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subject:"Time series analysis"
subject:"Unit root test"
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ECONIS (ZBW)
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1
Testing for parameter change epochs in GARCH time series
Richter, Stefan
;
Wang, Weining
;
Wu, Wei Biao
- In:
The econometrics journal
26
(
2023
)
3
,
pp. 467-491
Persistent link: https://www.econbiz.de/10014391712
Saved in:
2
Combining counterfactual outcomes and ARIMA models for policy evaluation
Menchetti, Fiammetta
;
Cipollini, Fabrizio
;
Mealli, Fabrizia
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10013543270
Saved in:
3
Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
Casoli, Chiara
;
Lucchetti, Riccardo
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 494-514
Persistent link: https://www.econbiz.de/10013253846
Saved in:
4
Optimal panel unit root testing with covariates
Juodis, Artūras
;
Westerlund, Joakim
- In:
The econometrics journal
22
(
2019
)
1
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012166653
Saved in:
5
Quantile coherency : a general measure for dependence between cyclical economic variables
Baruník, Jozef
;
Kley, Tobias
- In:
The econometrics journal
22
(
2019
)
2
,
pp. 131-152
Persistent link: https://www.econbiz.de/10012166706
Saved in:
6
Robust tests for deterministic seasonality and seasonal mean shifts
Astill, S.
;
Taylor, Robert
- In:
The econometrics journal
21
(
2018
)
3
,
pp. 277-297
Persistent link: https://www.econbiz.de/10012166629
Saved in:
7
Change point tests in functional factor models with application to Yield curves
Bardsley, Patrick
;
Horváth, Lajos
;
Kokoszka, Piotr
; …
- In:
The econometrics journal
20
(
2017
)
1
,
pp. 86-117
Persistent link: https://www.econbiz.de/10011719969
Saved in:
8
Nonparametric regression with nearly integrated regressors under long-run dependence
Cai, Zongwu
;
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
- In:
The econometrics journal
20
(
2017
)
1
,
pp. 118-138
Persistent link: https://www.econbiz.de/10011719971
Saved in:
9
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
Saved in:
10
Common breaks in time trends for large panel data with a factor structure
Kim, Dukpa
- In:
The econometrics journal
17
(
2014
)
3
,
pp. 301-337
Persistent link: https://www.econbiz.de/10010498717
Saved in:
11
Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series
Song, Song
;
Härdle, Wolfgang
;
Ritov, Ya'acov
- In:
The econometrics journal
17
(
2014
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10010498722
Saved in:
12
Stochastic equicontinuity in nonlinear time series models
Hagemann, Andreas
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 188-196
Persistent link: https://www.econbiz.de/10010498747
Saved in:
13
A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Qu, Zhongjun
;
Perron, Pierre
- In:
The econometrics journal
16
(
2013
)
3
,
pp. 309-339
Persistent link: https://www.econbiz.de/10010253639
Saved in:
14
Testing for rational bubbles in a coexplosive vector autoregression
Engsted, Tom
;
Nielsen, Bent
- In:
The econometrics journal
15
(
2012
)
2
,
pp. 226-254
Persistent link: https://www.econbiz.de/10009614927
Saved in:
15
Non-stationary non-parametric volatility model
Han, Heejoon
;
Zhang, Shen
- In:
The econometrics journal
15
(
2012
)
2
,
pp. 204-225
Persistent link: https://www.econbiz.de/10009614928
Saved in:
16
Multivariate stochastic volatility, leverage and news impact surfaces
Asai, Manabu
;
McAleer, Michael
- In:
The econometrics journal
12
(
2009
)
2
,
pp. 292-309
Persistent link: https://www.econbiz.de/10003875671
Saved in:
17
Looking for skewness in financial time series
Grigoletto, Matteo
;
Lisi, Francesco
- In:
The econometrics journal
12
(
2009
)
2
,
pp. 310-323
Persistent link: https://www.econbiz.de/10003875680
Saved in:
18
Panel unit root tests in the presence of cross-sectional dependence : finite sample performance and an application
Silva, S.\de
;
Hadri, Kaddour
;
Tremayne, Andrew R.
