Yang, Jingjing Break point estimators for a slope shift: levels versus first differences. (English) Zbl 1241.62037 Econom. J. 15, No. 1, 154-169 (2012). MSC: 62G05 62E20 62M99 65C60 PDFBibTeX XMLCite \textit{J. Yang}, Econom. J. 15, No. 1, 154--169 (2012; Zbl 1241.62037) Full Text: DOI
Bravo, Francesco Generalized empirical likelihood testing in semiparametric conditional moment restrictions models. (English) Zbl 1241.62064 Econom. J. 15, No. 1, 1-31 (2012). MSC: 62G10 62G05 62G08 62E20 62Q05 62P20 65C05 PDFBibTeX XMLCite \textit{F. Bravo}, Econom. J. 15, No. 1, 1--31 (2012; Zbl 1241.62064) Full Text: DOI
Yang, Jingjing; Vogelsang, Timothy J. Fixed-\(b\) analysis of LM-type tests for a shift in mean. (English) Zbl 1284.62531 Econom. J. 14, No. 3, 438-456 (2011). MSC: 62M07 62G05 91B84 PDFBibTeX XMLCite \textit{J. Yang} and \textit{T. J. Vogelsang}, Econom. J. 14, No. 3, 438--456 (2011; Zbl 1284.62531) Full Text: DOI
Di, Jianing; Gangopadhyay, Ashis On the efficiency of a semi-parametric GARCH model. (English) Zbl 1217.91206 Econom. J. 14, No. 2, 257-277 (2011). MSC: 91G70 62M10 PDFBibTeX XMLCite \textit{J. Di} and \textit{A. Gangopadhyay}, Econom. J. 14, No. 2, 257--277 (2011; Zbl 1217.91206) Full Text: DOI
Ponomareva, Maria; Tamer, Elie Misspecification in moment inequality models: back to moment equalities? (English) Zbl 1218.62070 Econom. J. 14, No. 2, 186-203 (2011). MSC: 62J05 62F10 62P20 60E15 65C05 PDFBibTeX XMLCite \textit{M. Ponomareva} and \textit{E. Tamer}, Econom. J. 14, No. 2, 186--203 (2011; Zbl 1218.62070) Full Text: DOI
Nielsen, Morten Ørregaard; Frederiksen, Per Fully modified narrow-band least squares estimation of weak fractional cointegration. (English) Zbl 1218.62095 Econom. J. 14, No. 1, 77-120 (2011). MSC: 62M10 62H12 62E20 65C60 62M15 PDFBibTeX XMLCite \textit{M. Ø. Nielsen} and \textit{P. Frederiksen}, Econom. J. 14, No. 1, 77--120 (2011; Zbl 1218.62095) Full Text: DOI
Baltagi, Badi H.; Feng, Qu; Kao, Chihwa Testing for sphericity in a fixed effects panel data model. (English) Zbl 1218.62055 Econom. J. 14, No. 1, 25-47 (2011). MSC: 62H15 62E20 62M10 65C05 PDFBibTeX XMLCite \textit{B. H. Baltagi} et al., Econom. J. 14, No. 1, 25--47 (2011; Zbl 1218.62055) Full Text: DOI
Wright, Jonathan H. Testing the adequacy of conventional asymptotics in GMM. (English) Zbl 1230.62151 Econom. J. 13, No. 2, 205-217 (2010). MSC: 62P20 62M10 62F05 65C05 PDFBibTeX XMLCite \textit{J. H. Wright}, Econom. J. 13, No. 2, 205--217 (2010; Zbl 1230.62151) Full Text: DOI
Choi, Hwan-Sik; Kiefer, Nicholas M. Improving robust model selection tests for dynamic models. (English) Zbl 1230.62149 Econom. J. 13, No. 2, 177-204 (2010). MSC: 62P20 62G10 62G09 62M10 62G20 62P05 PDFBibTeX XMLCite \textit{H.-S. Choi} and \textit{N. M. Kiefer}, Econom. J. 13, No. 2, 177--204 (2010; Zbl 1230.62149) Full Text: DOI
Bun, Maurice J. G.; Windmeijer, Frank The weak instrument problem of the system GMM estimator in dynamic panel data models. (English) Zbl 1187.62139 Econom. J. 13, No. 1, 95-126 (2010). MSC: 62M10 62P20 62F10 65C05 PDFBibTeX XMLCite \textit{M. J. G. Bun} and \textit{F. Windmeijer}, Econom. J. 13, No. 1, 95--126 (2010; Zbl 1187.62139) Full Text: DOI
