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Estimation theory
59
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Journal of time series econometrics
Journal of econometrics
1,626
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1
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
2
Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra
- In:
Journal of time series econometrics
14
(
2022
)
1
,
pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
Saved in:
3
Variable selection in regression models using global sensitivity analysis
Becker, William
;
Paruolo, Paolo
;
Saltelli, Andrea
- In:
Journal of time series econometrics
13
(
2021
)
2
,
pp. 187-233
Persistent link: https://www.econbiz.de/10012612768
Saved in:
4
In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
Tayanagi, Toshikazu
;
Kurozumi, Eiji
- In:
Journal of time series econometrics
15
(
2023
)
2
,
pp. 111-149
Persistent link: https://www.econbiz.de/10014465604
Saved in:
5
Temporally local maximum likelihood with application to SIS model
Gourieroux, Christian
;
Jasiak, Joann
- In:
Journal of time series econometrics
15
(
2023
)
2
,
pp. 151-198
Persistent link: https://www.econbiz.de/10014465605
Saved in:
6
Improving the estimation and predictions of small time series models
Liu-Evans, Gareth
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014288356
Saved in:
7
Goodness-of-fit tests for SPARMA models with dependent error terms
Maïnassara, Yacouba Boubacar
;
Amir, Abdoulkarim Ilmi
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 107-140
Persistent link: https://www.econbiz.de/10013260167
Saved in:
8
Estimating SPARMA models with dependent error terms
Maïnassara, Yacouba Boubacar
;
Amir, Abdoulkarim Ilmi
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 141-174
Persistent link: https://www.econbiz.de/10013260186
Saved in:
9
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
10
Estimating impulse-response functions for macroeconomic models using directional quantiles
Montes-Rojas, Gabriel
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 199-225
Persistent link: https://www.econbiz.de/10013260199
Saved in:
11
Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo
- In:
Journal of time series econometrics
13
(
2021
)
1
,
pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
Saved in:
12
A general frequency domain estimation method for Gegenbauer processes
Hunt, Richard
;
Peiris, Shelton
;
Weber, Neville C.
- In:
Journal of time series econometrics
13
(
2021
)
2
,
pp. 119-144
Persistent link: https://www.econbiz.de/10012612765
Saved in:
13
Estimation of continuous and discrete time co-integrated systems with stock and flow variables
González Olivares, Daniel
;
Guizar, Isai
- In:
Journal of time series econometrics
13
(
2021
)
2
,
pp. 145-186
Persistent link: https://www.econbiz.de/10012612767
Saved in:
14
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
Saved in:
15
Checking model adequacy for count time series by using Pearson residuals
Weiß, Christian H.
;
Scherer, Lukas
;
Aleksandrov, Boris
; …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10012258316
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16
A comparison of hurst exponent estimators in long-range dependent curve time series
Shang, Han Lin
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012258318
Saved in:
17
Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie
;
Politis, Dimitris N.
- In:
Journal of time series econometrics
12
(
2020
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012300649
Saved in:
18
Local lagged adapted generalized method of moments : an innovative estimation and forecasting approach and its applications
Otunuga, Olusegun M.
;
Ladde, Gangaram S.
;
Ladde, Nathan G.
- In:
Journal of time series econometrics
11
(
2019
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10012022811
Saved in:
19
Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
Dēmos, Antōnēs A.
;
Kyriakopoulou, Dimitra
- In:
Journal of time series econometrics
11
(
2019
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012022815
Saved in:
20
A generalized ARFIMA model with smooth transition fractional integration parameter
Boubaker, Heni
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011817682
Saved in:
21
On trend breaks and initial condition in unit root testing
Skrobotov, Anton
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011817686
Saved in:
22
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
23
Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
Symeonides, Spyridon D.
;
Karavias, Yiannis
;
Tzavalis, Elias
- In:
Journal of time series econometrics
9
(
2017
)
1
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011671115
Saved in:
24
Testing for nonlinearity in conditional covariances
Sanhaji, Bilel
- In:
Journal of time series econometrics
9
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011701865
Saved in:
25
Tail behavior and dependence structure in the APARCH model
Javed, Farrukh
;
Podgórski, Krzysztof
- In:
Journal of time series econometrics
9
(
2017
)
2
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011701888
Saved in:
26
Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null
Sollis, Robert
- In:
Journal of time series econometrics
8
(
2016
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011440443
Saved in:
27
A note on the QMLE limit theory in the non-stationary ARCH(1) model
Arvanitis, Stelios
;
Louka, Alexandros
- In:
Journal of time series econometrics
8
(
2016
)
1
,
pp. 21-39
Persistent link: https://www.econbiz.de/10011440450
Saved in:
28
An improved selection test between autoregressive and moving average disturbances in regression models
Nguimkeu, Pierre
- In:
Journal of time series econometrics
8
(
2016
)
1
,
pp. 41-54
Persistent link: https://www.econbiz.de/10011440453
Saved in:
29
Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
Bardet, Jean-Marc
;
Dola, Béchir
- In:
Journal of time series econometrics
8
(
2016
)
2
,
pp. 115-153
Persistent link: https://www.econbiz.de/10011582764
Saved in:
30
Tapered block bootstrap for unit root testing
Parker, Cameron
;
Paparoditis, Efstathios
;
Politis, …
- In:
Journal of time series econometrics
7
(
2015
)
1
,
pp. 37-67
Persistent link: https://www.econbiz.de/10010510047
Saved in:
31
Testing for multiple structural changes with non-homogeneous regressors
Kurozumi, Eiji
- In:
Journal of time series econometrics
7
(
2015
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010510054
Saved in:
32
Recursive adjustment for general deterministic components and improved cointegration rank tests
Born, Benjamin
;
Demetrescu, Matei
- In:
Journal of time series econometrics
7
(
2015
)
2
,
pp. 143-179
Persistent link: https://www.econbiz.de/10011291306
Saved in:
33
A test of the long memory hypothesis based on self-similarity
Davidson, James E. H.
