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Asymptotic distributions for regression-based seasonal unit root tests in a near-integrated model

Rodrigues, Paulo M. M.; Taylor, Robert - 2003

Persistent link: https://www.econbiz.de/10001772443

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014366629

Unit root and cointegration testing : guest editors' introduction

Lütkepohl, Helmut; Rodrigues, Paulo M. M. - In: Econometric theory 24 (2008) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10003893874

Unit root and cointegration testing

Lütkepohl, Helmut (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003894166

The effects of additive outliers and measurement errors when testing for structural breaks in variance

Rodrigues, Paulo M. M.; Rubia, Antonio - In: Oxford bulletin of economics and statistics 73 (2011) 4, pp. 449-468

Persistent link: https://www.econbiz.de/10009241614

The flexible fourier form and local generalised least squares de-trended unit root tests

Rodrigues, Paulo M. M.; Taylor, Robert - In: Oxford bulletin of economics and statistics 74 (2012) 5, pp. 736-759

Persistent link: https://www.econbiz.de/10009712119

Testing for structural breaks in variance with additive outliers and measurement errors

Rodrigues, Paulo M. M. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003324142

On the finite-sample biases in nonparametric testing for variance constancy

Rodrigues, Paulo M. M. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003436652

Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices

Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75

Persistent link: https://www.econbiz.de/10011389699

Quantile regression for long memory testing : a case of realized volatility

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724

Persistent link: https://www.econbiz.de/10011623824

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