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Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331
Persistent link: https://www.econbiz.de/10011348447
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Testing predictive regression models with nonstationary regressors
Cai, Zongwu; Wang, Yunfei - In: Journal of econometrics 178 (2014) 1, pp. 4-14
Persistent link: https://www.econbiz.de/10010254993
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Nonparametric testing for smooth structural changes in panel data models
Chen, Bin; Huang, Liquan - In: Journal of econometrics 202 (2018) 2, pp. 245-267
Persistent link: https://www.econbiz.de/10011974569
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Kolmogorov-Smirnov type testing for structural breaks : a new adjusted-range based self-normalization approach
Hong, Yongmiao; Linton, Oliver; McCabe, Brendan Peter Martin - In: Journal of econometrics 238 (2024) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10015073901
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Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
Dufour, Jean-Marie; Torrès, Olivier - In: Journal of econometrics 99 (2000) 2, pp. 255-289
Persistent link: https://www.econbiz.de/10001511971
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Estimating the differencing parameter via the partial autocorrelation function
Chong, Terence Tai-Leung - In: Journal of econometrics 97 (2000) 2, pp. 365-381
Persistent link: https://www.econbiz.de/10001496598
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Testing parameter constancy in linear models against stochastic stationary parameters
Lin, Chien-fu Jeff; Teräsvirta, Timo - In: Journal of econometrics 90 (1999) 2, pp. 193-213
Persistent link: https://www.econbiz.de/10001382111
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A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535
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Generalized Levinson-Durbin and Burg algorithms
Brockwell, Peter J.; Dahlhaus, R. - In: Journal of econometrics 118 (2004) 1/2, pp. 129-149
Persistent link: https://www.econbiz.de/10001823116
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Nonlinear instrumental variable estimation of an autoregression
Phillips, Peter C. B.; Park, Joon Y.; Chang, Yoosoon - In: Journal of econometrics 118 (2004) 1/2, pp. 219-246
Persistent link: https://www.econbiz.de/10001823127