Narrow search
Showing 1 - 10 of 19
Cover Image
An outlier robust unit root test with an application to the extended Nelson-Plosser data
Lucas, André - In: Journal of econometrics 66 (1995) 1, pp. 153-173
Persistent link: https://www.econbiz.de/10001174120
Cover Image
Semi-nonparametric cointegration testing
Boswijk, Herman Peter; Lucas, André - In: Journal of econometrics 108 (2002) 2, pp. 253-280
Persistent link: https://www.econbiz.de/10001657609
Cover Image
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Abadir, Karim Maher; Lucas, André - In: Journal of econometrics 119 (2004) 1, pp. 45-71
Persistent link: https://www.econbiz.de/10001943912
Cover Image
Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of econometrics 162 (2011) 2, pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
Cover Image
The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - In: Journal of econometrics 142 (2008) 1, pp. 399-424
Persistent link: https://www.econbiz.de/10003608208
Cover Image
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Cover Image
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
Cover Image
Observation-driven filtering of time-varying parameters using moment conditions
Creal, Drew; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015073945
Cover Image
Dynamic partial correlation models
D'Innocenzo, Enzo; Lucas, André - In: Journal of econometrics 241 (2024) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10015075172
Cover Image
Time-Varying parameters in econometrics : the editor's foreword
Blasques, Francisco; Harvey, Andrew C.; Koopman, Siem Jan; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-3
Persistent link: https://www.econbiz.de/10014471515