Čížek, P.; Härdle, W.; Spokoiny, V. Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models. (English) Zbl 1231.91484 Econom. J. 12, No. 2, 248-271 (2009). MSC: 91G70 62M10 62P05 PDFBibTeX XMLCite \textit{P. Čížek} et al., Econom. J. 12, No. 2, 248--271 (2009; Zbl 1231.91484) Full Text: DOI arXiv
Bravo, Francesco Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models. (English) Zbl 1206.62045 Econom. J. 12, No. 2, 208-231 (2009). MSC: 62G05 62M09 65C05 62G20 PDFBibTeX XMLCite \textit{F. Bravo}, Econom. J. 12, No. 2, 208--231 (2009; Zbl 1206.62045) Full Text: DOI
Ardia, David Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-\(t\) innovations. (English) Zbl 1190.62155 Econom. J. 12, No. 1, 105-126 (2009). MSC: 62M10 62F15 62P05 65C05 91G70 65C40 PDFBibTeX XMLCite \textit{D. Ardia}, Econom. J. 12, No. 1, 105--126 (2009; Zbl 1190.62155) Full Text: DOI
Poskitt, D. S.; Skeels, C. L. Assessing the magnitude of the concentration parameter in a simultaneous equations model. (English) Zbl 1190.62204 Econom. J. 12, No. 1, 26-44 (2009). MSC: 62P20 62H10 62E20 62E15 PDFBibTeX XMLCite \textit{D. S. Poskitt} and \textit{C. L. Skeels}, Econom. J. 12, No. 1, 26--44 (2009; Zbl 1190.62204) Full Text: DOI
Andrews, Donald W. K.; Han, Sukjin Invalidity of the bootstrap and the \(m\) out of \(n\) bootstrap for confidence interval endpoints defined by moment inequalities. (English) Zbl 1182.62092 Econom. J. 12, Spec. Iss., S172-S199 (2009). MSC: 62G09 62G15 65C60 PDFBibTeX XMLCite \textit{D. W. K. Andrews} and \textit{S. Han}, Econom. J. 12, S172--S199 (2009; Zbl 1182.62092) Full Text: DOI
Antoine, Bertille; Renault, Eric Efficient GMM with nearly-weak instruments. (English) Zbl 1182.62032 Econom. J. 12, Spec. Iss., S135-S171 (2009). MSC: 62F03 62H15 62P20 62E20 PDFBibTeX XMLCite \textit{B. Antoine} and \textit{E. Renault}, Econom. J. 12, S135--S171 (2009; Zbl 1182.62032) Full Text: DOI
Coudin, Elise; Dufour, Jean-Marie Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form. (English) Zbl 1182.62097 Econom. J. 12, Spec. Iss., S19-S49 (2009); correction ibid., No. 3, 447 (2009). MSC: 62G10 62G15 62G08 65C05 91B82 PDFBibTeX XMLCite \textit{E. Coudin} and \textit{J.-M. Dufour}, Econom. J. 12, S19--S49 (2009; Zbl 1182.62097) Full Text: DOI
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N. Realized kernels in practise : trades and quotes. (English) Zbl 1179.91259 Econom. J. 12, No. 3, C1-C32 (2009). MSC: 91G70 91B84 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} et al., Econom. J. 12, No. 3, C1--C32 (2009; Zbl 1179.91259) Full Text: DOI
Sandberg, Rickard Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent. (English) Zbl 1154.62369 Econom. J. 11, No. 3, 638-647 (2008). MSC: 62M10 62E20 62F03 PDFBibTeX XMLCite \textit{R. Sandberg}, Econom. J. 11, No. 3, 638--647 (2008; Zbl 1154.62369) Full Text: DOI
