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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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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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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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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
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Stationary integrated Arch(∞) and Ar(∞) processes with finite variance
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - In: Econometric theory 34 (2018) 6, pp. 1159-1179
Persistent link: https://www.econbiz.de/10012038038
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Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao; Chan, Ngai Hang - In: Econometric theory 37 (2021) 5, pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
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Large sample justifications for the Bayesian empirical likelihood
Sueishi, Naoya - In: Econometric theory 40 (2024) 4, pp. 926-956
Persistent link: https://www.econbiz.de/10015154310
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Bayesian inference based only on simulated likelihood : particle filter analysis of dynamic economic models
Flury, Thomas; Shephard, Neil G. - In: Econometric theory 27 (2011) 5, pp. 933-956
Persistent link: https://www.econbiz.de/10009379765
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Likelihood inference in an autoregression with fixed effects
Dhaene, Geert; Jochmans, Koen - In: Econometric theory 32 (2016) 5, pp. 1178-1215
Persistent link: https://www.econbiz.de/10011661738
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Adaptive Bayesian estimation of conditional densities
Norets, Andriy; Pati, Debdeep - In: Econometric theory 33 (2017) 4, pp. 980-1012
Persistent link: https://www.econbiz.de/10011810224