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On robust inference in time-series regression
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - In: The econometrics journal 28 (2025) 2, pp. 131-173
Persistent link: https://www.econbiz.de/10015459746
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LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82
Persistent link: https://www.econbiz.de/10012504449
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Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
Sandberg, Rickard - In: The econometrics journal 11 (2008) 3, pp. 638-647
Persistent link: https://www.econbiz.de/10003802469
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On the inconsistency of the unrestricted estimator of the information matrix near a unit root
Magdalinos, Tassos - In: The econometrics journal 10 (2007) 2, pp. 245-262
Persistent link: https://www.econbiz.de/10003559951
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Estimation of impulse response functions using long autoregression
Chang, Pao-Li; Sakata, Shinichi - In: The econometrics journal 10 (2007) 2, pp. 453-469
Persistent link: https://www.econbiz.de/10003560081
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On the sensitivity of the restricted least squares estimators to covariance misspecification
Wan, Alan T. K.; Zou, Guohua; Qin, Huaizhen - In: The econometrics journal 10 (2007) 3, pp. 471-487
Persistent link: https://www.econbiz.de/10003637591
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Bootstrapping autoregression under non-stationary volatility
Xu, Ke-li - In: The econometrics journal 11 (2008) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003648596
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The empirical process of autoregressive residuals
Engler, Eric; Nielsen, Bent - In: The econometrics journal 12 (2009) 2, pp. 367-381
Persistent link: https://www.econbiz.de/10003875827
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The polynomial aggregated AR (1) model
Chong, Terence Tai-Leung - In: The econometrics journal 9 (2006) 1, pp. 98-122
Persistent link: https://www.econbiz.de/10003320205
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A sequential procedure for determining the number of regimes in a threshold autoregressive model
Strikholm, Birgit; Teräsvirta, Timo - In: The econometrics journal 9 (2006) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10003390166