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Limit theory for VARs with mixed roots near unity
Phillips, Peter C. B.; Lee, Ji Hyung - In: Econometric reviews 34 (2015) 6/10, pp. 1035-1056
Persistent link: https://www.econbiz.de/10011483449
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Marginal likelihood estimation with the cross-entropy method
Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285
Persistent link: https://www.econbiz.de/10011373293
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Stock return predictability : a factor-augmented predictive regression system with shrinkage method
Ohno, Saburo; Ando, Tomohiro - In: Econometric reviews 37 (2018) 1/5, pp. 29-60
Persistent link: https://www.econbiz.de/10012038133
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Model selection and shrinkage : an overview
Caner, Mehmet; Medeiros, Marcelo C. - In: Econometric reviews 35 (2016) 8/10, pp. 1343-1346
Persistent link: https://www.econbiz.de/10011592330
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Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Audrino, Francesco; Knaus, Simon D. - In: Econometric reviews 35 (2016) 8/10, pp. 1485-1521
Persistent link: https://www.econbiz.de/10011592369
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Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779
Persistent link: https://www.econbiz.de/10011592391
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Focused information criterion for locally misspecified vector autoregressive models
Lohmeyer, Jan; Palm, Franz C.; Reuvers, Hanno; Urbain, … - In: Econometric reviews 38 (2019) 7, pp. 763-792
Persistent link: https://www.econbiz.de/10012181357
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Multistep forecast selection for panel data
Greenaway-McGrevy, Ryan - In: Econometric reviews 39 (2020) 4, pp. 373-406
Persistent link: https://www.econbiz.de/10012181429
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Determining the number of factors with potentially strong within-block correlations in error terms
Han, Xu; Caner, Mehmet - In: Econometric reviews 36 (2017) 6/9, pp. 946-969
Persistent link: https://www.econbiz.de/10011795541
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The effective sample size
Berger, James O.; Bayarri, M. J.; Pericchi, Luis R. - In: Econometric reviews 33 (2014) 1/4, pp. 197-217
Persistent link: https://www.econbiz.de/10010358312