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Consistent covariance matrix estimation for linear processes
Jansson, Michael - In: Econometric theory 18 (2002) 6, pp. 1449-1459
Persistent link: https://www.econbiz.de/10001716914
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Asymptotics of diagonal elements of projection matrices under many instruments/regressors
Anatolyev, Stanislav; Yaskov, Pavel - In: Econometric theory 33 (2017) 3, pp. 717-738
Persistent link: https://www.econbiz.de/10011810190
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Estimation of spatial autoregressions with stochastic weight matrices
Gupta, Abhimanyu - In: Econometric theory 35 (2019) 2, pp. 417-463
Persistent link: https://www.econbiz.de/10012146143
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A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
Nielsen, Morten Ørregaard - In: Econometric theory 25 (2009) 6, pp. 1515-1544
Persistent link: https://www.econbiz.de/10003904421
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Specification of variance matrices for panel data models
Magnus, Jan R.; Muris, Chris - In: Econometric theory 26 (2010) 1, pp. 301-310
Persistent link: https://www.econbiz.de/10003968583
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Wald tests for detecting multiple structural changes in persistence
Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing - In: Econometric theory 29 (2013) 2, pp. 289-323
Persistent link: https://www.econbiz.de/10009760008
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Estimation of and inference about the expected shortfall for time series with infinite variance
Linton, Oliver; Xiao, Zhijie - In: Econometric theory 29 (2013) 4, pp. 771-807
Persistent link: https://www.econbiz.de/10010210161
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The global weighted LAD estimators for finite/infinite variance ARMA (p,q) models
Zhu, Ke; Ling, Shiqing - In: Econometric theory 28 (2012) 5, pp. 1065-1086
Persistent link: https://www.econbiz.de/10009714722
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - In: Econometric theory 30 (2014) 1, pp. 3-59
Persistent link: https://www.econbiz.de/10010399788
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Exploiting infinite variance through dummy variables in nonstationary autoregressions
Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 29 (2013) 6, pp. 1162-1195
Persistent link: https://www.econbiz.de/10010343729