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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

The square root of a matrix

Abadir, Karim Maher - In: Journal of time series econometrics 4 (2012) 2, pp. 1-5

Persistent link: https://www.econbiz.de/10009714886

Statistics

Abadir, Karim Maher; Heijmans, Risto; Magnus, Jan R. - 2019

Persistent link: https://www.econbiz.de/10011976163

Link of moments before and after transformations, with an application to resampling from fat-tailed distributions

Abadir, Karim Maher; Cornea-Madeira, Adriana - In: Econometric theory 35 (2019) 3, pp. 630-652

Persistent link: https://www.econbiz.de/10012146160

Where (and by how much) does a theory break down? : with an application to the expectation hypothesis

Abadir, Karim Maher; Atanasova, Christina - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 255-267). 2022

Persistent link: https://www.econbiz.de/10013194564

Biases of correlograms and of AR representations of stationary series

Abadir, Karim M.; Larsson, Rolf - In: Journal of time series econometrics 4 (2012) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10010029894

How close is a fractional process to a random walk with drift?

Larsson, Rolf - In: Journal of time series econometrics 7 (2015) 2, pp. 217-234

Persistent link: https://www.econbiz.de/10011291296

The square root of a matrix

Abadir, Karim M. - In: Journal of time series econometrics 4 (2012) 2, pp. 1-5

Persistent link: https://www.econbiz.de/10010097498

A likelihood ratio type test for invertibility in moving average processes

Larsson, Rolf - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 489-501

A new test for invertibility of moving average processes is proposed. The test is based on an explicit local approximation of the likelihood ratio. A simulation study compares the power with two previously suggested tests: a score type test and a numerical likelihood ratio test. Local to the...

Persistent link: https://www.econbiz.de/10010871477

TESTING FOR STATIONARITY WITH A BREAK IN PANELS WHERE THE TIME DIMENSION IS FINITE

Hadri, Kaddour; Larsson, Rolf; Rao, Yao - In: Bulletin of Economic Research 64 (2012) Supplement 1, pp. 123-123

Persistent link: https://www.econbiz.de/10010752399