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  • Search: subject:"Long Run Variance Estimation"
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Year of publication
Subject
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Estimation theory 14 Schätztheorie 14 Time series analysis 11 Zeitreihenanalyse 11 Statistical test 7 Statistischer Test 7 Forecasting model 5 Prognoseverfahren 5 long run variance estimation 5 F distribution 4 Long-run variance estimation 4 Estimation 3 Irregular functional 3 Misspecification 3 Pre-asymptotic variance 3 Schätzung 3 Stationarity test 3 Structural break 3 Strukturbruch 3 long-run variance estimation 3 ARCH model 2 ARCH-Modell 2 Autocorrelation 2 Autokorrelation 2 Diebold-Mariano Test 2 Efficient market hypothesis 2 Effizienzmarkthypothese 2 Equal Predictive Ability 2 Erschöpfbare Ressourcen 2 Exhaustible resources 2 F Distribution 2 Forecast evaluation 2 Irregular Functional 2 Level breaks 2 Long Memory 2 Long run variance estimation 2 Long-run Variance Estimation 2 Market efficiency 2 Nichtparametrisches Verfahren 2 Non-renewable resource price 2
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Online availability
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Free 10 Undetermined 8
Type of publication
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Book / Working Paper 13 Article 9
Type of publication (narrower categories)
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Working Paper 8 Article in journal 7 Aufsatz in Zeitschrift 7 Graue Literatur 7 Non-commercial literature 7 Arbeitspapier 6
Language
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English 20 Undetermined 2
Author
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Sun, Yixiao 7 Chen, Xiaohong 5 Liao, Zhipeng 5 Iacone, Fabrizio 4 Harvey, David I. 3 Kruse, Robinson 3 Leschinski, Christian 3 Will, Michael 3 Coroneo, Laura 2 Hualde, Javier 2 Kara, Alper 2 Leybourne, Stephen J. 2 Taylor, A. M. Robert 2 Tunç, Gül Ipek 2 Carrion i Silvestre, Josep Lluís 1 Carrion-i-Silvestre, Josep 1 Gadea, María Dolores 1 Leybourne, Stephen James 1 Müller, Ulrich K. 1 Pellatt, Daniel 1 Pellatt, Daniel F. 1 Sansó, Andreu 1 Whitehouse, Emily J. 1 Yildirim, Dilem 1 Yıldırım, Dilem 1
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Institution
All
Granger Centre for Time Series Econometrics, School of Economics 2 Cowles Foundation for Research in Economics, Yale University 1 School of Economics and Political Science, Universität St. Gallen 1 University of California, San Diego / Department of Economics 1
Published in...
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Discussion papers in economics 3 Discussion Papers / Granger Centre for Time Series Econometrics, School of Economics 2 Journal of econometrics 2 CEMMAP working papers / Centre for Microdata Methods and Practice 1 Cowles Foundation Discussion Papers 1 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 1 ERC working papers in economics 1 Economics letters 1 Empirical Economics 1 Hannover Economic Papers (HEP) 1 International journal of forecasting 1 Journal of Econometrics 1 Journal of applied econometrics 1 Journal of financial econometrics 1 Mineral economics : raw materials report 1 Recent work / Department of Economics, UC San Diego 1 University of St. Gallen Department of Economics working paper series 2002 1 cemmap working paper 1
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Source
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ECONIS (ZBW) 14 RePEc 6 EconStor 2
Showing 1 - 10 of 22
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Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes
Kara, Alper; Yıldırım, Dilem; Tunç, Gül Ipek - 2021
Persistent link: https://www.econbiz.de/10013550334
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Testing for equal predictive accuracy with strong dependence
Coroneo, Laura; Iacone, Fabrizio - 2021
Persistent link: https://www.econbiz.de/10012817692
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Testing for multiple level shifts with an integrated or stationary noise component
Carrion i Silvestre, Josep Lluís; Gadea, María Dolores - In: Journal of applied econometrics 38 (2023) 6, pp. 801-819
Persistent link: https://www.econbiz.de/10014432113
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Market efficiency in non-renewable resource markets : evidence from stationarity tests with structural changes
Kara, Alper; Yildirim, Dilem; Tunç, Gül Ipek - In: Mineral economics : raw materials report 36 (2023) 2, pp. 279-290
Persistent link: https://www.econbiz.de/10014251404
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Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.; Sun, Yixiao - In: Journal of econometrics 235 (2023) 2, pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel; Sun, Yixiao - University of California, San Diego / Department of … - 2020
Persistent link: https://www.econbiz.de/10012504149
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Comparing predictive accuracy under long memory: With an application to volatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016
This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...
Persistent link: https://www.econbiz.de/10011439269
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Cover Image
Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016
This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...
Persistent link: https://www.econbiz.de/10011430242
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Autocorrelation robust inference using the Daniell kernel with fixed bandwidth
Hualde, Javier; Iacone, Fabrizio - 2015
Persistent link: https://www.econbiz.de/10011318412
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Comparing predictive accuracy in small samples
Coroneo, Laura; Iacone, Fabrizio - 2015
Persistent link: https://www.econbiz.de/10011411613
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