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A Monte Carlo study on two methods of calculating the MLE's covariance matrix in a seemingly unrelated nonlinear regression

Jensen, Mark J. - In: Econometric reviews 14 (1995) 3, pp. 315-330

Persistent link: https://www.econbiz.de/10001185178

Revisiting the flexibility and regularity properties of the asymptotically ideal production model

Jensen, Mark J. - In: Econometric reviews 16 (1997) 2, pp. 179-203

Persistent link: https://www.econbiz.de/10001220186

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - 2015

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly found with nonparametric estimates of the fractional...

Persistent link: https://www.econbiz.de/10011382237

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 455-475

Persistent link: https://www.econbiz.de/10011649139

An experimental design to compare tests of nonlinearity and chaos

Barnett, William A.; Gallant, A. Ronald; Hinich, Melvin J. - In: Nonlinear dynamics and economics : proceedings of the …, (pp. 163-190). 1996

Persistent link: https://www.econbiz.de/10001297247

A single-blind controlled competition among tests for nonlinearity and chaos

Barnett, William A.; Gallant, A. Ronald; Hinich, Melvin J. - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009731617

Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter

Jensen, Mark J. - In: Journal of forecasting 18 (1999) 1, pp. 17-32

Persistent link: https://www.econbiz.de/10001363641