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On the relationship between financial instability and economic performance : stressing the business of nonlinear modeling

Ubilava, David - In: Macroeconomic dynamics 23 (2019) 1, pp. 80-100

Persistent link: https://www.econbiz.de/10012126484

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

Persistent link: https://www.econbiz.de/10011488709

Sustainability of external debt : further evidence from non-linear framework

Nasir, Abm; Noman, Abdullah M. - In: International review of applied economics 26 (2012) 5, pp. 673-685

Persistent link: https://www.econbiz.de/10009612120

Prequential forecasting in the presence of structure breaks in natural gas spot markets

Duangnate, Kannika; Mjelde, James W. - In: Empirical economics : a journal of the Institute for … 59 (2020) 5, pp. 2363-2384

Persistent link: https://www.econbiz.de/10012314345

Trade timing, price volatility and serial correlation

Wang, Ming-chang; Zu, Lon-ping - In: European financial management : the journal of the … 19 (2013) 5, pp. 911-934

Persistent link: https://www.econbiz.de/10010237351

Risk measures for autocorrelated hedge fund returns

Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 868-895

Persistent link: https://www.econbiz.de/10011417824

Spatial heterogeneity in Danish urban land prices: the expansion method philosophy and variable autocorrelated residuals

Kristensen, Gustav - In: Spatial economic science : new frontiers in theory and …, (pp. 258-278). 2000

Persistent link: https://www.econbiz.de/10001509428

Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

Dufour, Jean-Marie; Torrès, Olivier - In: Journal of econometrics 99 (2000) 2, pp. 255-289

Persistent link: https://www.econbiz.de/10001511971

Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation

Baltagi, Badi H.; Li, Dong - In: Economics letters 69 (2000) 1, pp. 9-14

Persistent link: https://www.econbiz.de/10001512715

Non redundancy of high order moment conditions for efficient GMM estimation of weak ar processes

Broze, Laurence; Francq, Christian; Zakoïan, Jean-Michel - 2000

Persistent link: https://www.econbiz.de/10001514932