- In:
The econometrics journal
12
(
2009
)
2
,
pp. 340-366
Persistent link: https://www.econbiz.de/10003875804
Saved in:
19
Stationarity of a family of GARCH processes
Liu, Ji-chun
- In:
The econometrics journal
12
(
2009
)
3
,
pp. 436-446
Persistent link: https://www.econbiz.de/10003948829
Saved in:
20
Seasonal unit root tests and the role of initial conditions
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 409-442
Persistent link: https://www.econbiz.de/10003802328
Saved in:
21
Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
Sandberg, Rickard
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 638-647
Persistent link: https://www.econbiz.de/10003802469
Saved in:
22
Exact formulas for the Hodrick-Prescott filter
McElroy, Tucker
- In:
The econometrics journal
11
(
2008
)
1
,
pp. 209-217
Persistent link: https://www.econbiz.de/10003648736
Saved in:
23
Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
Brown, Bryan W.
;
Hodgson, Douglas J.
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 35-48
Persistent link: https://www.econbiz.de/10003451746
Saved in:
24
How useful are tests for uni-root in distinguishing unit-root processes from stationary but non-linear processes?
Choi, Chi-young
;
Moh, Young-kyu
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 82-112
Persistent link: https://www.econbiz.de/10003451749
Saved in:
25
Testing for time series linearity
Harvey, David I.
;
Leybourne, Stephen James
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 149-165
Persistent link: https://www.econbiz.de/10003451752
Saved in:
26
Joint hypothesis specification for unit root tests with a structural bank
Carrion i Silvestre, Josep Lluís
;
Sansó, Andreu
- In:
The econometrics journal
9
(
2006
)
2
,
pp. 196-224
Persistent link: https://www.econbiz.de/10003352017
Saved in:
27
Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
Liu, Hui
;
Rodriguez, Gabriel
- In:
The econometrics journal
9
(
2006
)
2
,
pp. 225-251
Persistent link: https://www.econbiz.de/10003352019
Saved in:
28
A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
Deng, Ai
;
Perron, Pierre
- In:
The econometrics journal
9
(
2006
)
3
,
pp. 423-447
Persistent link: https://www.econbiz.de/10003390163
Saved in:
29
Optimal fractional Dickey-Fuller tests
Lobato, Ignacio N.
;
Velasco, Carlos
- In:
The econometrics journal
9
(
2006
)
3
,
pp. 492-510
Persistent link: https://www.econbiz.de/10003390169
Saved in:
30
Moment approximation for least-squares estimators in dynamic regression models with a unit root
Kiviet, J. F.
;
Phillips, Garry D. A.
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 115-142
Persistent link: https://www.econbiz.de/10003018790
Saved in:
31
Functional-coefficient models under unit root behaviour
Juhl, Ted
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 197-213
Persistent link: https://www.econbiz.de/10003018933
Saved in:
32
Nob-linear GARCH models for highly persistent volatility
Lanne, Markku
;
Saikkonen, Pentti
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 251-276
Persistent link: https://www.econbiz.de/10003018967
Saved in:
33
Linearity tests and stationarity
Kiliç, Rehim
- In:
The econometrics journal
7
(
2004
)
1
,
pp. 55-62
Persistent link: https://www.econbiz.de/10002121943
Saved in:
34
Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers
Zhang, Wei
;
Lee, Lung-fei
- In:
The econometrics journal
7
(
2004
)
1
,
pp. 120-142
Persistent link: https://www.econbiz.de/10002121982
Saved in:
35
Determination of cointegrating rank in partially non-stationary processes vis a generalised von-Neumann criterion
Harris, David
;
Poskitt, Donald Stephen
- In:
The econometrics journal
7
(
2004
)
1
,
pp. 191-217
Persistent link: https://www.econbiz.de/10002122071
Saved in:
36
Modelling phase shifts among stochastic cycles
Rünstler, Gerhard
- In:
The econometrics journal
7
(
2004
)
1
,
pp. 232-248
Persistent link: https://www.econbiz.de/10002122079
Saved in:
37
The consequences of seasonal adjustment for periodic autoregressive processes
Barrio Castro, Tomas del
;
Osborn, Denise R.
