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Exact local Whittle estimation of fractionally cointegrated systems
Shimotsu, Katsumi - In: Journal of econometrics 169 (2012) 2, pp. 266-278
Persistent link: https://www.econbiz.de/10009673193
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Size matters : covariance matrix estimation under the alternative
Allen, Jason (contributor) - 2005
Persistent link: https://www.econbiz.de/10003596150
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A nonparametric test for autoregressive conditional heteroscedasticity : a Markov-chain approach
Gregory, Allan W. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 107-115
Persistent link: https://www.econbiz.de/10001090231
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Testing for cointegration in linear quadratic models
Gregory, Allan W. - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 3, pp. 347-360
Persistent link: https://www.econbiz.de/10001167093
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Testing nested functional forms of money demand for Canada
Gregory, Allan W. - In: Journal of quantitative economics : official journal of … 1 (1985) 2, pp. 211-230
Persistent link: https://www.econbiz.de/10001056919
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Testing for cointegration in linear quadratic models
Gregory, Allan W. - 1991
Persistent link: https://www.econbiz.de/10000129420
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Pooled log periodogram regression
Shimotsu, Katsumi; Phillips, Peter C. B. - 2000
Persistent link: https://www.econbiz.de/10001499557
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Local Whittle estimation in nonstationary and unit root cases
Shimotsu, Katsumi; Phillips, Peter C. B. - 2000
Persistent link: https://www.econbiz.de/10001499561
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Modified local Whittle esitmation of the memory parameter in the nonstationary case
Shimotsu, Katsumi; Phillips, Peter C. B. - 2000
Persistent link: https://www.econbiz.de/10001499564
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Exact local whittle estimation of fractional integration
Shimotsu, Katsumi; Phillips, Peter C. B. - 2002
Persistent link: https://www.econbiz.de/10001671903