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subject:"Time series analysis"
subject:"Money demand"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
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Search: subject_exact:"Estimation theory"
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22
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309
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1
Edgeworth expansion for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
-
2005
Persistent link: https://www.econbiz.de/10003217402
Saved in:
2
Asymptotically median unbiased estimation of coefficient variance in a time varying parameter model
Stock, James H.
;
Watson, Mark W.
-
1996
Persistent link: https://www.econbiz.de/10000945159
Saved in:
3
A comparison of alternative instrumental variables estimators of a dynamic linear model
West, Kenneth D.
;
Wilcox, David W.
-
1995
Persistent link: https://www.econbiz.de/10000934955
Saved in:
4
Modeling volatility dynamics
Diebold, Francis X.
;
García López, José A.
-
1995
Persistent link: https://www.econbiz.de/10000920972
Saved in:
5
Asymptotic filtering theory for multivariate ARCH models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000920888
Saved in:
6
Estimating deterministic trends in the presence of serially correlated errors
Canjels, Eugene
-
1994
Persistent link: https://www.econbiz.de/10000920895
Saved in:
7
Optimal prediction under asymmetric loss
Christoffersen, Peter F.
-
1994
Persistent link: https://www.econbiz.de/10000920915
Saved in:
8
Asymptotically optimal smoothing with arch models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000920975
Saved in:
9
Small sample bias in GMM estimation of covariance structures
Altonji, Joseph G.
-
1994
Persistent link: https://www.econbiz.de/10000889238
Saved in:
10
Estimating conditional expectations when volatility fluctuates
Stambaugh, Robert F.
-
1993
Persistent link: https://www.econbiz.de/10000878800
Saved in:
11
Automatic lag selection in covariance matrix estimation
West, Kenneth D.
;
Newey, Whitney K.
-
1993
Persistent link: https://www.econbiz.de/10000879023
Saved in:
12
Why long horizons? : a study of power against persistent alternatives
Campbell, John Y.
-
1993
Persistent link: https://www.econbiz.de/10000879027
Saved in:
13
Seasonal unit roots in aggregate US data
Beaulieu, J. Joseph
;
Miron, Jeffrey A.
-
1992
Persistent link: https://www.econbiz.de/10000843097
Saved in:
14
Asymptotic filtering theory for univariate ARCH models
Nelson, Daniel B.
;
Foster, Dean P.
-
1992
Persistent link: https://www.econbiz.de/10000849715
Saved in:
15
Efficient tests for an autoregressive unit root
Elliott, Graham
;
Rothenberg, Thomas J.
;
Stock, James H.
-
1992
Persistent link: https://www.econbiz.de/10000849716
Saved in:
16
Inference in time series regression when the order of integration of a regressor is unknown
Elliott, Graham
;
Stock, James H.
-
1992
Persistent link: https://www.econbiz.de/10000840062
Saved in:
17
Deciding between I(1) and I(0)
Stock, James H.
-
1992
Persistent link: https://www.econbiz.de/10000840063
Saved in:
18
The relative importance of permanent and transitory components : identification and some theoretical bounds
Quah, Danny
-
1991
Persistent link: https://www.econbiz.de/10013452203
Saved in:
19
Eastern data and Western attitudes
Leamer, Edward E.
-
1991
Persistent link: https://www.econbiz.de/10013452207
Saved in:
20
A simple MLE of cointegrating vectors in higher order integrated systems
Stock, James H.
;
Watson, Mark W.
-
1989
Persistent link: https://www.econbiz.de/10013452141
Saved in:
21
The time-varying-parameter model as an alternative to ARCH for modeling changing conditional variance : the case of Lucas hypothesis
Nelson, Charles R.
-
1988
Persistent link: https://www.econbiz.de/10013452064
Saved in:
22
The interpolation of time series by related series
Friedman, Milton
-
1962
Persistent link: https://www.econbiz.de/10000668516
Saved in:
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