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Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
Gupta, Abhimanyu; Robinson, Peter M. - In: Journal of econometrics 202 (2018) 1, pp. 92-107
Persistent link: https://www.econbiz.de/10011974555
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Inference on trending panel data
Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 206 (2018) 2, pp. 282-304
Persistent link: https://www.econbiz.de/10012110387
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - In: Journal of econometrics 227 (2022) 1, pp. 65-84
Persistent link: https://www.econbiz.de/10013441623
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Maximum likelihood estimation for score-driven models
Blasques, Francisco; Brummelen, Janneke van; Koopman, … - In: Journal of econometrics 227 (2022) 2, pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - In: Journal of econometrics 238 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015073825
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Adaptive robust large volatility matrix estimation based on high-frequency financial data
Shin, Minseok; Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 237 (2023) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014471480
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Penalized time-varying model averaging
Sun, Yuying; Hong, Yongmiao; Wang, Shouyang; Zhang, Xinyu - In: Journal of econometrics 235 (2023) 2, pp. 1355-1377
Persistent link: https://www.econbiz.de/10014471396
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Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236
Persistent link: https://www.econbiz.de/10014340997
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Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 222 (2021) 1,2, pp. 411-428
Persistent link: https://www.econbiz.de/10012619653