Wei, Bo; Tan, Kean Ming; He, Xuming Estimation of complier expected shortfall treatment effects with a binary instrumental variable. (English) Zbl 07803954 J. Econom. 238, No. 2, Article ID 105572, 27 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Wei} et al., J. Econom. 238, No. 2, Article ID 105572, 27 p. (2024; Zbl 07803954) Full Text: DOI arXiv
Babii, Andrii; Ball, Ryan T.; Ghysels, Eric; Striaukas, Jonas Machine learning panel data regressions with heavy-tailed dependent data: theory and application. (English) Zbl 07767725 J. Econom. 237, No. 2, Part C, Article ID 105315, 25 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Babii} et al., J. Econom. 237, No. 2, Part C, Article ID 105315, 25 p. (2023; Zbl 07767725) Full Text: DOI arXiv
Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik Evaluating forecast performance with state dependence. (English) Zbl 07767720 J. Econom. 237, No. 2, Part C, Article ID 105220, 31 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. Odendahl} et al., J. Econom. 237, No. 2, Part C, Article ID 105220, 31 p. (2023; Zbl 07767720) Full Text: DOI
Fan, Yanqin; Han, Fang; Park, Hyeonseok Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model. (English) Zbl 07767707 J. Econom. 237, No. 1, Article ID 105513, 28 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Fan} et al., J. Econom. 237, No. 1, Article ID 105513, 28 p. (2023; Zbl 07767707) Full Text: DOI
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D. Inference and forecasting for continuous-time integer-valued trawl processes. (English) Zbl 07743048 J. Econom. 236, No. 2, Article ID 105476, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Bennedsen} et al., J. Econom. 236, No. 2, Article ID 105476, 21 p. (2023; Zbl 07743048) Full Text: DOI arXiv
Su, Liangjun; Wang, Wuyi; Xu, Xingbai Identifying latent group structures in spatial dynamic panels. (English) Zbl 07704522 J. Econom. 235, No. 2, 1955-1980 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{L. Su} et al., J. Econom. 235, No. 2, 1955--1980 (2023; Zbl 07704522) Full Text: DOI
Mayer, Alexander; Wied, Dominik Estimation and inference in factor copula models with exogenous covariates. (English) Zbl 07704503 J. Econom. 235, No. 2, 1500-1521 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Mayer} and \textit{D. Wied}, J. Econom. 235, No. 2, 1500--1521 (2023; Zbl 07704503) Full Text: DOI arXiv
Fu, Zhonghao; Hong, Yongmiao; Su, Liangjun; Wang, Xia Specification tests for time-varying coefficient models. (English) Zbl 07704471 J. Econom. 235, No. 2, 720-744 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Z. Fu} et al., J. Econom. 235, No. 2, 720--744 (2023; Zbl 07704471) Full Text: DOI
Linton, Oliver; Seo, Myung Hwan; Whang, Yoon-Jae Testing stochastic dominance with many conditioning variables. (English) Zbl 07704463 J. Econom. 235, No. 2, 507-527 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{O. Linton} et al., J. Econom. 235, No. 2, 507--527 (2023; Zbl 07704463) Full Text: DOI
Wang, Bin; Zheng, Xu Testing for the presence of jump components in jump diffusion models. (English) Zbl 07585125 J. Econom. 230, No. 2, 483-509 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Wang} and \textit{X. Zheng}, J. Econom. 230, No. 2, 483--509 (2022; Zbl 07585125) Full Text: DOI
