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Copula-based time series with filtered nonstationarity

Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - 2020 - Final version: October 2020

Persistent link: https://www.econbiz.de/10012320594

Copula-based time series with filtered nonstationarity

Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - In: Journal of econometrics 228 (2022) 1, pp. 127-155

Persistent link: https://www.econbiz.de/10013441732

Bubbles and the Weibull distribution : was there an explosive bubble in US stock prices before the global economic crisis?

Yuhn, Ky-hyang; Kim, Sang Bong; Nam, Chu-ha - In: Applied economics 47 (2015) 1/3, pp. 255-271

Persistent link: https://www.econbiz.de/10010463934

From Gibrat's law to Zipf's law through cointegration?

Aurélie, Lalanne; Martin, Zumpe - In: Economics letters 192 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012508834

Generalized method of moments estimation when a parameter is on a boundary

Andrews, Donald W. K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 4, pp. 530-544

Persistent link: https://www.econbiz.de/10001705965

New majorization theory in economics and martingale convergence results in econometrics

Ibragimov, Rustam - 2005

Persistent link: https://www.econbiz.de/10003553406

Asymptotic distribution of the conditional sum of squares estimator under moderate deviation from a unit root in MA(1)

Yabe, Ryota - 2014

Persistent link: https://www.econbiz.de/10011350325

Unit root tests considering initial values and a concise method for computing powers

Hitomi, Kohtaro; Jin, Jianwei; Nagai, Keiji; Nishiyama, … - 2022

Persistent link: https://www.econbiz.de/10014284744

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Wang, Qiying - 2006

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating regression and autoregression. Our treatment directly...

Persistent link: https://www.econbiz.de/10012778972

Inference for the VEC(1) model with a heavy-tailed linear process errors

Guo, Feifei; Ling, Shiqing - In: Econometric reviews 42 (2023) 9/10, pp. 806-833

Persistent link: https://www.econbiz.de/10014420347