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~person:"Johansen, Søren"
~person:"Phillips, Peter C. B."
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Maximum likelihood estimation
14
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Johansen, Søren
Phillips, Peter C. B.
Lee, Lung-fei
24
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ECONIS (ZBW)
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1
Model selection in the presence of incidental parameters
Lee, Yoonseok
;
Phillips, Peter C. B.
- In:
Journal of econometrics
188
(
2015
)
2
,
pp. 474-489
Persistent link: https://www.econbiz.de/10011503635
Saved in:
2
First difference maximum likelihood and dynamic panel estimation
Han, Chirok
;
Phillips, Peter C. B.
- In:
Journal of econometrics
175
(
2013
)
1
,
pp. 35-45
Persistent link: https://www.econbiz.de/10009749365
Saved in:
3
Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 51-66
Persistent link: https://www.econbiz.de/10008826876
Saved in:
4
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Phillips, Peter C. B.
;
Yu, Jun
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 139-150
Persistent link: https://www.econbiz.de/10003858462
Saved in:
5
Maximum likelihood and Gaussian estimation of continuous time models in finance
Phillips, Peter C. B.
;
Yu, Jun
- In:
Handbook of financial time series
,
(pp. 497-530)
.
2009
Persistent link: https://www.econbiz.de/10003834176
Saved in:
6
Expansions for approximate maximum likelihood estimators of the fractional difference parameter
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
The econometrics journal
8
(
2005
)
3
,
pp. 367-379
Persistent link: https://www.econbiz.de/10003209151
Saved in:
7
Jackknifing bond option prices
Phillips, Peter C. B.
;
Yu, Jun
- In:
The review of financial studies
18
(
2005
)
2
,
pp. 707-742
Persistent link: https://www.econbiz.de/10002882119
Saved in:
8
Expansions for the distribution of the maximum likelihood estimator of the fractional difference parameter
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Econometric theory
20
(
2004
)
3
,
pp. 464-484
Persistent link: https://www.econbiz.de/10002068210
Saved in:
9
A small sample correction of the Dickey-Fuller test
Johansen, Søren
- In:
New directions in macromodelling
,
(pp. 49-68)
.
2004
Persistent link: https://www.econbiz.de/10002717320
Saved in:
10
A small sample correction for tests of hypotheses on the cointegrating vectors
Johansen, Søren
- In:
Journal of econometrics
111
(
2002
)
2
,
pp. 195-221
Persistent link: https://www.econbiz.de/10001715741
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