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~person:"Götz, Roland"
~person:"Gao, Jiti"
~subject:"Schätzung"
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Schätzung
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Götz, Roland
Gao, Jiti
Caporale, Guglielmo Maria
196
Gil-Alaña, Luis A.
146
Belke, Ansgar
73
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53
Beckmann, Joscha
45
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45
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41
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34
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32
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32
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30
Chang, Tsangyao
29
Narayan, Paresh Kumar
28
Balcilar, Mehmet
27
Hautsch, Nikolaus
26
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Ozdemir, Zeynel Abidin
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24
Shahbaz, Muhammad
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Cheung, Yin-Wong
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18
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17
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17
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Lee, Chien-chiang
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4
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2
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1
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ECONIS (ZBW)
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1
Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity
Cai, Biqing
-
2015
This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo...
Persistent link: https://www.econbiz.de/10013014831
Saved in:
2
A New Class of Bivariate Threshold
Cointegration
Models
Cai, Biqing
-
2015
In this paper, we introduce a new class of bivariate threshold VAR
cointegration
models. In the models, outside a … rate of the cointegrating coefficient is the sample size, which is same as linear
cointegration
model. The Monte Carlo …
Persistent link: https://www.econbiz.de/10013029366
Saved in:
3
Hermite Series Estimation in Nonlinear Cointegrating Models
Cai, Biqing
-
2013
This paper discusses nonparametric series estimation of integrable
cointegration
models using Hermite functions. We …
Persistent link: https://www.econbiz.de/10013078209
Saved in:
4
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2018
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...
Persistent link: https://www.econbiz.de/10011775136
Saved in:
5
A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries
Tian, Fengping
-
2016
the short and long run income
elasticities
are smaller than one, and health care is a necessity. The density of physicians …
Persistent link: https://www.econbiz.de/10012979826
Saved in:
6
Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
Chen, Xiangjin Bruce
-
2013
This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...
Persistent link: https://www.econbiz.de/10013076694
Saved in:
7
A new class of bivariate threshold
cointegration
models
Cai, Biqing
;
Gao, Jiti
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
Saved in:
8
Estimating smooth structural change in
cointegration
models
Phillips, Peter C. B.
;
Li, Degui
;
Gao, Jiti
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 180-195
Persistent link: https://www.econbiz.de/10011743793
Saved in:
9
A new class of bivariate threshold
cointegration
models
Cai, Biqing
;
Gao, Jiti
;
Tjostheim, Dag
-
2015
Persistent link: https://www.econbiz.de/10011781115
Saved in:
10
Hermite series estimation in nonlinear cointegrating models
Cai, Biqing
;
Gao, Jiti
-
2013
Persistent link: https://www.econbiz.de/10009789500
Saved in:
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