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Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
Li, Degui; Phillips, Peter C. B.; Gao, Jiti - In: Econometric theory 32 (2016) 3, pp. 655-685
Persistent link: https://www.econbiz.de/10011606819
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Asymptotics for GARCH squared residual correlations
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 515-540
Persistent link: https://www.econbiz.de/10001777176
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Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction
Robinson, Peter M. - In: Econometric theory 21 (2005) 1, pp. 171-180
Persistent link: https://www.econbiz.de/10002674673
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On testing for serial correlation with a wavelet-based spectral density estimator in multivariate time series
Duchesne, Pierre - In: Econometric theory 22 (2006) 4, pp. 633-676
Persistent link: https://www.econbiz.de/10003351876
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Simple, robust, and powerful tests of the breaking trend hypothesis
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 25 (2009) 4, pp. 995-1029
Persistent link: https://www.econbiz.de/10003875923
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Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Koike, Yuta - In: Econometric theory 32 (2016) 3, pp. 533-611
Persistent link: https://www.econbiz.de/10011606815
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Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices
Politis, Dimitris N. - In: Econometric theory 27 (2011) 4, pp. 703-744
Persistent link: https://www.econbiz.de/10009311779
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Asymptotics of ML estimator for regression models with a stochastic trend component
Kuo, Biing-shen - In: Econometric theory 15 (1999) 1, pp. 24-49
Persistent link: https://www.econbiz.de/10001381799
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A consistent test for conditional heteroskedasticity in time-series regression models
Hsiao, Cheng; Li, Qi - In: Econometric theory 17 (2001) 1, pp. 188-221
Persistent link: https://www.econbiz.de/10001556097
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Regression theory for nearly cointegrated time series
Jansson, Michael; Haldrup, Niels - In: Econometric theory 18 (2002) 6, pp. 1309-1335
Persistent link: https://www.econbiz.de/10001716904