Juodis, Artūras; Sarafidis, Vasilis An incidental parameters free inference approach for panels with common shocks. (English) Zbl 07538789 J. Econom. 229, No. 1, 19-54 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Juodis} and \textit{V. Sarafidis}, J. Econom. 229, No. 1, 19--54 (2022; Zbl 07538789) Full Text: DOI
Guðmundsson, Guðmundur Stefán; Brownlees, Christian Detecting groups in large vector autoregressions. (English) Zbl 07414278 J. Econom. 225, No. 1, 2-26 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{G. S. Guðmundsson} and \textit{C. Brownlees}, J. Econom. 225, No. 1, 2--26 (2021; Zbl 07414278) Full Text: DOI
Yousuf, Kashif; Ng, Serena Boosting high dimensional predictive regressions with time varying parameters. (English) Zbl 07376508 J. Econom. 224, No. 1, 60-87 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. Yousuf} and \textit{S. Ng}, J. Econom. 224, No. 1, 60--87 (2021; Zbl 07376508) Full Text: DOI arXiv
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul Limit theorems for network dependent random variables. (English) Zbl 1471.62536 J. Econom. 222, No. 2, 882-908 (2021). MSC: 62P20 60F05 62M30 91D30 PDFBibTeX XMLCite \textit{D. Kojevnikov} et al., J. Econom. 222, No. 2, 882--908 (2021; Zbl 1471.62536) Full Text: DOI arXiv
Catania, Leopoldo; Di Mari, Roberto Hierarchical Markov-switching models for multivariate integer-valued time-series. (English) Zbl 1464.62376 J. Econom. 221, No. 1, 118-137 (2021). MSC: 62M10 62M05 62P25 PDFBibTeX XMLCite \textit{L. Catania} and \textit{R. Di Mari}, J. Econom. 221, No. 1, 118--137 (2021; Zbl 1464.62376) Full Text: DOI
Hong, Seok Young; Linton, Oliver Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (English) Zbl 1464.62261 J. Econom. 219, No. 2, 389-424 (2020). MSC: 62G08 62G05 62G20 62M10 62P20 PDFBibTeX XMLCite \textit{S. Y. Hong} and \textit{O. Linton}, J. Econom. 219, No. 2, 389--424 (2020; Zbl 1464.62261) Full Text: DOI Link
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan Sequential monitoring for changes from stationarity to mild non-stationarity. (English) Zbl 1456.62192 J. Econom. 215, No. 1, 209-238 (2020). MSC: 62M10 62M07 62P20 62P05 PDFBibTeX XMLCite \textit{L. Horváth} et al., J. Econom. 215, No. 1, 209--238 (2020; Zbl 1456.62192) Full Text: DOI
Hounyo, Ulrich; Varneskov, Rasmus T. Inference for local distributions at high sampling frequencies: a bootstrap approach. (English) Zbl 1456.62249 J. Econom. 215, No. 1, 1-34 (2020). MSC: 62P05 62G09 62G10 62G20 62M10 PDFBibTeX XMLCite \textit{U. Hounyo} and \textit{R. T. Varneskov}, J. Econom. 215, No. 1, 1--34 (2020; Zbl 1456.62249) Full Text: DOI Link
Hagemann, Andreas Placebo inference on treatment effects when the number of clusters is small. (English) Zbl 1456.62286 J. Econom. 213, No. 1, 190-209 (2019). MSC: 62P20 62M10 62G10 62G20 PDFBibTeX XMLCite \textit{A. Hagemann}, J. Econom. 213, No. 1, 190--209 (2019; Zbl 1456.62286) Full Text: DOI arXiv
