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1
Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj
;
Kan, Raymond
;
Robotti, Cesare
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
5
,
pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596
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2
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
3
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
4
Generalized method of integrated moments for high-frequency data
Li, Jia
;
Xiu, Dacheng
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1613-1633
Persistent link: https://www.econbiz.de/10011611168
Saved in:
5
Testing for common conditionally heteroskedastic factors
Dovonon, Prosper
;
Renault, Eric
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
6
,
pp. 2561-2586
Persistent link: https://www.econbiz.de/10010237396
Saved in:
6
Testing for smooth structural changes in time series models via nonparametric regression
Chen, Bin
;
Hong, Yongmiao
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
3
,
pp. 1157-1183
Persistent link: https://www.econbiz.de/10009629017
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7
The realized Laplace transform of volatility
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
3
,
pp. 1105-1127
Persistent link: https://www.econbiz.de/10009629019
Saved in:
8
Bootstrap determination of the co-integration rank in vector autoregressive models
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
4
,
pp. 1721-1740
Persistent link: https://www.econbiz.de/10009629515
Saved in:
9
Copulas and temporal dependence
Beare, Brendan K.
- In:
Econometrica : journal of the Econometric Society, an …
78
(
2010
)
1
,
pp. 395-410
Persistent link: https://www.econbiz.de/10003989270
Saved in:
10
Solving, estimating, and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor
;
Krätzig, Markus
- In:
Econometrica : journal of the Econometric Society, an …
78
(
2010
)
2
,
pp. 803-821
Persistent link: https://www.econbiz.de/10003989388
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11
Testing hypothesis about the number of factors in large factor models
Onatski, Alexei
- In:
Econometrica : journal of the Econometric Society, an …
77
(
2009
)
5
,
pp. 1447-1479
Persistent link: https://www.econbiz.de/10003914912
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12
Testing models of low-frequency variability
Müller, Ulrich K.
;
Watson, Mark W.
- In:
Econometrica : journal of the Econometric Society, an …
76
(
2008
)
5
,
pp. 979-1016
Persistent link: https://www.econbiz.de/10003765857
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13
Optimal bandwidth selection in heteroskedasticity- autocorrelation robust testing
Sun, Yixiao
;
Phillips, Peter C. B.
;
Jin, Sainan
- In:
Econometrica : journal of the Econometric Society, an …
76
(
2008
)
1
,
pp. 175-194
Persistent link: https://www.econbiz.de/10003726590
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14
Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions
Bai, Jushan
;
Ng, Serena
- In:
Econometrica : journal of the Econometric Society, an …
74
(
2006
)
4
,
pp. 1133-1150
Persistent link: https://www.econbiz.de/10003346183
Saved in:
15
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
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16
Asymptotic distribution theory for nonparametric entropy measures of serial dependence
Hong, Yongmiao
;
White, Halbert
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
3
,
pp. 837-901
Persistent link: https://www.econbiz.de/10002876743
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17
Empirical limits for time series econometric models
Ploberger, Werner
;
Phillips, Peter C. B.
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 627-673
Persistent link: https://www.econbiz.de/10001750434
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18
The influence of VAR dimensions on estimator biases : comment
Doornik, Jurgen A.
;
Nielsen, Bent
;
Rothenberg, Thomas J.
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
1
,
pp. 377-383
Persistent link: https://www.econbiz.de/10001731136
Saved in:
19
The time series and cross section asymptotics of dynamic panel data estimators
Alvarez, Javier
;
Arellano, Manuel
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
4
,
pp. 1121-1159
Persistent link: https://www.econbiz.de/10001792653
Saved in:
20
Cointegration in fractional systems with unknown integration orders
Robinson, Peter M.
;
Hualde, J.
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
6
,
pp. 1727-1766
Persistent link: https://www.econbiz.de/10001841356
Saved in:
21
Lower risk bounds and properties of confidence sets for ill-posed estimation problems with applications to spectral density and persistence estimation, unit roots, and estimation o...
Pötscher, Benedikt M.
- In:
Econometrica : journal of the Econometric Society, an …
70
(
2002
)
3
,
pp. 1035-1065
Persistent link: https://www.econbiz.de/10001688015
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22
Band spectral regression with trending data
Corbae, Dean
;
Ouliaris, Sam
;
Phillips, Peter C. B.
- In:
Econometrica : journal of the Econometric Society, an …
70
(
2002
)
3
,
pp. 1067-1109
Persistent link: https://www.econbiz.de/10001688017
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23
Spatial price competition : a semiparametric approach
Pinkse, Joris
;
Slade, Margaret Emily
;
Brett, Craig
- In:
Econometrica : journal of the Econometric Society, an …
70
(
2002
)
3
,
pp. 1111-1153
Persistent link: https://www.econbiz.de/10001688043
Saved in:
24
Adapting to unknown disturbance autocorrelation in regression with long memory
Hidalgo, Javier
;
Robinson, Peter M.
- In:
Econometrica : journal of the Econometric Society, an …
70
(
2002
)
4
,
pp. 1545-1581
Persistent link: https://www.econbiz.de/10001688094
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25
Subsampling intervals in autoregressive models with linear time trend
Romano, Joseph P.
;
Wolf, Michael
- In:
Econometrica : journal of the Econometric Society, an …
69
(
2001
)
5
,
pp. 1283-1314
Persistent link: https://www.econbiz.de/10001612104
Saved in:
26
Nonlinear regressions with integrated time series
Park, Joon Y.
