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Estimation of mis-specified long memory models
Chen, Willa W.; Deo, Rohit S. - In: Journal of econometrics 134 (2006) 1, pp. 257-282
Persistent link: https://www.econbiz.de/10007285965
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A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
Chen, Willa W.; Deo, Rohit S. - In: Econometric theory 20 (2004) 2, pp. 382-416
Persistent link: https://www.econbiz.de/10006965144
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BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD
Chen, Willa W.; Deo, Rohit S. - In: Econometric theory 25 (2009) 5, pp. 1143-1179
Persistent link: https://www.econbiz.de/10008306950
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THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
Chen, Willa W.; Deo, Rohit S. - In: Econometric theory 22 (2006) 2, pp. 206-234
Persistent link: https://www.econbiz.de/10006955256
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Theory and Methods - Semiparametric Estimation of Multivariate Fractional Cointegration
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of the American Statistical Association : JASA 98 (2003) 463, pp. 629-642
Persistent link: https://www.econbiz.de/10006612041
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Theory and Methods - On The Correlation Matrix Of The Discrete Fourier Transform And The Fast Solution Of Large Toeplitz Systems For Long-Memory Time Series
Chen, Willa W.; Hurvich, Clifford M.; Lu, Yi - In: Journal of the American Statistical Association : JASA 101 (2006) 474, pp. 812-822
Persistent link: https://www.econbiz.de/10007268828
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Estimating fractional cointegration in the presence of polynomial trends
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of econometrics 117 (2003) 1, pp. 95-122
Persistent link: https://www.econbiz.de/10006761306
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ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST
Deo, Rohit S.; Richardson, Matthew - In: Econometric theory 19 (2003) 2, pp. 231-239
Persistent link: https://www.econbiz.de/10006969750
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On testing the adequacy of stable processes under conditional heteroscedasticity
Deo, Rohit S. - In: Journal of empirical finance 9 (2002) 2, pp. 257
Persistent link: https://www.econbiz.de/10007236724
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Improved forecasting of autoregressive series by weighted least squares approximate REML estimation
Deo, Rohit S. - In: International journal of forecasting 28 (2012) 1, pp. 39-44
Persistent link: https://www.econbiz.de/10009818671