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A misspecification test for multiplicative error models of non-negative time series processes
Gao, Jiti; Kim, Nam Hyun; Saart, Patrick W. - In: Journal of econometrics 189 (2015) 2, pp. 346-359
Persistent link: https://www.econbiz.de/10011504553
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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
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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On consistency of minimum description length model selection for piecewise autoregressions
Davis, Richard A.; Hancock, Stacey A.; Yao, Yi-Ching - In: Journal of econometrics 194 (2016) 2, pp. 360-368
Persistent link: https://www.econbiz.de/10011705206
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Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - In: Journal of econometrics 200 (2017) 1, pp. 104-117
Persistent link: https://www.econbiz.de/10011897704
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An adaptive empirical likelihood test for parametric time series regression models
Chen, Song Xi; Gao, Jiti - In: Journal of econometrics 141 (2007) 2, pp. 950-972
Persistent link: https://www.econbiz.de/10003571369
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Specification testing in discretized diffusion models : theory and practice
Gao, Jiti; Casas, Isabel - In: Journal of econometrics 147 (2008) 1, pp. 131-140
Persistent link: https://www.econbiz.de/10003783793
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Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.; Ng, Serena - In: Journal of econometrics 235 (2023) 1, pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
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Noncausal vector AR processes with application to economic time series
Davis, Richard A.; Li, Song - In: Journal of econometrics 216 (2020) 1, pp. 246-267
Persistent link: https://www.econbiz.de/10012439692
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Heterogeneous panel data models with cross-sectional dependence
Gao, Jiti; Xia, Kai; Zhu, Huanjun - In: Journal of econometrics 219 (2020) 2, pp. 329-353
Persistent link: https://www.econbiz.de/10012483391