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Testing for self-excitation in jumps

Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266

Persistent link: https://www.econbiz.de/10011974668

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

Zu, Yang; Boswijk, Herman Peter - In: Journal of empirical finance 41 (2017), pp. 53-75

Persistent link: https://www.econbiz.de/10011746959

Inference on co-integration parameters in heteroskedastic vector autoregressions

Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - In: Journal of econometrics 192 (2016) 1, pp. 64-85

Persistent link: https://www.econbiz.de/10011615672

Adaptive wild bootstrap tests for a unit root with non‐stationary volatility

Boswijk, Herman Peter; Zu, Yang - In: The econometrics journal 21 (2018) 2, pp. 87-113

Persistent link: https://www.econbiz.de/10012166602

Bootstrapping non-stationary stochastic volatility

Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - In: Journal of econometrics 224 (2021) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10013275368

Exogeneity in Error Correction Models

Urbain, Jean-Pierre - 1993

In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe...

Persistent link: https://www.econbiz.de/10013518962

Error correction testing in panels with common stochastic trends

Gengenbach, Christian; Urbain, Jean-Pierre; Westerlund, … - In: Journal of applied econometrics 31 (2016) 6, pp. 982-1004

Persistent link: https://www.econbiz.de/10011686171

Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type

Beutner, Eric; Reese, Simon; Urbain, Jean-Pierre - In: Insurance / Mathematics & economics 75 (2017), pp. 117-125

Persistent link: https://www.econbiz.de/10011740783

Combining forecasts from successive data vintages : an application to U.S. growth

Götz, Thomas B.; Hecq, Alain W. J.; Urbain, Jean-Pierre - In: International journal of forecasting 32 (2016) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10011596442

Econometric analysis of panel data models with multifactor error structures

Karabiyik, Hande; Palm, Franz C.; Urbain, Jean-Pierre - In: Annual review of economics 11 (2019), pp. 495-522

Persistent link: https://www.econbiz.de/10012623785