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Short run and long run causality in time series: inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - In: Journal of econometrics 132 (2006) 2, pp. 337-362
Persistent link: https://www.econbiz.de/10007286189
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Short run and long run causality in time series : inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Eric - In: Journal of econometrics 132 (2006) 2, pp. 337-362
Persistent link: https://www.econbiz.de/10003348758
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Regime switching for dynamic correlations
Pelletier, Denis - In: Journal of econometrics 131 (2006) 1/2, pp. 445-473
Persistent link: https://www.econbiz.de/10003298605
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Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-33
Persistent link: https://www.econbiz.de/10008770557
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Regime switching for dynamic correlations
Pelletier, Denis - In: Journal of econometrics 131 (2006) 1, pp. 445-474
Persistent link: https://www.econbiz.de/10006747786
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Monte Carlo tests with nuisance parameters : a general approach to finite-sample inference and nonstandard asymptotics
Dufour, Jean-Marie - In: Journal of econometrics 133 (2006) 2, pp. 443-477
Persistent link: https://www.econbiz.de/10003359541
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Estimators of the disturbance variance in econometric models : small-sample bias and the existence of moments
Dufour, Jean-Marie - In: Journal of econometrics 37 (1988) 2, pp. 277-292
Persistent link: https://www.econbiz.de/10003533625
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Recent developments in the econometrics of structural change
Dufour, Jean-Marie (contributor);  … - In: Journal of econometrics 70,1 : Annals of econometrics (1996)
Persistent link: https://www.econbiz.de/10004258178
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Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Dufour, Jean-Marie; Khalaf, Lynda; Bernard, Jean-Thomas; … - In: Journal of econometrics 122 (2004) 2, pp. 317-348
Persistent link: https://www.econbiz.de/10006755781
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Exact tests in single equation autoregressive distributed lag models
Kiviet, Jan F.; Dufour, Jean-Marie - In: Journal of econometrics 80 (1997) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10006791456