Narrow search
Showing 1 - 10 of 26
Cover Image
An alternative asymptotic analysis of residual-based statistics
Andreou, Elena (contributor); Werker, Bas J. M. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002117914
Cover Image
A simple asymtotic analysis of residual-based statistics
Andreou, Elena (contributor); Werker, Bas J. M. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001871037
Cover Image
Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 721-742
Persistent link: https://www.econbiz.de/10001604133
Cover Image
Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models
Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2008
Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on...
Persistent link: https://www.econbiz.de/10014050438
Cover Image
Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models
Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2013
Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on...
Persistent link: https://www.econbiz.de/10014217553
Cover Image
Rank-based tests of the cointegrating rank in semiparametric error correction models
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - 2012
Persistent link: https://www.econbiz.de/10009676141
Cover Image
Residual-based rank specification tests for ar-garch type models
Andreou, Elena; Werker, Bas J. M. - 2013
Persistent link: https://www.econbiz.de/10010188663
Cover Image
An alternative asymptotic analysis of residual-based statistics
Werker, Bas J. M.; Andreou, Elena - In: The review of economics and statistics 94 (2012) 1, pp. 88-99
Persistent link: https://www.econbiz.de/10009565395
Cover Image
Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models
Drost, Feike C. (contributor);  … - 2008 - Rev. version of CentER Discussion Paper 2007-23
Persistent link: https://www.econbiz.de/10003752414
Cover Image
Optimal pseudo-Gaussian and rank-based tests of the cointegration rank in semiparametric error-correction models
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - 2015
Persistent link: https://www.econbiz.de/10011348908