- In:
The econometrics journal
7
(
2004
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10002463439
Saved in:
38
Testing linearity in cointegrating transition regressions
Choi, In
;
Saikkonen, Pentti
- In:
The econometrics journal
7
(
2004
)
2
,
pp. 341-365
Persistent link: https://www.econbiz.de/10002463466
Saved in:
39
Identification of causal factor models of stationary time series
Heaton, Christopher
;
Solo, Victor
- In:
The econometrics journal
7
(
2004
)
2
,
pp. 618-627
Persistent link: https://www.econbiz.de/10002463697
Saved in:
40
Tests for a change in persistence against the null of difference-stationarity
Leybourne, Stephen James
;
Kim, Tae-hwan
;
Smith, Vanessa
; …
- In:
The econometrics journal
6
(
2003
)
2
,
pp. 291-311
Persistent link: https://www.econbiz.de/10001831250
Saved in:
41
Stochastic volatility : Bayesian computation using automatic differentiation and the extended Kalman filter
Meyer, Renate
;
Fournier, David A.
;
Berg, Andreas
- In:
The econometrics journal
6
(
2003
)
2
,
pp. 408-420
Persistent link: https://www.econbiz.de/10001831283
Saved in:
42
Limiting behaviour of Dickey-Fuller F-tests under the crash of model alternative
Sen, Amit
- In:
The econometrics journal
6
(
2003
)
2
,
pp. 421-429
Persistent link: https://www.econbiz.de/10001831288
Saved in:
43
Explaining economic time series : a Bayesian graphical approach
Marriott, J. M.
;
Naylor, J. C.
;
Tremayne, Andrew R.
- In:
The econometrics journal
6
(
2003
)
1
,
pp. 124-145
Persistent link: https://www.econbiz.de/10001781047
Saved in:
44
Asymptotics for unit root tests under Markov regime-switching
Cavaliere, Giuseppe
- In:
The econometrics journal
6
(
2003
)
1
,
pp. 193-216
Persistent link: https://www.econbiz.de/10001781055
Saved in:
45
An optimal test against a random walk component in a non-orthogonal unobserved components model
Bailey, Ralph W.
;
Taylor, Robert
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 520-532
Persistent link: https://www.econbiz.de/10001713335
Saved in:
46
On Monte Carlo estimation of relative power
Paruolo, Paolo
- In:
The econometrics journal
5
(
2002
)
1
,
pp. 65-75
Persistent link: https://www.econbiz.de/10001683691
Saved in:
47
On LM type tests for seasonal unit roots in quarterly data
Rodrigues, Paulo M. M.
- In:
The econometrics journal
5
(
2002
)
1
,
pp. 176-195
Persistent link: https://www.econbiz.de/10001683702
Saved in:
48
Forecasting autoregressive time series in the presence of deterministic components
Ng, Serena
;
Vogelsang, Timothy J.
- In:
The econometrics journal
5
(
2002
)
1
,
pp. 196-224
Persistent link: https://www.econbiz.de/10001683704
Saved in:
49
Distinguishing between trend-break models : method and empirical evidence
Hsu, Chih-chiang
;
Kuan, Chung-ming
- In:
The econometrics journal
4
(
2001
)
4
,
pp. 171-190
Persistent link: https://www.econbiz.de/10001651344
Saved in:
50
A Gaussian approach for continous time models of the short-term interest rate
Yu, Jun
;
Phillips, Peter C. B.
- In:
The econometrics journal
4
(
2001
)
4
,
pp. 210-224
Persistent link: https://www.econbiz.de/10001651353
Saved in:
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