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Local Whittle estimation of fractional integration and some of its variants
Shimotsu, Katsumi; Phillips, Peter C.B. - In: Journal of econometrics 130 (2006) 2, pp. 209-234
Persistent link: https://www.econbiz.de/10006748300
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Exact local Whittle estimation of fractionally cointegrated systems
Shimotsu, Katsumi - In: Journal of econometrics 169 (2012) 2, pp. 266-278
Persistent link: https://www.econbiz.de/10009673193
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Gaussian semiparametric estimation of multivariate fractionally integrated processes
Shimotsu, Katsumi - In: Journal of econometrics 137 (2007) 2, pp. 277-310
Persistent link: https://www.econbiz.de/10003441725
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Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596
Persistent link: https://www.econbiz.de/10007859777
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Gaussian semiparametric estimation of multivariate fractionally integrated processes
Shimotsu, Katsumi - In: Journal of econometrics 137 (2007) 2, pp. 277-310
Persistent link: https://www.econbiz.de/10007604730
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Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Journal of econometrics 146 (2008) 1, pp. 92-106
Persistent link: https://www.econbiz.de/10008109081
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Exact local Whittle estimation of fractionally cointegrated systems
Shimotsu, Katsumi - In: Journal of econometrics 169 (2012) 2, pp. 266-279
Persistent link: https://www.econbiz.de/10009987064
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of econometrics 161 (2011) 2, pp. 110-122
Persistent link: https://www.econbiz.de/10008877473
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Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Journal of econometrics 146 (2008) 1, pp. 92-107
Persistent link: https://www.econbiz.de/10008881133
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of econometrics 161 (2011) 2, pp. 110-121
Persistent link: https://www.econbiz.de/10009242200