Kuersteiner, Guido M. Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity. (English) Zbl 1452.62936 J. Econom. 211, No. 1, 243-261 (2019). MSC: 62P20 60F17 60F05 46E35 62F03 PDFBibTeX XMLCite \textit{G. M. Kuersteiner}, J. Econom. 211, No. 1, 243--261 (2019; Zbl 1452.62936) Full Text: DOI arXiv
Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni Consistent estimation of time-varying loadings in high-dimensional factor models. (English) Zbl 1452.62415 J. Econom. 208, No. 2, 535-562 (2019). MSC: 62H25 62M10 62F12 62P20 PDFBibTeX XMLCite \textit{J. G. Mikkelsen} et al., J. Econom. 208, No. 2, 535--562 (2019; Zbl 1452.62415) Full Text: DOI Link
Carvalho, Carlos; Masini, Ricardo; Medeiros, Marcelo C. ArCo: an artificial counterfactual approach for high-dimensional panel time-series data. (English) Zbl 1452.62891 J. Econom. 207, No. 2, 352-380 (2018). MSC: 62P20 62M10 62J07 62H12 62F12 PDFBibTeX XMLCite \textit{C. Carvalho} et al., J. Econom. 207, No. 2, 352--380 (2018; Zbl 1452.62891) Full Text: DOI Link
Seo, Juwon Tests of stochastic monotonicity with improved power. (English) Zbl 1452.62321 J. Econom. 207, No. 1, 53-70 (2018). MSC: 62G10 62E20 62G30 PDFBibTeX XMLCite \textit{J. Seo}, J. Econom. 207, No. 1, 53--70 (2018; Zbl 1452.62321) Full Text: DOI
Xu, Xingbai; Lee, Lung-fei Sieve maximum likelihood estimation of the spatial autoregressive Tobit model. (English) Zbl 1386.62032 J. Econom. 203, No. 1, 96-112 (2018). MSC: 62M30 62M10 62G05 62G20 62P20 PDFBibTeX XMLCite \textit{X. Xu} and \textit{L.-f. Lee}, J. Econom. 203, No. 1, 96--112 (2018; Zbl 1386.62032) Full Text: DOI
Kheifets, Igor; Velasco, Carlos New goodness-of-fit diagnostics for conditional discrete response models. (English) Zbl 1388.62259 J. Econom. 200, No. 1, 135-149 (2017). MSC: 62M10 62F03 62P20 PDFBibTeX XMLCite \textit{I. Kheifets} and \textit{C. Velasco}, J. Econom. 200, No. 1, 135--149 (2017; Zbl 1388.62259) Full Text: DOI arXiv
Kristensen, Dennis; Salanié, Bernard Higher-order properties of approximate estimators. (English) Zbl 1395.62359 J. Econom. 198, No. 2, 189-208 (2017). MSC: 62P20 62F12 PDFBibTeX XMLCite \textit{D. Kristensen} and \textit{B. Salanié}, J. Econom. 198, No. 2, 189--208 (2017; Zbl 1395.62359) Full Text: DOI DOI
Kim, Min Seong; Sun, Yixiao; Yang, Jingjing A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data. (English) Zbl 1422.62151 J. Econom. 197, No. 2, 298-322 (2017). MSC: 62G08 62G10 62G20 62M10 91B84 PDFBibTeX XMLCite \textit{M. S. Kim} et al., J. Econom. 197, No. 2, 298--322 (2017; Zbl 1422.62151) Full Text: DOI
Massacci, Daniele Least squares estimation of large dimensional threshold factor models. (English) Zbl 1443.62175 J. Econom. 197, No. 1, 101-129 (2017). MSC: 62H25 62M10 62P20 PDFBibTeX XMLCite \textit{D. Massacci}, J. Econom. 197, No. 1, 101--129 (2017; Zbl 1443.62175) Full Text: DOI Link
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji Testing for Granger causality with mixed frequency data. (English) Zbl 1419.62229 J. Econom. 192, No. 1, 207-230 (2016). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{E. Ghysels} et al., J. Econom. 192, No. 1, 207--230 (2016; Zbl 1419.62229) Full Text: DOI