Ai, Chunrong; Norton, Edward C. A semiparametric derivative estimator in log transformation models. (English) Zbl 1154.62030 Econom. J. 11, No. 3, 538-553 (2008). MSC: 62G08 62G05 62G20 62E20 65C60 PDFBibTeX XMLCite \textit{C. Ai} and \textit{E. C. Norton}, Econom. J. 11, No. 3, 538--553 (2008; Zbl 1154.62030) Full Text: DOI
Davidson, Russell; MacKinnon, James G. Bootstrap inference in a linear equation estimated by instrumental variables. (English) Zbl 1154.62018 Econom. J. 11, No. 3, 443-477 (2008). MSC: 62F03 62F40 62F05 65C60 62P20 PDFBibTeX XMLCite \textit{R. Davidson} and \textit{J. G. MacKinnon}, Econom. J. 11, No. 3, 443--477 (2008; Zbl 1154.62018) Full Text: DOI
Kapetanios, G. A bootstrap procedure for panel data sets with many cross-sectional units. (English) Zbl 1141.91639 Econom. J. 11, No. 2, 377-395 (2008). MSC: 91B82 62P20 PDFBibTeX XMLCite \textit{G. Kapetanios}, Econom. J. 11, No. 2, 377--395 (2008; Zbl 1141.91639) Full Text: DOI
Bai, Jushan; Chen, Haiqiang; Chong, Terence Tai-Leung; Wang, Seraph Xin Generic consistency of the break-point estimators under specification errors in a multiple-break model. (English) Zbl 1141.91633 Econom. J. 11, No. 2, 287-307 (2008). MSC: 91B82 PDFBibTeX XMLCite \textit{J. Bai} et al., Econom. J. 11, No. 2, 287--307 (2008; Zbl 1141.91633) Full Text: DOI
Beyer, Andreas; Farmer, Roger E. A.; Henry, Jérôme; Marcellino, Massimiliano Factor analysis in a model with rational expectations. (English) Zbl 1141.91617 Econom. J. 11, No. 2, 271-286 (2008). MSC: 91B64 PDFBibTeX XMLCite \textit{A. Beyer} et al., Econom. J. 11, No. 2, 271--286 (2008; Zbl 1141.91617) Full Text: DOI
Huang, Xiao Panel vector autoregression under cross-sectional dependence. (English) Zbl 1141.91638 Econom. J. 11, No. 2, 219-243 (2008). MSC: 91B82 62H25 PDFBibTeX XMLCite \textit{X. Huang}, Econom. J. 11, No. 2, 219--243 (2008; Zbl 1141.91638) Full Text: DOI
Xu, Ke-Li Bootstrapping autoregression under non-stationary volatility. (English) Zbl 1135.91408 Econom. J. 11, No. 1, 1-26 (2008). MSC: 91B70 PDFBibTeX XMLCite \textit{K.-L. Xu}, Econom. J. 11, No. 1, 1--26 (2008; Zbl 1135.91408) Full Text: DOI
Allen, Jason Size matters: Covariance matrix estimation under the alternative. (English) Zbl 1127.62120 Econom. J. 10, No. 3, 637-644 (2007). MSC: 62P20 65C05 62H12 62F10 PDFBibTeX XMLCite \textit{J. Allen}, Econom. J. 10, No. 3, 637--644 (2007; Zbl 1127.62120) Full Text: DOI
Chang, Pao-Li; Sakata, Shinichi Estimation of impulse response functions using long autoregression. (English) Zbl 1122.62076 Econom. J. 10, No. 2, 453-469 (2007). MSC: 62M10 PDFBibTeX XMLCite \textit{P.-L. Chang} and \textit{S. Sakata}, Econom. J. 10, No. 2, 453--469 (2007; Zbl 1122.62076) Full Text: DOI
Preminger, Arie; Sakata, Shinichi A model selection method for S-estimation. (English) Zbl 1122.62105 Econom. J. 10, No. 2, 294-319 (2007). MSC: 62P20 62J02 60F17 65C05 PDFBibTeX XMLCite \textit{A. Preminger} and \textit{S. Sakata}, Econom. J. 10, No. 2, 294--319 (2007; Zbl 1122.62105) Full Text: DOI