;
Phillips, Peter C. B.
- In:
Econometrica : journal of the Econometric Society, an …
69
(
2001
)
1
,
pp. 117-161
Persistent link: https://www.econbiz.de/10001545098
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27
A simple test of the law of demand for the United States
Zambrano, Eduardo
;
Vogelsang, Timothy J.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
4
,
pp. 1011-1020
Persistent link: https://www.econbiz.de/10001500180
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28
A reality check for data snooping
White, Halbert
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
5
,
pp. 1097-1126
Persistent link: https://www.econbiz.de/10001510571
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29
Nonstationary binary choice
Park, Joon Y.
;
Phillips, Peter C. B.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
5
,
pp. 1249-1280
Persistent link: https://www.econbiz.de/10001510582
Saved in:
30
The econometrics of ultra-high-frequency data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
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31
Nonparametric estimation of triangular simultaneous equations models
Newey, Whitney K.
;
Powell, James L.
;
Vella, Francis
- In:
Econometrica : journal of the Econometric Society, an …
67
(
1999
)
3
,
pp. 565-603
Persistent link: https://www.econbiz.de/10001378231
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32
Conventional confidence intervals for points on spectrum have confidence level zero
Faust, Jon
- In:
Econometrica : journal of the Econometric Society, an …
67
(
1999
)
3
,
pp. 629-637
Persistent link: https://www.econbiz.de/10001378261
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33
Explaining investment dynamics in US manufacturing : a generalized (S,s) approach
Caballero, Ricardo J.
;
Engel, Eduardo
- In:
Econometrica : journal of the Econometric Society, an …
67
(
1999
)
4
,
pp. 783-826
Persistent link: https://www.econbiz.de/10001390140
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34
The influence of VAR dimensions on estimator biases
Abadir, Karim Maher
;
Hadri, Kaddour
;
Tzavalis, Elias
- In:
Econometrica : journal of the Econometric Society, an …
67
(
1999
)
1
,
pp. 163-181
Persistent link: https://www.econbiz.de/10001256083
Saved in:
35
Trend function hypothesis testing in the presence of serial correlation
Vogelsang, Timothy J.
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
1
,
pp. 123-148
Persistent link: https://www.econbiz.de/10001233467
Saved in:
36
Exact inference methods for first-order autoregressive distributed lag models
Dufour, Jean-Marie
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
1
,
pp. 79-104
Persistent link: https://www.econbiz.de/10001233470
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37
Autoregressive conditional duration : a new model for irregularly spaced transaction data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
5
,
pp. 1127-1162
Persistent link: https://www.econbiz.de/10001249588
Saved in:
38
Short run and long run causality in time series : theory
Dufour, Jean-Marie
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
5
,
pp. 1099-1125
Persistent link: https://www.econbiz.de/10001249589
Saved in:
39
Large sample properties of posterior densities, Bayesian information criterion and the likelihood principle in nonstationary time series models
Kim, Chae-yŏng
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
2
,
pp. 359-380
Persistent link: https://www.econbiz.de/10001237569
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40
Sieve extremum estimates for weakly dependent data
Chen, Xiaohong
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
2
,
pp. 289-314
Persistent link: https://www.econbiz.de/10001237572
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41
The "devil's horns" problem of inverting confluent characteristic functions
Abadir, Karim Maher
- In:
Econometrica : journal of the Econometric Society, an …
65
(
1997
)
5
,
pp. 1221-1225
Persistent link: https://www.econbiz.de/10001225108
Saved in:
42
Asymptotic theory of integrated conditional moment tests
Bierens, Herman J.
- In:
Econometrica : journal of the Econometric Society, an …
65
(
1997
)
5
,
pp. 1129-1151
Persistent link: https://www.econbiz.de/10001225119
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43
Robust rank tests of the unit root hypothesis
Hasan, M. N.
- In:
Econometrica : journal of the Econometric Society, an …
65
(
1997
)
1
,
pp. 133-161
Persistent link: https://www.econbiz.de/10001217063
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44
Cointegration and dynamic simultaneous equations model
Hsiao, Cheng
- In:
Econometrica : journal of the Econometric Society, an …
65
(
1997
)
3
,
pp. 647-670
Persistent link: https://www.econbiz.de/10001221200
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45
Efficient tests for an autoregressive unit root
Elliott, Graham
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
4
,
pp. 813-836
Persistent link: https://www.econbiz.de/10001203922
Saved in:
46
Econometric model determination
Phillips, Peter C. B.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
4
,
pp. 763-812
Persistent link: https://www.econbiz.de/10001203923
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47
Asymptotic inference about predictive ability
West, Kenneth D.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
5
,
pp. 1067-1084
Persistent link: https://www.econbiz.de/10001206925
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48
Monitoring structural change
Chu, Chia-shang James
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
5
,
pp. 1045-1065
Persistent link: https://www.econbiz.de/10001206926
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49
An asymptotic theory of Bayesian inference for time series
Phillips, Peter C. B.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
2
,
pp. 381-412
Persistent link: https://www.econbiz.de/10001196496
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50
Asymptotically optimal smoothing with ARCH models
Nelson, Daniel B.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
3
,
pp. 561-573
Persistent link: https://www.econbiz.de/10001199898
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