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  • Search: subject:"strong mixing"
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Year of publication
Subject
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Strong mixing 13 strong mixing 11 Asymptotic normality 4 Schätztheorie 4 Theorie 4 Common factors 3 Conditional strong mixing 3 Cross-sectional dependence 3 Estimation theory 3 Interactive fixed effects 3 Linearity 3 Nichtparametrisches Verfahren 3 Panel data models 3 Specification test 3 Zeitreihenanalyse 3 robustness 3 Additive Models 2 Brownian 2 Central limit theorem 2 Dimension reduction techniques 2 Economic growth 2 GMM 2 LSTAR 2 Multiplier central limit theorem 2 Nonparametric statistics 2 Parameter constancy 2 Stochastischer Prozess 2 Strong mixing condition 2 Theory 2 Time series analysis 2 U-statistics 2 Unit root 2 asymptotic normality 2 conditional moment restrictions 2 expected shortfall 2 first-order local identification failure 2 level set 2 local and global identification 2 marginal integration 2 minimum volume predictor 2
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Online availability
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Undetermined 25 Free 15 CC license 1
Type of publication
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Article 28 Book / Working Paper 15
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 4 Arbeitspapier 1 Article 1
Language
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Undetermined 32 English 11
Author
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Jin, Sainan 3 Su, Liangjun 3 Yao, Qiwei 3 Zhang, Yonghui 3 Bücher, Axel 2 Camlong-Viot, Christine 2 Dovonon, Prosper 2 Gospodinov, Nikolaj 2 He, Changli 2 Polonik, Wolfgang 2 Rodríguez-Póo, Juan M. 2 Sandberg, Rickard 2 Vieu, Philippe 2 Ahmad, I. 1 Amiri, Aboubacar 1 Andrews, Donald W.K. 1 Baran, S. 1 Bradley, Richard C. 1 Bryc, Wlodzimierz 1 Cabrera, Manuel Ordóñez 1 Cheng, Fuxia 1 Davidson, James 1 Dette, Holger 1 Dufour, Jean-Marie 1 Ekström, Magnus 1 Feng, Yuanhua 1 Francq, Christian 1 Guillou, Armelle 1 Hall, Peter 1 Härdle, Wolfgang Karl 1 Jensen, Eva 1 Jiang, Wenxin 1 Khardani, Salah 1 Kochar, S. 1 Kojadinovic, Ivan 1 Lahiri, S. 1 Lee, Sangyeol 1 Lemdani, Mohamed 1 Lin, Jin-guan 1 Martins-Filho, Carlos 1
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Institution
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London School of Economics (LSE) 3 Cowles Foundation for Research in Economics, Yale University 1 Department of Economics, College of Business and Economics 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Faculty of Economics, University of Cambridge 1 School of Economics, Singapore Management University 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Journal of Multivariate Analysis 5 Annals of the Institute of Statistical Mathematics 4 Statistics & Probability Letters 4 LSE Research Online Documents on Economics 3 Metrika 3 Statistical Inference for Stochastic Processes 3 SSE/EFI Working Paper Series in Economics and Finance 2 Stochastic Processes and their Applications 2 Cambridge Working Papers in Economics 1 Cowles Foundation Discussion Papers 1 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 1 IRTG 1792 Discussion Paper 1 Journal of Econometrics 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of econometrics 1 MPRA Paper 1 Quantitative Economics 1 Quantitative economics : QE ; journal of the Econometric Society 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 STICERD - Econometrics Paper Series 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 Theoretical economics letters 1 Working Papers / Department of Economics, College of Business and Economics 1 Working Papers / School of Economics, Singapore Management University 1
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Source
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RePEc 34 ECONIS (ZBW) 5 EconStor 4
Showing 1 - 10 of 43
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Specification testing for conditional moment restrictions under local identification failure
Dovonon, Prosper; Gospodinov, Nikolaj - In: Quantitative Economics 15 (2024) 3, pp. 849-891
degenerate U-statistics under strong mixing dependence. Importantly, the specification test is robust to first-order local …
Persistent link: https://www.econbiz.de/10015420297
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Specification testing for conditional moment restrictions under local identification failure
Dovonon, Prosper; Gospodinov, Nikolaj - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 849-891
degenerate U-statistics under strong mixing dependence. Importantly, the specification test is robust to first-order local …
Persistent link: https://www.econbiz.de/10015053885
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A data-driven P-spline smoother and the P-Spline-GARCH models
Feng, Yuanhua; Härdle, Wolfgang Karl - 2020
errors process is exponentially strong mixing with nite moments of all orders. Asymptotic normality of the P-spline smoother …
Persistent link: https://www.econbiz.de/10012433260
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Practical methods for modeling weak VARMA processes : identification, estimation and specification with a macroeconomic application
Dufour, Jean-Marie; Pelletier, Denis - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1140-1152
Persistent link: https://www.econbiz.de/10013539468
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Detecting relevant changes in time series models
Dette, Holger; Wied, Dominik - 2014
Persistent link: https://www.econbiz.de/10010347323
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Bootstrapping the expected shortfall
Sun, Shuxia; Cheng, Fuxia - In: Theoretical economics letters 8 (2018) 4, pp. 685-698
Persistent link: https://www.econbiz.de/10011882103
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Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos; Yao, Feng; Torero, Maximo - Department of Economics, College of Business and Economics - 2012
may include lagged returns and other exogenous variables, are assumed to be strong mixing and follow a fully nonparametric …
Persistent link: https://www.econbiz.de/10010796087
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Asymptotic properties of weighted least squares estimation in weak parma models
Francq, Christian; Roy, Roch; Saidi, Abdessamad - Volkswirtschaftliche Fakultät, … - 2011
The aim of this work is to investigate the asymptotic properties of weighted least squares (WLS) estimation for causal and invertible periodic autoregressive moving average (PARMA) models with uncorrelated but dependent errors. Under mild assumptions, it is shown that the WLS estimators of PARMA...
Persistent link: https://www.econbiz.de/10008836433
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Specification test for panel data models with interactive fixed effects
Su, Liangjun; Jin, Sainan; Zhang, Yonghui - In: Journal of Econometrics 186 (2015) 1, pp. 222-244
of conditional strong mixing that was recently introduced by Prakasa Rao (2009). To improve the finite sample performance …
Persistent link: https://www.econbiz.de/10011209285
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Specification test for panel data models with interactive fixed effects
Su, Liangjun; Jin, Sainan; Zhang, Yonghui - In: Journal of econometrics 186 (2015) 1, pp. 222-244
Persistent link: https://www.econbiz.de/10011349506
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