Magnus, Jan R.; Vasnev, Andrey L. Local sensitivity and diagnostic tests. (English) Zbl 1116.62078 Econom. J. 10, No. 1, 166-192 (2007). MSC: 62J20 62P20 62J05 62H12 PDFBibTeX XMLCite \textit{J. R. Magnus} and \textit{A. L. Vasnev}, Econom. J. 10, No. 1, 166--192 (2007; Zbl 1116.62078) Full Text: DOI
Deng, Ai; Perron, Pierre A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend. (English) Zbl 1111.62075 Econom. J. 9, No. 3, 423-477 (2006). MSC: 62M10 62E20 PDFBibTeX XMLCite \textit{A. Deng} and \textit{P. Perron}, Econom. J. 9, No. 3, 423--477 (2006; Zbl 1111.62075) Full Text: DOI
Aue, Alexander; Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr Change-point monitoring in linear models. (English) Zbl 1106.62067 Econom. J. 9, No. 3, 373-403 (2006). MSC: 62J05 62M10 62P20 PDFBibTeX XMLCite \textit{A. Aue} et al., Econom. J. 9, No. 3, 373--403 (2006; Zbl 1106.62067) Full Text: DOI
Inoue, Atsushi A bootstrap approach to moment selection. (English) Zbl 1088.62056 Econom. J. 9, No. 1, 48-75 (2006). MSC: 62G09 65C05 62P20 62M10 62Q05 62G15 62F40 PDFBibTeX XMLCite \textit{A. Inoue}, Econom. J. 9, No. 1, 48--75 (2006; Zbl 1088.62056) Full Text: DOI
Lieberman, Offer; Phillips, Peter C. B. Expansions for approximate maximum likelihood estimators of the fractional difference parameter. (English) Zbl 1083.62091 Econom. J. 8, No. 3, 367-379 (2005). MSC: 62M10 62E17 62F10 PDFBibTeX XMLCite \textit{O. Lieberman} and \textit{P. C. B. Phillips}, Econom. J. 8, No. 3, 367--379 (2005; Zbl 1083.62091) Full Text: DOI
Dastoor, Naorayex K. On the arbitrariness of some asymptotic test statistics based on generalized inverses. (English) Zbl 1078.62059 Econom. J. 8, No. 3, 292-305 (2005). MSC: 62H12 15A09 62H15 62E20 PDFBibTeX XMLCite \textit{N. K. Dastoor}, Econom. J. 8, No. 3, 292--305 (2005; Zbl 1078.62059) Full Text: DOI
Bai, Jushan; Perron, Pierre Critical values for multiple structural change tests. (English) Zbl 1032.62064 Econom. J. 6, No. 1, 72-78 (2003). MSC: 62J05 62H12 62H15 PDFBibTeX XMLCite \textit{J. Bai} and \textit{P. Perron}, Econom. J. 6, No. 1, 72--78 (2003; Zbl 1032.62064) Full Text: DOI
Kondo, Yasushi; Lee, Myoung-Jae Hedonic price index estimation under mean-independence of time dummies from quality characteristics. (English) Zbl 1069.91087 Econom. J. 6, No. 1, 28-45 (2003). MSC: 91B82 91B24 PDFBibTeX XMLCite \textit{Y. Kondo} and \textit{M.-J. Lee}, Econom. J. 6, No. 1, 28--45 (2003; Zbl 1069.91087) Full Text: DOI
Klüppelberg, Claudia; Maller, Ross A.; van de Vyver, Mark; Wee, Derick Testing for reduction to random walk in autoregressive conditional heteroskedasticity models. (English) Zbl 1018.62071 Econom. J. 5, No. 2, 387-416 (2002). MSC: 62M10 62E20 62F05 PDFBibTeX XMLCite \textit{C. Klüppelberg} et al., Econom. J. 5, No. 2, 387--416 (2002; Zbl 1018.62071) Full Text: DOI
Zaman, Asad Maximum likelihood estimates for the Hildreth-Houck random coefficients model. (English) Zbl 1018.62020 Econom. J. 5, No. 1, 237-262 (2002). MSC: 62F12 62F10 62M10 PDFBibTeX XMLCite \textit{A. Zaman}, Econom. J. 5, No. 1, 237--262 (2002; Zbl 1018.62020) Full Text: DOI