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Prediction errors in nonstationary autoregressions of infinite order
Ing, Ching-kang; Sin, Chor-yiu; Yu, Shu-hui - In: Econometric theory 26 (2010) 3, pp. 774-803
Persistent link: https://www.econbiz.de/10003992431
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Optimal prediction under asymmetric loss
Christoffersen, Peter F. - In: Econometric theory 13 (1997) 6, pp. 808-817
Persistent link: https://www.econbiz.de/10001236164
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Prediction and signal extraction of strongly dependent processes in the frequency domain
Hidalgo, Javier; Yajima, Yasutoshi - In: Econometric theory 18 (2002) 3, pp. 584-624
Persistent link: https://www.econbiz.de/10001673367
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A unified approach to the measurement error problem in time series models
Tanaka, Katsuto - In: Econometric theory 18 (2002) 2, pp. 278-296
Persistent link: https://www.econbiz.de/10001661295
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Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
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Estimating the persistence and the autocorrelation function of a time series that is measured with error
Hansen, Peter Reinhard; Lunde, Asger - In: Econometric theory 30 (2014) 1, pp. 60-93
Persistent link: https://www.econbiz.de/10010399787
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Test for zero median of errors in an ARMA-GARCH model
Ma, Yaolan; Zhou, Mohan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 38 (2022) 3, pp. 536-561
Persistent link: https://www.econbiz.de/10013269973
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Asymptotics for cointegrated processes with infrequent stochastic level shifts and outliers
Georgiev, Iliyan - In: Econometric theory 24 (2008) 3, pp. 587-615
Persistent link: https://www.econbiz.de/10003894270
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Test for parameter instability in dynamic factor models
Han, Xu; Inoue, Atsushi - In: Econometric theory 31 (2015) 5, pp. 1117-1152
Persistent link: https://www.econbiz.de/10011545524
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A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
Sun, Yiguo; Cai, Zongwu; Li, Qi - In: Econometric theory 32 (2016) 4, pp. 988-1022
Persistent link: https://www.econbiz.de/10011644226