Medeiros, Marcelo C.; Mendes, Eduardo F. \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (English) Zbl 1390.62179 J. Econom. 191, No. 1, 255-271 (2016). MSC: 62M10 62J07 91B84 PDFBibTeX XMLCite \textit{M. C. Medeiros} and \textit{E. F. Mendes}, J. Econom. 191, No. 1, 255--271 (2016; Zbl 1390.62179) Full Text: DOI
Bester, C. Alan; Hansen, Christian B. Grouped effects estimators in fixed effects models. (English) Zbl 1419.62501 J. Econom. 190, No. 1, 197-208 (2016). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{C. A. Bester} and \textit{C. B. Hansen}, J. Econom. 190, No. 1, 197--208 (2016; Zbl 1419.62501) Full Text: DOI
Hill, Jonathan B.; Prokhorov, Artem GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (English) Zbl 1419.62231 J. Econom. 190, No. 1, 18-45 (2016). MSC: 62M10 62G05 62E20 62P05 PDFBibTeX XMLCite \textit{J. B. Hill} and \textit{A. Prokhorov}, J. Econom. 190, No. 1, 18--45 (2016; Zbl 1419.62231) Full Text: DOI Link
Zheng, Tingguo; Xiao, Han; Chen, Rong Generalized ARMA models with martingale difference errors. (English) Zbl 1337.62284 J. Econom. 189, No. 2, 492-506 (2015). MSC: 62M10 60G42 62F10 62F12 62E20 PDFBibTeX XMLCite \textit{T. Zheng} et al., J. Econom. 189, No. 2, 492--506 (2015; Zbl 1337.62284) Full Text: DOI
Zhu, Ke; Li, Wai Keung A bootstrapped spectral test for adequacy in weak ARMA models. (English) Zbl 1337.62285 J. Econom. 187, No. 1, 113-130 (2015). MSC: 62M10 62G10 62M15 91G70 PDFBibTeX XMLCite \textit{K. Zhu} and \textit{W. K. Li}, J. Econom. 187, No. 1, 113--130 (2015; Zbl 1337.62285) Full Text: DOI Link
Sun, Yixiao Let’s fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference. (English) Zbl 1293.62108 J. Econom. 178, Part 3, 659-677 (2014). MSC: 62G20 62G10 62H12 PDFBibTeX XMLCite \textit{Y. Sun}, J. Econom. 178, Part 3, 659--677 (2014; Zbl 1293.62108) Full Text: DOI
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar Nonparametric estimation and inference for conditional density based Granger causality measures. (English) Zbl 1293.62082 J. Econom. 180, No. 2, 251-264 (2014). MSC: 62G05 62G07 62H05 62M10 62P05 91G70 PDFBibTeX XMLCite \textit{A. Taamouti} et al., J. Econom. 180, No. 2, 251--264 (2014; Zbl 1293.62082) Full Text: DOI Link
Berghaus, Betina; Bücher, Axel Nonparametric tests for tail monotonicity. (English) Zbl 1293.62096 J. Econom. 180, No. 2, 117-126 (2014). MSC: 62G10 62P20 91B82 PDFBibTeX XMLCite \textit{B. Berghaus} and \textit{A. Bücher}, J. Econom. 180, No. 2, 117--126 (2014; Zbl 1293.62096) Full Text: DOI Link
Hill, Jonathan B.; Aguilar, Mike Moment condition tests for heavy tailed time series. (English) Zbl 1443.62266 J. Econom. 172, No. 2, 255-274 (2013). MSC: 62M10 62E20 62P20 PDFBibTeX XMLCite \textit{J. B. Hill} and \textit{M. Aguilar}, J. Econom. 172, No. 2, 255--274 (2013; Zbl 1443.62266) Full Text: DOI Link Link
McElroy, Tucker; Politis, Dimitris N. Distribution theory for the Studentized mean for long, short, and negative memory time series. (English) Zbl 1285.62108 J. Econom. 177, No. 1, 60-74 (2013). MSC: 62M10 62G05 62G20 91B84 PDFBibTeX XMLCite \textit{T. McElroy} and \textit{D. N. Politis}, J. Econom. 177, No. 1, 60--74 (2013; Zbl 1285.62108) Full Text: DOI
