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Large and small sample information criteria for GARCH models based on the estimation of the Kullback-Leibler discrepancy

Brooks, Chris - 1997

Persistent link: https://www.econbiz.de/10000978781

Likelihood ratio and goodness of fit processes for quantile regression

Koenker, Roger; Machado, José A. F. - 1998

Persistent link: https://www.econbiz.de/10000988604

Monte Carlo inference in econometric models with symmetric stable disturbances

Tsionas, Efthymios G. - In: Journal of econometrics 88 (1999) 2, pp. 365-401

Persistent link: https://www.econbiz.de/10001252778

Multiple hypotheses testing in the linear regression model with applications to economics and finance

Alt, Raimund - 2005 - 1. Aufl.

Persistent link: https://www.econbiz.de/10002570396

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - 2012

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10014219481