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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
A unified unit root test regardless of intercept
Yang, Bingduo
;
Liu, Xiaohui
;
Long, Wei
;
Peng, Liang
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 540-555
Persistent link: https://www.econbiz.de/10014305575
Saved in:
3
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
Jin, Fei
;
Wang, Yuqin
- In:
Econometric reviews
41
(
2022
)
6
,
pp. 652-674
Persistent link: https://www.econbiz.de/10013364900
Saved in:
4
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun
;
Horrace, William C.
;
Lee, Yoonseok
- In:
Econometric reviews
43
(
2024
)
5
,
pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
Saved in:
5
Heteroscedasticity testing after outlier removal
Berenguer-Rico, Vanessa
;
Wilms, Ines
- In:
Econometric reviews
40
(
2021
)
1
,
pp. 51-85
Persistent link: https://www.econbiz.de/10012483796
Saved in:
6
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
7
Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors
Zhang, Ruohao
;
Kumbhakar, Subal
;
Lai, Hung-pin
- In:
Econometric reviews
40
(
2021
)
4
,
pp. 415-432
Persistent link: https://www.econbiz.de/10012515607
Saved in:
8
Model averaging in a multiplicative heteroscedastic model
Zhao, Shangwei
;
Ma, Yanyuan
;
Wan, Alan T. K.
;
Zhang, Xinyu
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1100-1124
Persistent link: https://www.econbiz.de/10012406211
Saved in:
9
Testing for a unit root with nonstationary nonlinear heteroskedasticity
Tu, Yundong
;
Chan, Nigel
;
Wang, Qiying
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 904-929
Persistent link: https://www.econbiz.de/10012295588
Saved in:
10
Robust inference in conditionally heteroskedastic autoregressions
Pedersen, Rasmus Søndergaard
- In:
Econometric reviews
39
(
2020
)
3
,
pp. 244-259
Persistent link: https://www.econbiz.de/10012181447
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11
Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
Tu, Yundong
;
Wang, Ying
- In:
Econometric reviews
39
(
2020
)
3
,
pp. 299-318
Persistent link: https://www.econbiz.de/10012181451
Saved in:
12
GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity
Liu, Xiaodong
;
Saraiva, Paulo
- In:
Econometric reviews
38
(
2019
)
4
,
pp. 359-385
Persistent link: https://www.econbiz.de/10012181305
Saved in:
13
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe
;
Skrobotov, Anton
;
Taylor, Robert
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
Saved in:
14
A joint test for parametric specification and independence in nonlinear regression models
Li, Shuo
;
Tu, Yundong
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1202-1215
Persistent link: https://www.econbiz.de/10012181402
Saved in:
15
Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
Lin, Eric S.
;
Chou, Ta-Sheng
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012038129
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16
A modified confidence set for the structural break date in linear regression models
Yamamoto, Yohei
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 974-999
Persistent link: https://www.econbiz.de/10012040525
Saved in:
17
A heteroskedasticity-robust f-test statistic for individual effects
Orme, Chris D.
;
Yamagata, Takashi
- In:
Econometric reviews
33
(
2014
)
5/6
,
pp. 431-471
Persistent link: https://www.econbiz.de/10010360815
Saved in:
18
Mixing conditions, central limit theorems, and invariance principles : a survey of the literature with some new results on heteroscedastic sequences
Kourogenis, Nikolaos
;
Pittis, Nikitas
- In:
Econometric reviews
30
(
2011
)
1
,
pp. 88-108
Persistent link: https://www.econbiz.de/10008990458
Saved in:
19
Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed Bayesian bootstrap
Poirier, Dale J.
- In:
Econometric reviews
30
(
2011
)
4
,
pp. 457-468
Persistent link: https://www.econbiz.de/10009130231
Saved in:
20
Cointegrating regressions with time heterogeneity
Kim, Chang Sik
;
Park, Joon Y.
- In:
Econometric reviews
29
(
2010
)
4
,
pp. 397-438
Persistent link: https://www.econbiz.de/10003978820
Saved in:
21
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments
West, Kenneth D.