Jenish, Nazgul; Prucha, Ingmar R. On spatial processes and asymptotic inference under near-epoch dependence. (English) Zbl 1443.62472 J. Econom. 170, No. 1, 178-190 (2012). MSC: 62P20 60F05 62M30 PDFBibTeX XMLCite \textit{N. Jenish} and \textit{I. R. Prucha}, J. Econom. 170, No. 1, 178--190 (2012; Zbl 1443.62472) Full Text: DOI Link Link
Kato, Kengo; Galvao, Antonio F. jun.; Montes-Rojas, Gabriel V. Asymptotics for panel quantile regression models with individual effects. (English) Zbl 1443.62475 J. Econom. 170, No. 1, 76-91 (2012). MSC: 62P20 62G08 62E20 PDFBibTeX XMLCite \textit{K. Kato} et al., J. Econom. 170, No. 1, 76--91 (2012; Zbl 1443.62475) Full Text: DOI Link Link
Andrews, Donald W. K.; Guggenberger, Patrik Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity. (English) Zbl 1443.62240 J. Econom. 169, No. 2, 196-210 (2012). MSC: 62M10 62E20 62P20 PDFBibTeX XMLCite \textit{D. W. K. Andrews} and \textit{P. Guggenberger}, J. Econom. 169, No. 2, 196--210 (2012; Zbl 1443.62240) Full Text: DOI Link
Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae Testing for non-nested conditional moment restrictions using unconditional empirical likelihood. (English) Zbl 1441.62825 J. Econom. 167, No. 2, 370-382 (2012). MSC: 62P20 62G10 62G20 PDFBibTeX XMLCite \textit{T. Otsu} et al., J. Econom. 167, No. 2, 370--382 (2012; Zbl 1441.62825) Full Text: DOI Link
Jenish, Nazgul Nonparametric spatial regression under near-epoch dependence. (English) Zbl 1441.62753 J. Econom. 167, No. 1, 224-239 (2012). MSC: 62P20 62G08 62M10 62M30 PDFBibTeX XMLCite \textit{N. Jenish}, J. Econom. 167, No. 1, 224--239 (2012; Zbl 1441.62753) Full Text: DOI
Kristensen, Dennis; Shin, Yongseok Estimation of dynamic models with nonparametric simulated maximum likelihood. (English) Zbl 1441.62785 J. Econom. 167, No. 1, 76-94 (2012). MSC: 62P20 PDFBibTeX XMLCite \textit{D. Kristensen} and \textit{Y. Shin}, J. Econom. 167, No. 1, 76--94 (2012; Zbl 1441.62785) Full Text: DOI Link
Kristensen, Dennis Semi-nonparametric estimation and misspecification testing of diffusion models. (English) Zbl 1441.62784 J. Econom. 164, No. 2, 382-403 (2011). MSC: 62P20 62G10 62M05 60J60 62G05 62G07 62G20 PDFBibTeX XMLCite \textit{D. Kristensen}, J. Econom. 164, No. 2, 382--403 (2011; Zbl 1441.62784) Full Text: DOI
Atak, Alev; Linton, Oliver; Xiao, Zhijie A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom. (English) Zbl 1441.62593 J. Econom. 164, No. 1, 92-115 (2011). MSC: 62P20 PDFBibTeX XMLCite \textit{A. Atak} et al., J. Econom. 164, No. 1, 92--115 (2011; Zbl 1441.62593) Full Text: DOI Link
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio Multivariate contemporaneous-threshold autoregressive models. (English) Zbl 1441.62672 J. Econom. 160, No. 2, 311-325 (2011). MSC: 62P20 62M10 91B84 62P05 PDFBibTeX XMLCite \textit{M. J. Dueker} et al., J. Econom. 160, No. 2, 311--325 (2011; Zbl 1441.62672) Full Text: DOI Link
Kristensen, Dennis Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models. (English) Zbl 1431.62342 J. Econom. 156, No. 2, 239-259 (2010). MSC: 62M05 62G05 62F12 62G07 62P20 PDFBibTeX XMLCite \textit{D. Kristensen}, J. Econom. 156, No. 2, 239--259 (2010; Zbl 1431.62342) Full Text: DOI
