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Mitchell, James; Kapetanios, George; Shin, Yongcheol - 2012

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Investigating the stationarity of insurance premiums : international evidence

Lee, Chien-Chiang; Tsong, Ching-chuan; Yang, Shih-jui; … - In: The European journal of finance 19 (2013) 3/4, pp. 276-297

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Some cautions on the use of nonlinear panel unit root tests : evidence from a modified series-specific non-linear panel unit-root test

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The incidental parameters problem in testing for remaining cross-section correlation

Juodis, Artūras; Reese, Simon - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1191-1203

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Identification and (Fast) Estimation of Large Nonlinear Panel Models with Two-Way Fixed Effects

Mugnier, Martin; Wang, Ao - 2022

We study a nonlinear two-way fixed effects panel model that allows for unobserved individual heterogeneity in slopes …-Seidel estimation procedure that overcomes the practical challenge of dimensionality in the number of fixed effects when the dataset is …

Persistent link: https://www.econbiz.de/10014078902

Efficient importance sampling in applied econometrics

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Bayesian nonlinear panel cointegration : an empirical application to the EKC hypothesis

Polemis, Michael; Tsionas, Efthymios G. - In: Letters in spatial and resource sciences : LSRS 12 (2019) 2, pp. 113-120

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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns

Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121

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Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

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Spectral factor models

Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; … - In: Journal of financial economics 142 (2021) 1, pp. 214-238

Persistent link: https://www.econbiz.de/10012650703