;
Wong, Ka-fu
;
Anatolyev, Stanislav
- In:
Econometric reviews
28
(
2009
)
5
,
pp. 441-467
Persistent link: https://www.econbiz.de/10003873072
Saved in:
22
Asymptotic and bootstrap inference for AR (∞) processes with conditional heteroskedasticity
Gonçalves, Sílvia
;
Kilian, Lutz
- In:
Econometric reviews
26
(
2007
)
6
,
pp. 609-641
Persistent link: https://www.econbiz.de/10003605816
Saved in:
23
Factor stochastic volatility in mean models : a GMM approach
Doz, Catherine
;
Renault, Eric
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 275-309
Persistent link: https://www.econbiz.de/10003355766
Saved in:
24
More efficient tests robust to heteroskedasticity of unknown form
Flachaire, Emmanuel
- In:
Econometric reviews
24
(
2005
)
2
,
pp. 219-241
Persistent link: https://www.econbiz.de/10003002311
Saved in:
25
Adaptive estimation of heteroskedastic error component models
Baltagi, Badi H.
;
Bresson, Georges
;
Pirotte, Alain
- In:
Econometric reviews
24
(
2005
)
1
,
pp. 39-58
Persistent link: https://www.econbiz.de/10002655589
Saved in:
26
Robust asymptotic inference in autoregressive models with martingale difference errors
Gospodinov, Nikolaj
- In:
Econometric reviews
24
(
2005
)
1
,
pp. 59-81
Persistent link: https://www.econbiz.de/10002655592
Saved in:
27
Semiparametric efficient estimation of the mean of a time series in the presence of conditional heterogeneity of unknown form
Hodgson, Douglas J.
- In:
Econometric reviews
23
(
2004
)
3
,
pp. 229-257
Persistent link: https://www.econbiz.de/10002263074
Saved in:
28
Unit root tests under time-varying variances
Cavaliere, Giuseppe
- In:
Econometric reviews
23
(
2004
)
3
,
pp. 259-292
Persistent link: https://www.econbiz.de/10002263235
Saved in:
29
Statistical adequacy and the testing of trend versus difference stationarity
Andreou, Elena
;
Spanos, Aris
- In:
Econometric reviews
22
(
2003
)
3
,
pp. 217-237
Persistent link: https://www.econbiz.de/10001786916
Saved in:
30
Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 1)
Perron, Pierre
- In:
Econometric reviews
22
(
2003
)
3
,
pp. 239-245
Persistent link: https://www.econbiz.de/10001786918
Saved in:
31
Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 2)
Lumsdaine, Robin L.
- In:
Econometric reviews
22
(
2003
)
3
,
pp. 247-252
Persistent link: https://www.econbiz.de/10001786919
Saved in:
32
Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 3)
Nymoen, Ragnar
- In:
Econometric reviews
22
(
2003
)
3
,
pp. 253-260
Persistent link: https://www.econbiz.de/10001786920
Saved in:
33
Is adaptive estimation useful for panel models with heteroskedasticity in the individual specific error component? : Some Monte Carlo evidence
Roy, Nilanjana
- In:
Econometric reviews
21
(
2002
)
2
,
pp. 189-203
Persistent link: https://www.econbiz.de/10001704798
Saved in:
34
Adaptive testing in ARCH models
Linton, Oliver
;
Steigerwald, Douglas G.
- In:
Econometric reviews
19
(
2000
)
2
,
pp. 145-174
Persistent link: https://www.econbiz.de/10001483693
Saved in:
35
The robustness, reliability and power of heteroskedasticity tests
Godfrey, Les G.
;
Orme, Chris D.
- In:
Econometric reviews
18
(
1999
)
2
,
pp. 169-194
Persistent link: https://www.econbiz.de/10001371095
Saved in:
36
Bootstrap methods for heteroskedastic regression models : evidence on estimation and testing
Cribari-Neto, Francisco
;
Zarkos, Spyros G.
- In:
Econometric reviews
18
(
1999
)
2
,
pp. 211-228
Persistent link: https://www.econbiz.de/10001371098
Saved in:
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