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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
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Variance expressions for spectra estimated using auto-regressions
Xie, Liang-Liang; Ljung, Lennart - In: Journal of econometrics 118 (2004) 1/2, pp. 247-256
Persistent link: https://www.econbiz.de/10001823132
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The relation of the CCA subspace method to a balanced reduction of an autoregressive model
Dahlén, Anders; Scherrer, Wolfgang - In: Journal of econometrics 118 (2004) 1/2, pp. 293-312
Persistent link: https://www.econbiz.de/10001823137
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Median unbiased forecasts for highly persistent autoregressive processes
Gospodinov, Nikolaj - In: Journal of econometrics 111 (2002) 1, pp. 85-101
Persistent link: https://www.econbiz.de/10001703563
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Reduced rank regression in cointegrated models
Anderson, T. W. - In: Journal of econometrics 106 (2002) 2, pp. 203-216
Persistent link: https://www.econbiz.de/10001638890