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Low-frequency robust cointegration testing
Müller, Ulrich K.; Watson, Mark W. - In: Journal of econometrics 174 (2013) 2, pp. 66-81
Persistent link: https://www.econbiz.de/10009751249
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Size and power of tests of stationarity in highly autocorrelated time series
Müller, Ulrich K. - In: Journal of econometrics 128 (2005) 2, pp. 195-213
Persistent link: https://www.econbiz.de/10003091264
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Pre and post break parameter inference
Elliott, Graham; Müller, Ulrich K. - In: Journal of econometrics 180 (2014) 2, pp. 141-157
Persistent link: https://www.econbiz.de/10010433401
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Minimizing the impact of the initial condition on testing for unit roots
Elliott, Graham; Müller, Ulrich K. - In: Journal of econometrics 135 (2006) 1/2, pp. 285-310
Persistent link: https://www.econbiz.de/10003376085
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Confidence sets for the date of a single break in linear time series regressions
Elliott, Graham; Müller, Ulrich K. - In: Journal of econometrics 141 (2007) 2, pp. 1196-1218
Persistent link: https://www.econbiz.de/10003571442
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A theory of robust long-run variance estimation
Müller, Ulrich K. - In: Journal of econometrics 141 (2007) 2, pp. 1331-1352
Persistent link: https://www.econbiz.de/10003571463
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Nearly weighted risk minimal unbiased estimation
Müller, Ulrich K.; Wang, Yulong - In: Journal of econometrics 209 (2019) 1, pp. 18-34
Persistent link: https://www.econbiz.de/10012302499
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Low-frequency robust cointegration testing
Müller, Ulrich K.; Watson, Mark W. - In: Journal of econometrics 174 (2013) 2, pp. 66-81
Persistent link: https://www.econbiz.de/10010102099
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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 135 (2006) 1, pp. 499-526
Persistent link: https://www.econbiz.de/10007279930
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Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
Watson, Mark W.; Engle, Robert F. - In: Journal of econometrics 23 (1983) 3, pp. 385-400
Persistent link: https://www.econbiz.de/10002973320