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Estimation of the vector moving average model by vector autoregression

Galbraith, John W.; Ullah, Aman; Zinde-Walsh, Victoria - In: Econometric reviews 21 (2002) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10001704803

GARCH model estimation using estimated quadratic variation

Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192

Persistent link: https://www.econbiz.de/10011483454

Kernel estimation when density may not exist

Zinde-Walsh, Victoria - In: Econometric theory 24 (2008) 3, pp. 696-725

Persistent link: https://www.econbiz.de/10003894292

On existence of moment of mean reversion estimator in linear diffusion models

Bao, Yong; Ullah, Aman; Zinde-Walsh, Victoria - In: Economics letters 120 (2013) 2, pp. 146-148

Persistent link: https://www.econbiz.de/10010127806

Rates of expansions for functional estimators

Kotlyarova, Yulia; Schafgans, Marcia M. A.; … - In: Journal of quantitative economics 19 (2021), pp. 121-139

Persistent link: https://www.econbiz.de/10013441712

Content horizons for univariate time-series forecasts

Galbraith, John W. - In: International journal of forecasting 19 (2003) 1, pp. 43-55

Persistent link: https://www.econbiz.de/10001735029

Non-parametric regression models of deviations from orthogonality in the expectations theory of the term structure

Campbell, Bryan - In: Oxford bulletin of economics and statistics 59 (1997) 2, pp. 265-284

Persistent link: https://www.econbiz.de/10001223699

Forecast content and content horizons for some important macroeconomic time series

Galbraith, John W.; Tkacz, Greg - In: The Canadian journal of economics 40 (2007) 3, pp. 935-953

Persistent link: https://www.econbiz.de/10003549539

Testing the link between inflation and growth

Ambler, Steve; Cardia, Emanuela - In: Price stability, inflation targets, and monetary policy …, (pp. 89-116). 1998

Persistent link: https://www.econbiz.de/10001304069

Smoothness: Bias and Efficiency of Nonparametric Kernel Estimators

Kotlyarova, Yulia; Schafgans, Marcia M. A.; … - In: Essays in honor of Aman Ullah, (pp. 561-589). 2016

For kernel-based estimators, smoothness conditions ensure that the asymptotic rate at which the bias goes to zero is determined by the kernel order. In a finite sample, the leading term in the expansion of the bias may provide a poor approximation. We explore the relation between smoothness and...

Persistent link: https://www.econbiz.de/10015365799