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High-dimensional predictive regression in the presence of cointegration
Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; … - In: Journal of econometrics 219 (2020) 2, pp. 456-477
Persistent link: https://www.econbiz.de/10012483404
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High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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Large stochastic volatility in mean VARs
Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
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Indirect inference with a non-smooth criterion function
Frazier, David T.; Oka, Tatsushi; Zhu, Dan - In: Journal of econometrics 212 (2019) 2, pp. 623-645
Persistent link: https://www.econbiz.de/10012304119
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Hybrid unadjusted Langevin methods for high-dimensional latent variable models
Loiza-Maya, Ruben; Nibbering, Didier; Zhu, Dan - In: Journal of econometrics 241 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015075170