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  • Search: subject:"Time-varying rolling estimation"
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Year of publication
Subject
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QARDL 2 Cointegration 1 Dividend 1 Dividend Smoothing 1 Dividend smoothing 1 Dividende 1 Estimation 1 Estimation theory 1 Kointegration 1 Long-run Cointegrating Relationship 1 Long-run cointegrating relationship 1 Quantile Regression 1 Quantile regression 1 Regression analysis 1 Regressionsanalyse 1 Schätztheorie 1 Schätzung 1 Time series analysis 1 Time-varying Rolling Estimation 1 Time-varying rolling estimation 1 Zeitreihenanalyse 1
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Online availability
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Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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CHO, JIN SEO 1 Cho, Jin Seo 1 KIM, TAE-HWAN 1 Kim, Tae-hwan 1 SHIN, YONGCHEOL 1 Shin, Yongcheol 1
Institution
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Economic Research Institute, College of Business and Economics 1
Published in...
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Journal of econometrics 1 Working papers / Economic Research Institute, College of Business and Economics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Quantile cointegration in the autoregressive distributed-lag modeling framework
Cho, Jin Seo; Kim, Tae-hwan; Shin, Yongcheol - In: Journal of econometrics 188 (2015) 1, pp. 281-300
Persistent link: https://www.econbiz.de/10011500352
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Cover Image
Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework
CHO, JIN SEO; KIM, TAE-HWAN; SHIN, YONGCHEOL - Economic Research Institute, College of Business and … - 2014
Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hansen¡¯s (1990) semiparametric approach and Saikkonen¡¯s (1991) parametrically augmented approach. This paper extends Pesaran and Shin¡¯s (1998) autoregressive distributed-lag...
Persistent link: https://www.econbiz.de/10011191555
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