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On the exact moments of asymptotic distributions in an unstable AR(1) with dependent errors
Gonzalo, Jesús - 1996
Persistent link: https://www.econbiz.de/10000944149
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On the exact moments of asymptotic distributions in an unstable AR(1) with dependent errors
Gonzalo, Jesús - In: International economic review 39 (1998) 1, pp. 71-88
Persistent link: https://www.econbiz.de/10001236210
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Specification via model selection in vector error correction models
Gonzalo, Jesús - In: Economics letters 60 (1998) 3, pp. 321-328
Persistent link: https://www.econbiz.de/10001251671
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Spurious relationships in high dimensional systems with strong or mild persistence
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020
Persistent link: https://www.econbiz.de/10012501525
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Detecting sparse cointegration
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2024
Persistent link: https://www.econbiz.de/10015395838
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Spurious relationships in high-dimensional systems with strong or mild persistence
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: International journal of forecasting 37 (2021) 4, pp. 1480-1497
Persistent link: https://www.econbiz.de/10013274296
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Threshold autoregressions under near integratedness
Pitarakis, Jean-Yves - 2010
Persistent link: https://www.econbiz.de/10003982442
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Jointly testing linearity and nonstationarity within threshold autoregressions
Pitarakis, Jean-Yves - In: Economics letters 117 (2012) 2, pp. 411-413
Persistent link: https://www.econbiz.de/10009674731
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A novel approach to predictive accuracy testing in nested environments
Pitarakis, Jean-Yves - 2025
Persistent link: https://www.econbiz.de/10015374590
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The making of "estimation of common long-memory components in cointegrated systems"
Gonzalo, Jesús - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 174-176
Persistent link: https://www.econbiz.de/10008652239