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On tail index estimation for dependent, heterogeneous data
Hill, Jonathan B. - In: Econometric theory 26 (2010) 5, pp. 1398-1436
Persistent link: https://www.econbiz.de/10008662664
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Stochastically weighted average conditional moment tests of functional form
Hill, Jonathan B. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 121-139
Persistent link: https://www.econbiz.de/10009739664
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Consistent GMM residuals-based tests of functional form
Hill, Jonathan B. - In: Econometric reviews 32 (2013) 1/4, pp. 361-383
Persistent link: https://www.econbiz.de/10009717788
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Consistent and non-degenerate model specification tests against smooth transition and neural network alternatives
Hill, Jonathan B. - In: Annales d'économie et de statistique 90 (2008), pp. 145-179
Persistent link: https://www.econbiz.de/10003910527
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Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money - income relationship
Hill, Jonathan B. - In: Journal of applied econometrics 22 (2007) 4, pp. 747-765
Persistent link: https://www.econbiz.de/10003550493
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Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
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Tail and nontail memory with applications to extreme value and robust statistics
Hill, Jonathan B. - In: Econometric theory 27 (2011) 4, pp. 844-884
Persistent link: https://www.econbiz.de/10009311730
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Weak-identification robust wild bootstrap applied to a consistent model specification test
Hill, Jonathan B. - In: Econometric theory 37 (2021) 3, pp. 409-463
Persistent link: https://www.econbiz.de/10012593442
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Minimum dispersion and unbiasedness : "best" linear predictors for stationary ARMA α-stable processes
Hill, Jonathan B. (contributor) - 2000
Persistent link: https://www.econbiz.de/10001504086
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Alpha-stable x 2 consistent functional specification tests for stable domains under data dependence
Hill, Jonathan B. - 1999
Persistent link: https://www.econbiz.de/10001409630