;
Rambaccussing, Dooruj
- In:
Journal of time series econometrics
7
(
2015
)
2
,
pp. 115-141
Persistent link: https://www.econbiz.de/10011291316
Saved in:
34
Estimation bias and feasible conditional forecasts from the first-order moving average model
Bao, Yong
;
Zhang, Ru
- In:
Journal of time series econometrics
6
(
2014
)
1
,
pp. 63-80
Persistent link: https://www.econbiz.de/10010225248
Saved in:
35
Bias correction of KPSS test with structural break for reducing of size distortion
Skrobotov, Anton
- In:
Journal of time series econometrics
6
(
2014
)
1
,
pp. 33-61
Persistent link: https://www.econbiz.de/10010225253
Saved in:
36
Bootstrap point optimal unit root tests
Wang, Liqiong
- In:
Journal of time series econometrics
6
(
2014
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010225261
Saved in:
37
Valid locally uniform edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
Arvanitis, Stelios
;
Dēmos, Antōnēs A.
- In:
Journal of time series econometrics
6
(
2014
)
2
,
pp. 183-235
Persistent link: https://www.econbiz.de/10010401116
Saved in:
38
Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
Okui, Ryo
- In:
Journal of time series econometrics
6
(
2014
)
2
,
pp. 129-181
Persistent link: https://www.econbiz.de/10010401125
Saved in:
39
Asymptotic behavior of temporal aggregates in the frequency domain
Hassler, Uwe
;
Tsai, Henghsiu
- In:
Journal of time series econometrics
5
(
2013
)
1
,
pp. 47-60
Persistent link: https://www.econbiz.de/10009753096
Saved in:
40
A hybrid data cloning maximum likelihood estimator for stochastic volatility models
Laurini, Márcio Poletti
- In:
Journal of time series econometrics
5
(
2013
)
2
,
pp. 193-229
Persistent link: https://www.econbiz.de/10010225441
Saved in:
41
A covariate residual-based cointegration test applied to the CDS-bond basis
Game, Aaron
;
Wu, Jason
- In:
Journal of time series econometrics
5
(
2013
)
2
,
pp. 163-192
Persistent link: https://www.econbiz.de/10010225442
Saved in:
42
Asymptotic theory for regressions with smoothly changing parameters
Hillebrand, Eric
;
Medeiros, Marcelo C.
;
Xu, Junyue
- In:
Journal of time series econometrics
5
(
2013
)
2
,
pp. 133-162
Persistent link: https://www.econbiz.de/10010225454
Saved in:
43
On identifying structural VAR models via ARCH effects
Milunovich, George
;
Yang, Minxian
- In:
Journal of time series econometrics
5
(
2013
)
2
,
pp. 117-131
Persistent link: https://www.econbiz.de/10010225458
Saved in:
44
Regression with autocorrelated errors using design-adapted haar wavelets
Porto, Rogério F.
;
Morettin, Pedro A.
;
Aubin, Elisete C. Q.
- In:
Journal of time series econometrics
4
(
2012
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009623492
Saved in:
45
Markov breaks in regression models
Smith, Aaron D.
- In:
Journal of time series econometrics
4
(
2012
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009623499
Saved in:
46
Biases of correlograms and of AR representations of stationary series
Abadir, Karim Maher
;
Larsson, Rolf
- In:
Journal of time series econometrics
4
(
2012
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10009623506
Saved in:
47
Testing for cointegration in the presence of moving average errors
Mallory, Mindy
;
Lence, Sergio H.
- In:
Journal of time series econometrics
4
(
2012
)
2
,
pp. 1-66
Persistent link: https://www.econbiz.de/10009713310
Saved in:
48
Bootstrap, jackknife and COLS : bias and mean squared error in estimation of autoregressive models
Liu-Evans, Gareth D.
;
Phillips, Garry D. A.
- In:
Journal of time series econometrics
4
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009713311
Saved in:
49
Consideration of trends in time series
White, Halbert
;
Granger, C. W. J.
- In:
Journal of time series econometrics
3
(
2011
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10009623246
Saved in:
50
Wavelet estimation of copulas for time series
Morettin, Pedro A.
;
Toloi, Clelia M. C.
;
Chiann, Chang
; …
- In:
Journal of time series econometrics
3
(
2011
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009623563
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