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Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet; Kapetanios, George - In: Journal of econometrics 202 (2018) 1, pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
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Point optimal testing with roots that are functionally local to unity
Bykhovskaya, Anna; Phillips, Peter C. B. - In: Journal of econometrics 219 (2020) 2, pp. 231-259
Persistent link: https://www.econbiz.de/10012483325
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - In: Journal of econometrics 218 (2020) 2, pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
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Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.; Phillips, Peter C. B. - In: Journal of econometrics 232 (2023) 2, pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
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Some new asymptotic theory for least squares series : pointwise and uniform results
Belloni, Alexandre; Chernozhukov, Victor; Chetverikov, Denis - In: Journal of econometrics 186 (2015) 2, pp. 345-366
Persistent link: https://www.econbiz.de/10011349460
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Least squares estimation of large dimensional threshold factor models
Massacci, Daniele - In: Journal of econometrics 197 (2017) 1, pp. 101-129
Persistent link: https://www.econbiz.de/10011818348
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Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 197 (2017) 2, pp. 218-244
Persistent link: https://www.econbiz.de/10011818356
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Estimating multiple breaks in nonstationary autoregressive models
Pang, Tianxiao; Du, Lingjie; Chong, Terence Tai-Leung - In: Journal of econometrics 221 (2021) 1, pp. 277-311
Persistent link: https://www.econbiz.de/10012618836
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Structural VAR models in the frequency domain
Guay, Alain; Pelgrin, Florian - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332268
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The three-pass regression filter : a new approach to forecasting using many predictors
Kelly, Bryan T.; Pruitt, Seth - In: Journal of econometrics 186 (2015) 2, pp. 294-316
Persistent link: https://www.econbiz.de/10011349476