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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 161 (2011) 2, pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
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Model selection in under-specified equations facing breaks
Castle, Jennifer; Hendry, David F. - In: Journal of econometrics 178 (2014) 1, pp. 286-293
Persistent link: https://www.econbiz.de/10010256158
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Model averaging by jackknife criterion in models with dependent data
Zhang, Xinyu; Wan, Alan T. K.; Zou, Guohua - In: Journal of econometrics 174 (2013) 2, pp. 82-94
Persistent link: https://www.econbiz.de/10009751245
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Specification tests of parametric dynamic conditional quantiles
Escanciano, Juan Carlos; Velasco, Carlos - In: Journal of econometrics 159 (2010) 1, pp. 209-221
Persistent link: https://www.econbiz.de/10008839927
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Functional index coefficient models with variable selection
Cai, Zongwu; Juhl, Ted; Yang, Bingduo - In: Journal of econometrics 189 (2015) 2, pp. 272-284
Persistent link: https://www.econbiz.de/10011504526
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Exponentially tilted likelihood inference on growing dimensional unconditional moment models
Tang, Niansheng; Yan, Xiaodong; Zhao, Puying - In: Journal of econometrics 202 (2018) 1, pp. 57-74
Persistent link: https://www.econbiz.de/10011974553
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Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331
Persistent link: https://www.econbiz.de/10011348447
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Time-invariant restrictions of volatility functionals : efficient estimation and specification tests
Yang, Xiye - In: Journal of econometrics 215 (2020) 2, pp. 486-516
Persistent link: https://www.econbiz.de/10012439497
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Factor-adjusted regularized model selection
Fan, Jianqing; Ke, Yuan; Wang, Kaizheng - In: Journal of econometrics 216 (2020) 1, pp. 71-85
Persistent link: https://www.econbiz.de/10012439637
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Non-negativity conditions for the hyperbolic GARCH model
Conrad, Christian - In: Journal of econometrics 157 (2010) 2, pp. 441-457
Persistent link: https://www.econbiz.de/10008662982