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Results: 1-25 | 26-49

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Results : 26-49/49

A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models

Authors: Chang, Seong Yeon Perron, Pierre

Journal: Econometric reviews

Citation: Chang, Seong Yeon et Perron, Pierre, A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models, Econometric reviews , 37(6), 2018, pp. 577-601

Asymptotics and bootstrap for random-effects panel data transformation models

Authors: Su, Liangjun Yang, Zhenlin

Journal: Econometric reviews

Citation: Su, Liangjun et Yang, Zhenlin, Asymptotics and bootstrap for random-effects panel data transformation models, Econometric reviews , 37(6), 2018, pp. 602-625

Extremal dependence tests for contagion

Authors: Fry-McKibbin, Renée Hsiao, Cody Yu-Ling

Journal: Econometric reviews

Citation: Fry-mckibbin, Renée et Hsiao, Cody Yu-ling, Extremal dependence tests for contagion, Econometric reviews , 37(6), 2018, pp. 626-649

First difference transformation in panel VAR models: Robustness, estimation, and inference

Authors: Juodis, Art.ras

Journal: Econometric reviews

Citation: Juodis, Art.ras, First difference transformation in panel VAR models: Robustness, estimation, and inference, Econometric reviews , 37(6), 2018, pp. 650-693

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Authors: Gospodinov, Nikolay Kan, Raymond Robotti, Cesare

Journal: Econometric reviews

Citation: Gospodinov, Nikolay et al., Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models, Econometric reviews , 37(7), 2018, pp. 695-718

GMM estimation of a realized stochastic volatility model: A Monte Carlo study

Authors: Chaussé, Pierre Xu, Dinghai

Journal: Econometric reviews

Citation: Chaussé, Pierre et Xu, Dinghai, GMM estimation of a realized stochastic volatility model: A Monte Carlo study, Econometric reviews , 37(7), 2018, pp. 719-743

Maximum simulated likelihood estimation of the panel sample selection model

Authors: Lai, Hung-Pin Tsay, Wen-Jen

Journal: Econometric reviews

Citation: Lai, Hung-pin et Tsay, Wen-jen, Maximum simulated likelihood estimation of the panel sample selection model, Econometric reviews , 37(7), 2018, pp. 744-759

More efficient local polynomial regression with random-effects panel data models

Authors: Yang, Ke

Journal: Econometric reviews

Citation: Yang, Ke, More efficient local polynomial regression with random-effects panel data models, Econometric reviews , 37(7), 2018, pp. 760-776

Bayesian model averaging for dynamic panels with an application to a trade gravity model

Authors: Chen, Huigang Mirestean, Alin Tsangarides, Charalambos G

Journal: Econometric reviews

Citation: Chen, Huigang et al., Bayesian model averaging for dynamic panels with an application to a trade gravity model, Econometric reviews , 37(7), 2018, pp. 777-805

Specification tests for time-varying parameter models with stochastic volatility

Authors: Chan, Joshua C C

Journal: Econometric reviews

Citation: C. Chan, Joshua C, Specification tests for time-varying parameter models with stochastic volatility, Econometric reviews , 37(8), 2018, pp. 807-823

On the invertibility of EGARCH(p, q)

Authors: Martinet, Guillaume Gaetan McAleer, Michael

Journal: Econometric reviews

Citation: Martinet, Guillaume Gaetan et Mcaleer, Michael, On the invertibility of EGARCH(p, q), Econometric reviews , 37(8), 2018, pp. 824-849

Testing for Granger-causality in quantiles

Authors: Troster, Victor

Journal: Econometric reviews

Citation: Troster, Victor, Testing for Granger-causality in quantiles, Econometric reviews , 37(8), 2018, pp. 850-866

Testing for a unit root in a nonlinear quantile autoregression framework

Authors: Li, Haiqi Park, Sung Y

Journal: Econometric reviews

Citation: Li, Haiqi et Y. Park, Sung, Testing for a unit root in a nonlinear quantile autoregression framework, Econometric reviews , 37(8), 2018, pp. 867-892

Fixed T dynamic panel data estimators with multifactor errors

Authors: Juodis, Art.ras Sarafidis, Vasilis

Journal: Econometric reviews

Citation: Juodis, Art.ras et Sarafidis, Vasilis, Fixed T dynamic panel data estimators with multifactor errors, Econometric reviews , 37(8), 2018, pp. 893-929

GMM inference in spatial autoregressive models

Authors: Ta.p.nar, Süleyman Do.an, Osman Vijverberg, Wim P M

Journal: Econometric reviews

Citation: Ta.p.nar, Süleyman et al., GMM inference in spatial autoregressive models, Econometric reviews , 37(9), 2018, pp. 931-954

The asymptotic size and power of the augmented Dickey.Fuller test for a unit root

Authors: Paparoditis, Efstathios Politis, Dimitris N

Journal: Econometric reviews

Citation: Paparoditis, Efstathios et N. Politis, Dimitris, The asymptotic size and power of the augmented Dickey.Fuller test for a unit root, Econometric reviews , 37(9), 2018, pp. 955-973

A modified confidence set for the structural break date in linear regression models

Authors: Yamamoto, Yohei

Journal: Econometric reviews

Citation: Yamamoto, Yohei, A modified confidence set for the structural break date in linear regression models, Econometric reviews , 37(9), 2018, pp. 974-999

Structural change tests for GEL criteria

Authors: Guay, Alain Lamarche, Jean-François

Journal: Econometric reviews

Citation: Guay, Alain et Lamarche, Jean-françois, Structural change tests for GEL criteria, Econometric reviews , 37(9), 2018, pp. 1000-1032

Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Authors: Arsova, Antonia Örsal, Deniz Dilan Karaman

Journal: Econometric reviews

Citation: Arsova, Antonia et Örsal, Deniz Dilan Karaman, Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence, Econometric reviews , 37(10), 2018, pp. 1033-1050

The estimation for Lévy processes in high frequency data

Authors: Zheng, Jing Gu, Wentao Xu, Baolin Cai, Zongwu

Journal: Econometric reviews

Citation: Zheng, Jing et al., The estimation for Lévy processes in high frequency data, Econometric reviews , 37(10), 2018, pp. 1051-1066

Robust inference for predictability in smooth transition predictive regressions

Authors: K.l.ç, Rehim

Journal: Econometric reviews

Citation: K.l.ç, Rehim, Robust inference for predictability in smooth transition predictive regressions, Econometric reviews , 37(10), 2018, pp. 1067-1094

Heterogeneous credit union production technologies with endogenous switching and correlated effects

Authors: Malikov, Emir Restrepo-Tobón, Diego A Kumbhakar, Subal C

Journal: Econometric reviews

Citation: Malikov, Emir et al., Heterogeneous credit union production technologies with endogenous switching and correlated effects, Econometric reviews , 37(10), 2018, pp. 1095-1119

Testing the homogeneous marginal utility of income assumption

Authors: Demuynck, Thomas

Journal: Econometric reviews

Citation: Demuynck, Thomas, Testing the homogeneous marginal utility of income assumption, Econometric reviews , 37(10), 2018, pp. 1120-1136

Estimation of time-invariant effects in static panel data models

Authors: Pesaran, M Hashem Zhou, Qiankun

Journal: Econometric reviews

Citation: Pesaran, M Hashem et Zhou, Qiankun, Estimation of time-invariant effects in static panel data models, Econometric reviews , 37(10), 2018, pp. 1137-1171

Results: 1-25 | 26-49