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Testing for a break in trend when the order of integration is unknown
Iacone, Fabrizio; Leybourne, Stephen J.; Robert Taylor, A.M. - In: Journal of econometrics 176 (2013) 1, pp. 30-45
Persistent link: https://www.econbiz.de/10010131792
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ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A.M. Robert - In: Econometric theory 29 (2012) 2, pp. 393-418
Persistent link: https://www.econbiz.de/10010099085
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On robust trend function hypothesis testing
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10009949865
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Extracting information from asset prices: The methodology of EMU calculators
Favero, Carlo A.; Giavazzi, Francesco; Iacone, Fabrizio; … - In: European economic review : EER 44 (2000) 9, pp. 1607-1632
Persistent link: https://www.econbiz.de/10007676331
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A Semiparametric Analysis of the Term Structure of the US Interest Rates
Iacone, Fabrizio - In: Oxford bulletin of economics and statistics 71 (2009) 4, pp. 475-490
Persistent link: https://www.econbiz.de/10008263251
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Modelling the dynamics of a public health care system: evidence from time-series data
Iacone, Fabrizio; Martin, Steve; Siciliani, Luigi; … - In: Applied economics 44 (2012) 23, pp. 2955-2969
Persistent link: https://www.econbiz.de/10009817750
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First stage estimation of fractional cointegration
Hualde, Javier; Iacone, Fabrizio - In: Journal of time series econometrics 4 (2012) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10010029895
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Determination of the number of common stochastic trends under conditional heteroskedasticity
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - In: Estudios de economía aplicada : revista promovida por … 28 (2010) 3, pp. 519-551
Persistent link: https://www.econbiz.de/10010097157
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Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten - In: Econometric reviews 32 (2013) 7, pp. 814-847
Persistent link: https://www.econbiz.de/10010088588
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Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1721-1741
Persistent link: https://www.econbiz.de/10009997697