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GMM estimation of time series models

Harris, David - In: Generalized method of moments estimation, (pp. 149-170). 1999

Persistent link: https://www.econbiz.de/10001437661

Principal components analysis of cointegrated time series

Harris, David - In: Econometric theory 13 (1997) 4, pp. 529-557

Persistent link: https://www.econbiz.de/10001230725

Determination of cointegrating rank in partially non-stationary processes vis a generalised von-Neumann criterion

Harris, David; Poskitt, Donald Stephen - In: The econometrics journal 7 (2004) 1, pp. 191-217

Persistent link: https://www.econbiz.de/10002122071

Modified KPSS tests for near integration

Harris, David; Leybourne, Stephen James; McCabe, … - In: Econometric theory 23 (2007) 2, pp. 355-363

Persistent link: https://www.econbiz.de/10003429743

Testing for long memory

Harris, David; McCabe, Brendan Peter Martin; Leybourne, … - In: Econometric theory 24 (2008) 1, pp. 143-175

Persistent link: https://www.econbiz.de/10003894122

Threshold effects in nonlinear models with an application to the social capital-retirement-health relationship

Gannon, Brenda; Harris, David; Harrison, Mark - In: Health economics 23 (2014) 9, pp. 1072-1083

Persistent link: https://www.econbiz.de/10011306418

Adaptive long memory testing under heteroskedasticity

Harris, David; Kew, Hsein - In: Econometric theory 33 (2017) 3, pp. 755-778

Persistent link: https://www.econbiz.de/10011810197

Construction and visualization of optimal confidence sets for frequentist distributional forecasts

Harris, David; Martin, Gael M.; Perera, Indeewara; … - 2017

Persistent link: https://www.econbiz.de/10011782085

Econometric modelling with time series : specification, estimation and testing

Martin, Vance; Hurn, Stan; Harris, David - 2013

Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this...

Persistent link: https://www.econbiz.de/10009720457

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point

Harris, David; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 192 (2016) 2, pp. 451-467

Persistent link: https://www.econbiz.de/10011704729