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Asymptotic theory for regressions with smoothly changing parameters
Hillebrand, Eric; Medeiros, Marcelo C.; Xu, Junyue - In: Journal of time series econometrics 5 (2013) 2, pp. 133-162
Persistent link: https://www.econbiz.de/10010225454
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Bagging constrained equity premium predictors
Hillebrand, Eric; Lee, Tae-hwy; Medeiros, Marcelo C. - In: Essays in nonlinear time series econometrics, (pp. 330-356). 2014
Persistent link: https://www.econbiz.de/10010385832
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Asymptotic theory for regressions with smoothly changing parameters
Hillebrand, Eric; Medeiros, Marcelo C.; Xu, Junyue - 2012
Persistent link: https://www.econbiz.de/10009562840
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Essays on cointegrating polynomial regressions with applications to the EKC
Grabarczyk, Peter - 2017
Persistent link: https://www.econbiz.de/10012795086
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Functional relations, random coefficients, and nonlinear regression with application to kinetic data
Johansen, Søren - 1984
Persistent link: https://www.econbiz.de/10004561729
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The analysis of nonstationary time series using regression, correlation and cointegration
Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57
There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally...
Persistent link: https://www.econbiz.de/10009767620
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Statistical analysis of hypothesis on the cointegrating relations in the I(2) model
Johansen, Søren - In: Journal of econometrics 132 (2006) 1, pp. 81-115
Persistent link: https://www.econbiz.de/10003320246
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Correlation, regression, and cointegration of nonstationary economic time series
Johansen, Søren (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571206