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Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models.
- Published in:
- Journal of Applied Econometrics, 2022, v. 37, n. 1, p. 3, doi. 10.1002/jae.2843
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- Article
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS.
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- Econometric Theory, 2021, v. 37, n. 1, p. 1, doi. 10.1017/S0266466620000067
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- Article
Inference Under Random Limit Bootstrap Measures.
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- Econometrica, 2020, v. 88, n. 6, p. 2547, doi. 10.3982/ECTA16557
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- Article
The Fixed Volatility Bootstrap for a Class of Arch(q) Models.
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- Journal of Time Series Analysis, 2018, v. 39, n. 6, p. 920, doi. 10.1111/jtsa.12421
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- Publication type:
- Article
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT.
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- Annals of Financial Economics, 2018, v. 13, n. 2, p. N.PAG, doi. 10.1142/S2010495218500094
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- Article
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.
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- Econometric Theory, 2018, v. 34, n. 2, p. 302, doi. 10.1017/S0266466616000037
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- Publication type:
- Article
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER.
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- Econometric Theory, 2018, v. 34, n. 2, p. 349, doi. 10.1017/S0266466616000335
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- Publication type:
- Article
Co-integration Rank Determination in Partial Systems Using Information Criteria.
- Published in:
- Oxford Bulletin of Economics & Statistics, 2018, v. 80, n. 1, p. 65, doi. 10.1111/obes.12195
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- Publication type:
- Article
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space.
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- Journal of Time Series Analysis, 2017, v. 38, n. 4, p. 513, doi. 10.1111/jtsa.12214
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- Publication type:
- Article
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.
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- Oxford Bulletin of Economics & Statistics, 2015, v. 77, n. 5, p. 740, doi. 10.1111/obes.12090
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- Publication type:
- Article
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics.
- Published in:
- Journal of Time Series Analysis, 2015, v. 36, n. 5, p. 603, doi. 10.1111/jtsa.12067
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- Article
Recent Developements in Bootstrap Methods for Dependent Data.
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- 2015
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- Publication type:
- Editorial
Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components.
- Published in:
- Journal of Time Series Analysis, 2015, v. 36, n. 3, p. 272, doi. 10.1111/jtsa.12104
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- Publication type:
- Article
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models.
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- Econometrica, 2015, v. 83, n. 2, p. 813, doi. 10.3982/ECTA11952
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- Publication type:
- Article
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models.
- Published in:
- Oxford Bulletin of Economics & Statistics, 2015, v. 77, n. 1, p. 106, doi. 10.1111/obes.12051
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- Publication type:
- Article
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS.
- Published in:
- Econometric Theory, 2013, v. 29, n. 6, p. 1162, doi. 10.1017/S0266466613000030
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- Publication type:
- Article
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models.
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- Econometrica, 2012, v. 80, n. 4, p. 1721, doi. 10.3982/ECTA9099
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- Publication type:
- Article
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.
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- Econometric Theory, 2011, v. 27, n. 5, p. 957, doi. 10.1017/S0266466610000605
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- Publication type:
- Article
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.
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- Econometric Theory, 2010, v. 26, n. 6, p. 1719, doi. 10.1017/S0266466609990776
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- Publication type:
- Article
Determination of the Number of Common Stochastic Trends under Conditional Heteroskedasticity.
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- Estudios de Economía Aplicada, 2010, v. 28, n. 3, p. 519
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- Publication type:
- Article
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS.
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- Econometric Theory, 2009, v. 25, n. 6, p. 1625, doi. 10.1017/S0266466609990272
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- Publication type:
- Article
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT.
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- Econometric Theory, 2009, v. 25, n. 5, p. 1228, doi. 10.1017/S026646660809049X
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- Publication type:
- Article
Tests for cointegration rank and choice of the alternative.
- Published in:
- Statistical Methods & Applications, 2009, v. 18, n. 2, p. 169, doi. 10.1007/s10260-007-0084-2
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- Publication type:
- Article
Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility.
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- Journal of Time Series Analysis, 2008, v. 29, n. 2, p. 300, doi. 10.1111/j.1467-9892.2007.00557.x
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- Publication type:
- Article
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY.
- Published in:
- Econometric Theory, 2008, v. 24, n. 1, p. 43, doi. 10.1017/S0266466608080043
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- Publication type:
- Article
International dynamic risk sharing.
- Published in:
- Journal of Applied Econometrics, 2008, v. 23, n. 1, p. 1, doi. 10.1002/jae.968
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- Publication type:
- Article
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS.
- Published in:
- Econometric Theory, 2007, v. 23, n. 6, p. 1162, doi. 10.1017/S0266466607070466
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- Publication type:
- Article
Testing for a Change in Persistence in the Presence of a Volatility Shift.
- Published in:
- Oxford Bulletin of Economics & Statistics, 2006, v. 68, p. 761, doi. 10.1111/j.1468-0084.2006.00455.x
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- Publication type:
- Article
Testing the Null of Co-integration in the Presence of Variance Breaks.
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- Journal of Time Series Analysis, 2006, v. 27, n. 4, p. 613, doi. 10.1111/j.1467-9892.2006.00475.x
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- Publication type:
- Article
Stochastic Volatility: Selected Readings.
- Published in:
- 2006
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- Publication type:
- Book Review
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS.
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- Econometric Theory, 2005, v. 21, n. 6, p. 1112, doi. 10.1017/S0266466605050553
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- Publication type:
- Article
LIMITED TIME SERIES WITH A UNIT ROOT.
- Published in:
- Econometric Theory, 2005, v. 21, n. 5, p. 907, doi. 10.1017/S0266466605050462
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- Publication type:
- Article
03.3.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint—Solution.
- Published in:
- Econometric Theory, 2004, v. 20, n. 4, p. 808, doi. 10.1017/S0266466604224082
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- Publication type:
- Article
Fundamentals and asset price dynamics.
- Published in:
- Statistical Methods & Applications, 2003, v. 12, n. 2, p. 211, doi. 10.1007/s10260-003-0053-3
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- Publication type:
- Article
Asymptotics for unit root tests under Markov regime-switching.
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- Econometrics Journal, 2003, v. 6, n. 1, p. 193, doi. 10.1111/1368-423X.00107
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- Publication type:
- Article
Bounded integrated process and unit root tests.
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- Statistical Methods & Applications, 2002, v. 11, n. 1, p. 41, doi. 10.1007/BF02511445
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- Publication type:
- Article
Testing the unit root hypothesis using generalized range statistics.
- Published in:
- Econometrics Journal, 2001, v. 4, n. 1, p. 70, doi. 10.1111/1368-423X.00057
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- Publication type:
- Article