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A model-free consistent test for structural change in regression possibly with endogeneity

Fu, Zhonghao; Hong, Yongmiao - In: Journal of econometrics 211 (2019) 1, pp. 206-242

Persistent link: https://www.econbiz.de/10012303616

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry

Pouliot, William - In: Economic modelling 58 (2016), pp. 523-534

Persistent link: https://www.econbiz.de/10011647526

Multiple structural breaks in cointegrating regressions : a model selection approach

Schmidt, Alexander; Schweikert, Karsten - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 219-254

Persistent link: https://www.econbiz.de/10013334688

Inference after estimation of breaks

Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - In: Journal of econometrics 224 (2021) 1, pp. 39-59

Persistent link: https://www.econbiz.de/10013275378

Infill asymptotic theory and applications in financial econometrics

Lui, Yiu Lim - In: Financial econometrics : theory and applications, (pp. 132-158). 2025

Persistent link: https://www.econbiz.de/10015426488

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388

Persistent link: https://www.econbiz.de/10012483394

Quantile estimation of stochastic frontier models with the normal-half normal specification : A cumulative distribution function approach

Zhao, Shirong - In: Economics letters 206 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012886993

A dynamic hurdle model for zero-inflated count data : with an application to health care utilization

Baetschmann, Gregori; Winkelmann, Rainer - 2014

Excess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process has two rates, a lower rate until the first event, and a higher one thereafter. We derive the...

Persistent link: https://www.econbiz.de/10010360341

A nonparametric kernel regression approach for pricing options on stock market index

Kung, James J. - In: Applied economics 48 (2016) 10/12, pp. 902-913

Persistent link: https://www.econbiz.de/10011432797