Comte, F.; Lacour, C.; Rozenholc, Y. Adaptive estimation of the dynamics of a discrete time stochastic volatility model. (English) Zbl 1431.62139 J. Econom. 154, No. 1, 59-73 (2010). MSC: 62G07 62G08 62M05 62M10 62G20 62P05 PDFBibTeX XMLCite \textit{F. Comte} et al., J. Econom. 154, No. 1, 59--73 (2010; Zbl 1431.62139) Full Text: DOI HAL
Jenish, Nazgul; Prucha, Ingmar R. Central limit theorems and uniform laws of large numbers for arrays of random fields. (English) Zbl 1429.60030 J. Econom. 150, No. 1, 86-98 (2009). MSC: 60F05 60F15 60G60 62P20 62M30 62M40 PDFBibTeX XMLCite \textit{N. Jenish} and \textit{I. R. Prucha}, J. Econom. 150, No. 1, 86--98 (2009; Zbl 1429.60030) Full Text: DOI Link
Pinkse, Joris; Shen, Lihong; Slade, Margaret A central limit theorem for endogenous locations and complex spatial interactions. (English) Zbl 1418.62367 J. Econom. 140, No. 1, 215-225 (2007). MSC: 62M30 60F05 62P20 PDFBibTeX XMLCite \textit{J. Pinkse} et al., J. Econom. 140, No. 1, 215--225 (2007; Zbl 1418.62367) Full Text: DOI
Baltagi, Badi H. (ed.); Kelejian, Harry H. (ed.); Prucha, Ingmar R. (ed.) Guest editorial. Analysis of spatially dependent data. (English) Zbl 1420.00032 J. Econom. 140, No. 1, 1-4 (2007). MSC: 00B15 62-06 62P20 PDFBibTeX XMLCite \textit{B. H. Baltagi} (ed.) et al., J. Econom. 140, No. 1, 1--4 (2007; Zbl 1420.00032) Full Text: DOI
Caner, Mehmet Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases. (English) Zbl 1360.62069 J. Econom. 137, No. 1, 28-67 (2007). MSC: 62F03 62F05 62P20 PDFBibTeX XMLCite \textit{M. Caner}, J. Econom. 137, No. 1, 28--67 (2007; Zbl 1360.62069) Full Text: DOI
Corradi, Valentina; Swanson, Norman R. Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data. (English) Zbl 1418.62437 J. Econom. 136, No. 2, 699-723 (2007). MSC: 62P20 62G09 62G10 62M10 91B51 PDFBibTeX XMLCite \textit{V. Corradi} and \textit{N. R. Swanson}, J. Econom. 136, No. 2, 699--723 (2007; Zbl 1418.62437) Full Text: DOI Link
Hansen, Bruce E. Interval forecasts and parameter uncertainty. (English) Zbl 1418.62327 J. Econom. 135, No. 1-2, 377-398 (2006). MSC: 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{B. E. Hansen}, J. Econom. 135, No. 1--2, 377--398 (2006; Zbl 1418.62327) Full Text: DOI
Chen, Xiaohong; Fan, Yanqin Estimation of copula-based semiparametric time series models. (English) Zbl 1337.62201 J. Econom. 130, No. 2, 307-335 (2006). MSC: 62M05 62M10 62G05 PDFBibTeX XMLCite \textit{X. Chen} and \textit{Y. Fan}, J. Econom. 130, No. 2, 307--335 (2006; Zbl 1337.62201) Full Text: DOI
Dalla, Violetta; Hidalgo, Javier A parametric bootstrap test for cycles. (English) Zbl 1336.62112 J. Econom. 129, No. 1-2, 219-261 (2005). MSC: 62F40 62F03 62E20 PDFBibTeX XMLCite \textit{V. Dalla} and \textit{J. Hidalgo}, J. Econom. 129, No. 1--2, 219--261 (2005; Zbl 1336.62112) Full Text: DOI Link
Banerjee, Anindya (ed.); Urga, Giovanni (ed.) Modelling structural breaks, long memory and stock market volatility: an overview. (English) Zbl 1335.00139 J. Econom. 129, No. 1-2, 1-34 (2005). MSC: 00B25 62-06 62P05 91B84 91G70 PDFBibTeX XMLCite \textit{A. Banerjee} (ed.) and \textit{G. Urga} (ed.), J. Econom. 129, No. 1--2, 1--34 (2005; Zbl 1335.00139) Full Text: DOI
