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Determining the cointegration rank in heteroskedastic VAR models of unknown order
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Econometric theory 34 (2018) 2, pp. 349-382
Persistent link: https://www.econbiz.de/10011950959
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Cointegration and representation of cointegrated autoregressive processes in Banach spaces
Seo, Won-Ki - In: Econometric theory 39 (2023) 4, pp. 737-788
Persistent link: https://www.econbiz.de/10014342259
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Noncausal vector autoregression
Lanne, Markku; Saikkonen, Pentti - In: Econometric theory 29 (2013) 3, pp. 447-481
Persistent link: https://www.econbiz.de/10009778526
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Present value relations, Granger noncausality, and VAR stability
Fanelli, Luca - In: Econometric theory 23 (2007) 6, pp. 1254-1260
Persistent link: https://www.econbiz.de/10003591895
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Robust optimal tests for causality in multivariate time series
Saidi, Abdessamad; Roy, Roch - In: Econometric theory 24 (2008) 4, pp. 948-987
Persistent link: https://www.econbiz.de/10003736842
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Fourth moment structure of the GARCH(p,q) process
He, Changli; Teräsvirta, Timo - In: Econometric theory 15 (1999) 6, pp. 824-846
Persistent link: https://www.econbiz.de/10001507480
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Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels
Robinson, Peter M.; Henry, Mark S. - In: Econometric theory 15 (1999) 3, pp. 299-336
Persistent link: https://www.econbiz.de/10001434304
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LM tests in the presence of non-normal error distributions
Furno, Marilena - In: Econometric theory 16 (2000) 2, pp. 249-261
Persistent link: https://www.econbiz.de/10001483372
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A strong consistency proof for heteroskedasticity and autocorrelation consistent covariance matrix estimators
Jong, Robert M. de - In: Econometric theory 16 (2000) 2, pp. 262-268
Persistent link: https://www.econbiz.de/10001483373
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Asymptotically efficient median regresssion in the presence of heteroskedasticity of unknown form
Zhao, Quanshui - In: Econometric theory 17 (2001) 4, pp. 765-784
Persistent link: https://www.econbiz.de/10001606794