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Outlier robust analysis of long-run marketing effects for weekly scanning data

Franses, Philip Hans; Kloek, Teun; Lucas, Andre - In: Journal of Econometrics 89 (1998) 1-2, pp. 293-315

Persistent link: https://www.econbiz.de/10005285644

A nonlinear long memory model, with an application to US unemployment

van Dijk, Dick; Franses, Philip Hans; Paap, Richard - In: Journal of Econometrics 110 (2002) 2, pp. 135-165

Persistent link: https://www.econbiz.de/10005285698

Twenty years of cointegration

Boswijk, H. Peter; Franses, Philip Hans; van Dijk, Dick - In: Journal of Econometrics 158 (2010) 1, pp. 1-2

Persistent link: https://www.econbiz.de/10008866523

Cointegration in a historical perspective

Boswijk, H. Peter; Franses, Philip Hans; van Dijk, Dick - In: Journal of Econometrics 158 (2010) 1, pp. 156-159

We analyse the impact of the Engle and Granger (1987) article by means of its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were...

Persistent link: https://www.econbiz.de/10008866563

A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model

Abadir, Karim M.; Lucas, Andre - In: Journal of Econometrics 119 (2004) 1, pp. 45-71

Persistent link: https://www.econbiz.de/10005122673

Classical and Bayesian aspects of robust unit root inference

Hoek, Henk; Lucas, Andre; Dijk, Herman K. van - In: Journal of Econometrics 69 (1995) 1, pp. 27-59

Persistent link: https://www.econbiz.de/10005228648

The multi-state latent factor intensity model for credit rating transitions

Koopman, Siem Jan; Lucas, Andre; Monteiro, Andre - In: Journal of Econometrics 142 (2008) 1, pp. 399-424

Persistent link: https://www.econbiz.de/10005228895

Semi-nonparametric cointegration testing

Boswijk, H. Peter; Lucas, Andre - In: Journal of Econometrics 108 (2002) 2, pp. 253-280

Persistent link: https://www.econbiz.de/10005239054

An outlier robust unit root test with an application to the extended Nelson-Plosser data

Lucas, Andre - In: Journal of Econometrics 66 (1995) 1-2, pp. 153-173

Persistent link: https://www.econbiz.de/10005192837

Measuring volatility with the realized range

Martens, Martin; van Dijk, Dick - In: Journal of Econometrics 138 (2007) 1, pp. 181-207

Persistent link: https://www.econbiz.de/10005285497