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Some cautions on the use of nonlinear panel unit root tests : evidence from a modified series-specific non-linear panel unit-root test

Lau, Chi Keung; Suvankulov, Farrukh; Su, Yongyang; … - In: Economic modelling 29 (2012) 3, pp. 810-816

Persistent link: https://www.econbiz.de/10009545513

Efficient importance sampling in applied econometrics

Moura, Guilherme Valle - 2009

Persistent link: https://www.econbiz.de/10003963709

Bayesian nonlinear panel cointegration : an empirical application to the EKC hypothesis

Polemis, Michael; Tsionas, Efthymios G. - In: Letters in spatial and resource sciences : LSRS 12 (2019) 2, pp. 113-120

Persistent link: https://www.econbiz.de/10012109664

A non-linear filtering approach to stochastic volatility models with an application to daily stock returns

Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121

Persistent link: https://www.econbiz.de/10001387229

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Spectral factor models

Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; … - In: Journal of financial economics 142 (2021) 1, pp. 214-238

Persistent link: https://www.econbiz.de/10012650703

The non-linear trade-off between return and risk and its determinants

Cotter, John; Salvador, Enrique - 2022

Persistent link: https://www.econbiz.de/10013184750

The non-linear trade-off between return and risk and its determinants

Cotter, John; Salvador, Enrique - In: Journal of empirical finance 67 (2022), pp. 100-132

Persistent link: https://www.econbiz.de/10013464378

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

Persistent link: https://www.econbiz.de/10012042424

Public debt and economic growth in sub-Saharan Africa : nonlinearity and threshold effects

Okwoche, Princewill U.; Makanza, Christine S. - In: Cogent economics & finance 11 (2023) 2, pp. 1-24

trade shocks. Our dataset comprises 24 SSA countries spanning 39 years from 1980 to 2018. We employ a variety of panel … estimation techniques suitable for addressing the problems of endogeneity and cross-section dependence. The fixed effects … cases. Some variations in threshold estimates based on differences in empirical estimation techniques were observed, which …

Persistent link: https://www.econbiz.de/10014502811