fit test with application to income distributions
Wen, Kuangyu
;
Wu, Ximing
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 207-222
Persistent link: https://www.econbiz.de/10012166735
Saved in:
17
Estimating latent group structure in time-varying coefficient panel data models
Chen, Jia
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 223-240
Persistent link: https://www.econbiz.de/10012166742
Saved in:
18
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
19
Identification and estimation of semi‐parametric censored dynamic panel data models of short time periods
Hu, Yingyao
;
Shiu, Ji-Liang
- In:
The econometrics journal
21
(
2018
)
1
,
pp. 55-85
Persistent link: https://www.econbiz.de/10012166595
Saved in:
20
The wild bootstrap for few (treated) clusters
MacKinnon, James G.
;
Webb, Matthew
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 114-135
Persistent link: https://www.econbiz.de/10012166605
Saved in:
21
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
22
Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors
Mu, Beili
;
Zhang, Zhengyu
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 218-246
Persistent link: https://www.econbiz.de/10012166615
Saved in:
23
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
Saved in:
24
Identification and estimation of partially linear censored regression models with unknown heteroscedasticity
Zhang, Zhengyu
;
Liu, Bing
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 242-273
Persistent link: https://www.econbiz.de/10011378496
Saved in:
25
Testing for structural change under non-stationary variances
Xu, Ke-Li
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 274-305
Persistent link: https://www.econbiz.de/10011378499
Saved in:
26
Backfitting and smooth backfitting in varying coefficient quantile regression
Lee, Young K.
;
Mammen, Enno
;
Park, Byeong U.
- In:
The econometrics journal
17
(
2014
)
2
,
pp. 20-38
Persistent link: https://www.econbiz.de/10010498737
Saved in:
27
Direct semi-parametric estimation of fixed effects panel data varying coefficient models
Rodríguez Poo, Juan Manuel
;
Soberon, Alexandra
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 107-138
Persistent link: https://www.econbiz.de/10010498753
Saved in:
28
Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 56-82
Persistent link: https://www.econbiz.de/10010498759
Saved in:
29
Weighted composite quantile regression estimation of DTARCH models
Jiang, Jiancheng
;
Jiang, Xuejun
;
Song, Xinyuan
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010498763
Saved in:
30
Local NLLS estimation of semi-parametric binary choice models
Blevins, Jason R.
;
Khan, Shakeeb
- In:
The econometrics journal
16
(
2013
)
2
,
pp. 135-160
Persistent link: https://www.econbiz.de/10009783340
Saved in:
31
Heteroscedasticity-robust C p model averaging
Liu, Qingfeng
;
Okui, Ryo
- In:
The econometrics journal
16
(
2013
)
3
,
pp. 463-472
Persistent link: https://www.econbiz.de/10010253631
Saved in:
32
A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
Sun, Yixiao
- In:
The econometrics journal
16
(
2013
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009722516
Saved in:
33
Estimating the effect of a variable in a high-dimensional linear model
Jensen, Peter Sandholt
;
Würtz, Allan H.
- In:
The econometrics journal
15
(
2012
)
2
,
pp. 325-357
Persistent link: https://www.econbiz.de/10009614923
Saved in:
34
Testing for sphericity in a fixed effects panel data model
Baltagi, Badi H.
;
Feng, Qu
;
Kao, Chihwa
- In:
The econometrics journal
14
(
2011
)
1
,
pp. 25-47
Persistent link: https://www.econbiz.de/10009007612
Saved in:
35
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D.
- In:
The econometrics journal
14
(
2011
)
2
,
pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
Saved in:
36
Dealing with endogeneity in a time-varying parameter model : joint estimation and two-step estimation procedures
Kim, Yunmi
;
Kim, Chang-jin
- In:
The econometrics journal
14
(
2011
)
3
,
pp. 487-497
Persistent link: https://www.econbiz.de/10009383081
Saved in:
37
On the impact of error cross-sectional dependence in short dynamic panel estimation
Sarafidis, Vasilis
;
Robertson, Donald
- In:
The econometrics journal
12
(
2009
)
1
,
pp. 62-81
Persistent link: https://www.econbiz.de/10003841969
Saved in:
38
Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
Čížek, Pavel
;
Härdle, Wolfgang
;
Spokojnyj, Vladimir G.
- In:
The econometrics journal
12
(
2009
)
2
,
pp. 248-271
Persistent link: https://www.econbiz.de/10003875660
Saved in:
39
Bayesian estimation of a random effects heteroscedastic probit model
Gu, Yuanyuan
;
Fiebig, Denzil G.
;
Cripps, Edward
;
Kohn, …
- In:
The econometrics journal
12
(
2009
)
2
,
pp. 324-339
Persistent link: https://www.econbiz.de/10003875768
Saved in:
40
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise
;
Dufour, Jean-Marie
- In:
The econometrics journal
12
(
2009
),
pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
Saved in:
41
Distinguishing short and long memory volatility specifications
Pong, Shiuyan
;
Shackleton, Mark B.
;
Taylor, Stephen
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10003802446
Saved in:
42
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.
;
Krishnamurthy, Vikram
;
Sass, Jörn
- In:
The econometrics journal
11
(
2008
)
2
,
pp. 244-270
Persistent link: https://www.econbiz.de/10003750782
Saved in:
43
Exact interpretation of dummy variables in semilogarithmic equations
VanGarderen, Kees Jan
;
Shah, Chandra
- In:
The econometrics journal
5
(
2002
)
1
,
pp. 149-159
Persistent link: https://www.econbiz.de/10001683698
Saved in:
44
Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary
;
Potter, Simon M.
- In:
The econometrics journal
4
(
2001
)
1
,
pp. 37-55
Persistent link: https://www.econbiz.de/10001612280
Saved in:
45
Data mining reconsidered : encompassing and the general-to-specific approach to specification search
Hoover, Kevin D.
;
Perez, Stephen J.
- In:
The econometrics journal
2
(
1999
)
2
,
pp. 167-191
Persistent link: https://www.econbiz.de/10001515235
Saved in:
46
Estimating stochastic volatility models through indirect inference
Monfardini, Chiara
- In:
The econometrics journal
1
(
1998
)
1
,
pp. 113-128
Persistent link: https://www.econbiz.de/10001443684
Saved in:
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