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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 185 (2015) 2, pp. 435-452
Persistent link: https://www.econbiz.de/10011348967
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Bias in the estimation of the mean reversion parameter in continuous time models
Yu, Jun - In: Journal of econometrics 169 (2012) 1, pp. 114-122
Persistent link: https://www.econbiz.de/10009666687
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Econometric estimation with high-dimensional moment equalities
Shi, Zhentao - In: Journal of econometrics 195 (2016) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10011705235
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A new approach to model regime switching
Chang, Yoosoon; Choi, Yongok; Park, Joon Y. - In: Journal of econometrics 196 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011743787
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Estimation of integrated quadratic covariation with endogenous sampling times
Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41
Persistent link: https://www.econbiz.de/10011818337
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GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
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Confidence regions for entries of a large precision matrix
Chang, Jinyuan; Qiu, Yumou; Yao, Qiwei; Zou, Tao - In: Journal of econometrics 206 (2018) 1, pp. 57-82
Persistent link: https://www.econbiz.de/10012110361
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IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large
Hsiao, Cheng; Zhang, Junwei - In: Journal of econometrics 187 (2015) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10011499447
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796