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A reality check for data snooping
White, Halbert - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 5, pp. 1097-1126
Persistent link: https://www.econbiz.de/10001510571
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Bootstrap determination of the co-integration rank in vector autoregressive models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1721-1740
Persistent link: https://www.econbiz.de/10009629515
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Asymptotic distribution theory for nonparametric entropy measures of serial dependence
Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901
Persistent link: https://www.econbiz.de/10002876743
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Temporal aggregation of an estar process : some implications for purchasing power parity adjustment
Payá, Ivan; Peel, David - In: Journal of applied econometrics 21 (2006) 5, pp. 655-668
Persistent link: https://www.econbiz.de/10003360464
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Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models
Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10013165161
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Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Demetrescu, Matei; Hanck, Christoph; Kruse-Becher, Robinson - In: Journal of applied econometrics 37 (2022) 5, pp. 1010-1030
Persistent link: https://www.econbiz.de/10013464645
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Individual forecaster perceptions of the persistence of shocks to GDP
Clements, Michael P. - In: Journal of applied econometrics 37 (2022) 3, pp. 640-656
Persistent link: https://www.econbiz.de/10013186706
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A test for instrument validity
Kitagawa, Toru - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 5, pp. 2043-2063
Persistent link: https://www.econbiz.de/10011417104
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Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 2, pp. 813-831
Persistent link: https://www.econbiz.de/10011350499
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Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
Chen, Xiaohong; Pouzo, Demian - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1013-1079
Persistent link: https://www.econbiz.de/10011378588