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Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
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Semi-parametric single-index predictive regression models with cointegrated regressors
Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015073842
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Stochastic cointegration : estimation and inference
Harris, David; McCabe, Brendan Peter Martin; Leybourne, … - In: Journal of econometrics 111 (2002) 2, pp. 363-384
Persistent link: https://www.econbiz.de/10001715761
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Riesz estimators
Aliprantis, Charalambos D.; Harris, David; Tourky, Rabee - In: Journal of econometrics 136 (2007) 2, pp. 431-456
Persistent link: https://www.econbiz.de/10003412641
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Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 192 (2016) 2, pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
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Riesz estimators
Aliprantis, Charalambos D.; Harris, David; Tourky, Rabee - In: Journal of econometrics 136 (2007) 2, pp. 431-456
Persistent link: https://www.econbiz.de/10007391021
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Stochastic cointegration: estimation and inference
Harris, David; Mccabe, Brendan; Leybourne, Stephen - In: Journal of econometrics 111 (2002) 2, pp. 363-384
Persistent link: https://www.econbiz.de/10006766555