Gonzalo, Jesús; Wolf, Michael Subsampling inference in threshold autoregressive models. (English) Zbl 1335.62134 J. Econom. 127, No. 2, 201-224 (2005). MSC: 62M10 62D05 62M02 PDFBibTeX XMLCite \textit{J. Gonzalo} and \textit{M. Wolf}, J. Econom. 127, No. 2, 201--224 (2005; Zbl 1335.62134) Full Text: DOI Link
Saikkonen, Pentti Stability results for nonlinear error correction models. (English) Zbl 1335.62145 J. Econom. 127, No. 1, 69-81 (2005). MSC: 62M10 PDFBibTeX XMLCite \textit{P. Saikkonen}, J. Econom. 127, No. 1, 69--81 (2005; Zbl 1335.62145) Full Text: DOI
Franke, Jürgen; Neumann, Michael H.; Stockis, Jean-Pierre Bootstrapping nonparametric estimators of the volatility function. (English) Zbl 1033.62039 J. Econom. 118, No. 1-2, 189-218 (2004). MSC: 62G09 62P05 62M10 62G05 PDFBibTeX XMLCite \textit{J. Franke} et al., J. Econom. 118, No. 1--2, 189--218 (2004; Zbl 1033.62039) Full Text: DOI
Corradi, Valentina; Swanson, Norman R. A consistent test for nonlinear out of sample predictive accuracy. (English) Zbl 1044.62118 J. Econom. 110, No. 2, 353-381 (2002). MSC: 62P20 62E20 65C05 PDFBibTeX XMLCite \textit{V. Corradi} and \textit{N. R. Swanson}, J. Econom. 110, No. 2, 353--381 (2002; Zbl 1044.62118) Full Text: DOI
Carrasco, Marine Misspecified structural change, threshold, and Markov-switching models. (English) Zbl 1044.62091 J. Econom. 109, No. 2, 239-273 (2002). MSC: 62M10 62F03 62P20 62F12 62E20 PDFBibTeX XMLCite \textit{M. Carrasco}, J. Econom. 109, No. 2, 239--273 (2002; Zbl 1044.62091) Full Text: DOI
Chen, Xiaoheng; Conley, Timothy G. A new semiparametric spatial model for panel time series. (English) Zbl 0980.62104 J. Econom. 105, No. 1, 59-83 (2001). MSC: 62P20 91B84 62G05 PDFBibTeX XMLCite \textit{X. Chen} and \textit{T. G. Conley}, J. Econom. 105, No. 1, 59--83 (2001; Zbl 0980.62104) Full Text: DOI
Whang, Yoon-Jae; Linton, Oliver The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series. (English) Zbl 1041.62503 J. Econom. 91, No. 1, 1-42 (1999). MSC: 62E20 62M10 62F25 PDFBibTeX XMLCite \textit{Y.-J. Whang} and \textit{O. Linton}, J. Econom. 91, No. 1, 1--42 (1999; Zbl 1041.62503) Full Text: DOI
Fitzenberger, Bernd The moving blocks bootstrap and robust inference for linear least squares and quantile regressions. (English) Zbl 0907.62026 J. Econom. 82, No. 2, 235-287 (1998). Reviewer: J.Lillestøl (Bergen) MSC: 62F12 62J05 62P20 PDFBibTeX XMLCite \textit{B. Fitzenberger}, J. Econom. 82, No. 2, 235--287 (1998; Zbl 0907.62026) Full Text: DOI
Härdle, W.; Tsybakov, A. Local polynomial estimators of the volatility function in nonparametric autoregression. (English) Zbl 0904.62047 J. Econom. 81, No. 1, 223-242 (1997). MSC: 62G07 62M10 62P20 PDFBibTeX XMLCite \textit{W. Härdle} and \textit{A. Tsybakov}, J. Econom. 81, No. 1, 223--242 (1997; Zbl 0904.62047) Full Text: DOI
Politis, D. N.; Romano, Joseph P.; Wolf, Michael Subsampling for heteroskedastic time series. (English) Zbl 0904.62059 J. Econom. 81, No. 2, 281-317 (1997). MSC: 62G15 62M10 62P20 62G09 62J05 62G20 PDFBibTeX XMLCite \textit{D. N. Politis} et al., J. Econom. 81, No. 2, 281--317 (1997; Zbl 0904.62059) Full Text: DOI