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Distribution of the ML estimator of an MA(1) and a local level model
Shephard, Neil G. - In: Econometric theory 9 (1993) 3, pp. 377-401
Persistent link: https://www.econbiz.de/10001151128
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ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS
Jensen, Søren Tolver; Rahbek, Anders; Andrews, D.; … - In: Econometric theory 23 (2007) 4, pp. 761-766
Persistent link: https://www.econbiz.de/10007732413
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THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
Nielsen, Heino Bohn; Rahbek, Anders; Bacchiocchi, E.; … - In: Econometric theory 23 (2007) 4, pp. 615-637
Persistent link: https://www.econbiz.de/10007732418
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PROBLEMS AND SOLUTIONS - SOLUTIONS - The Limit Distribution of Cointegration Rank Tests of "Wald" Type
Rahbek, Anders - In: Econometric theory 18 (2002) 4, pp. 1016
Persistent link: https://www.econbiz.de/10006973185
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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1761
Persistent link: https://www.econbiz.de/10008719749
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Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 21 (2005) 5, pp. 946-961
Persistent link: https://www.econbiz.de/10003101947
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ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 21 (2005) 5, pp. 946-961
Persistent link: https://www.econbiz.de/10006958470
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ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
Jensen, Søren Tolver; Rahbek, Anders - In: Econometric theory 20 (2004) 6, pp. 1203-1226
Persistent link: https://www.econbiz.de/10006962803
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Testing and inference in nonlinear cointegrating vector erro correction models
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 29 (2013) 6, pp. 1238-1288
Persistent link: https://www.econbiz.de/10010343726
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Cointegration rank testing under conditional heteroskedasticity
Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1760
Persistent link: https://www.econbiz.de/10008738343