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Aggregation and unit roots in economic time series
Hornok, Attila; Mátyás, László - In: Panel data econometrics : future directions : papers in …, (pp. 213-234). 2000
Persistent link: https://www.econbiz.de/10001488083
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Misspecified heterogeneity in panel data models
Mátyás, László - In: Statistical papers 39 (1998) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001236265
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The econometrics of panel data : fundamentals and recent developments in theory and practice ; with 13 figures and 43 tables
Mátyás, László (ed.); Sevestre, Patrick (contributor) - 2008 - 3. ed.
Persistent link: https://www.econbiz.de/10003539269
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The Econometrics of Panel Data : Fundamentals and Recent Developments in Theory and Practice
Mátyás, László (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10013520944
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Cointegration and aggregation
Kőrösi, Gábor - 1991
Persistent link: https://www.econbiz.de/10013392833
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Multivariate Diagonal FIGARCH : Specification, Estimation and Application to Modelling Exchange Rates Volatility
Pafka, Szilard; Matyas, Laszlo - 2001
This paper extends the FIGARCH long-memory volatility model to a multivariate framework. The proposed quasi maximum likelihood estimator for the parameters of the model is analyzed through Monte Carlo simulations and is found to perform satisfactorily. A trivariate specification is applied for...
Persistent link: https://www.econbiz.de/10014128524