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Correlated random effects models with unbalanced panels
Wooldridge, Jeffrey M. - In: Journal of econometrics 211 (2019) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10012303605
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Increasing the power of specification tests
Woutersen, Tiemen; Hausman, Jerry A. - In: Journal of econometrics 211 (2019) 1, pp. 166-175
Persistent link: https://www.econbiz.de/10012303611
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A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
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Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
Kuersteiner, Guido M. - In: Journal of econometrics 211 (2019) 1, pp. 243-261
Persistent link: https://www.econbiz.de/10012303619
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Optimal linear instrumental variables approximations
Escanciano, Juan Carlos; Li, Wei - In: Journal of econometrics 221 (2021) 1, pp. 223-246
Persistent link: https://www.econbiz.de/10012618821
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Time-varying instrumental variable estimation
Giraitis, Liudas; Kapetanios, George; Marcellino, … - In: Journal of econometrics 224 (2021) 2, pp. 394-415
Persistent link: https://www.econbiz.de/10013275394
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Higher-order kernel semiparametric M-estimation of long memory
Robinson, Peter M.; Henry, Marc - In: Journal of econometrics 114 (2003) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001738912
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - In: Journal of econometrics 178 (2014) 1, pp. 273-285
Persistent link: https://www.econbiz.de/10010256161