Phillips, Peter C. B.; Wang, Ying Limit theory for locally flat functional coefficient regression. (English) Zbl 07753717 Econom. Theory 39, No. 5, 900-949 (2023). MSC: 62P20 62M10 60F05 62G07 PDFBibTeX XMLCite \textit{P. C. B. Phillips} and \textit{Y. Wang}, Econom. Theory 39, No. 5, 900--949 (2023; Zbl 07753717) Full Text: DOI OA License
Ma, Yaolan; Zhou, Mo; Peng, Liang; Zhang, Rongmao Test for zero median of errors in an ARMA-GARCH model. (English) Zbl 1493.62616 Econom. Theory 38, No. 3, 536-561 (2022). MSC: 62P20 62M10 62G05 PDFBibTeX XMLCite \textit{Y. Ma} et al., Econom. Theory 38, No. 3, 536--561 (2022; Zbl 1493.62616) Full Text: DOI
Anatolyev, Stanislav; Mikusheva, Anna Limit theorems for factor models. (English) Zbl 1479.62069 Econom. Theory 37, No. 5, 1034-1074 (2021). MSC: 62M10 60F05 62P20 PDFBibTeX XMLCite \textit{S. Anatolyev} and \textit{A. Mikusheva}, Econom. Theory 37, No. 5, 1034--1074 (2021; Zbl 1479.62069) Full Text: DOI arXiv
Zhang, Rongmao; Chan, Ngai Hang Nonstationary linear processes with infinite variance GARCH errors. (English) Zbl 1479.62068 Econom. Theory 37, No. 5, 892-925 (2021). MSC: 62M10 62M07 62E20 PDFBibTeX XMLCite \textit{R. Zhang} and \textit{N. H. Chan}, Econom. Theory 37, No. 5, 892--925 (2021; Zbl 1479.62068) Full Text: DOI
Aknouche, Abdelhakim; Francq, Christian Count and duration time series with equal conditional stochastic and mean orders. (English) Zbl 1467.62139 Econom. Theory 37, No. 2, 248-280 (2021). MSC: 62M10 62P20 62P12 PDFBibTeX XMLCite \textit{A. Aknouche} and \textit{C. Francq}, Econom. Theory 37, No. 2, 248--280 (2021; Zbl 1467.62139) Full Text: DOI
Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis Latent variable nonparametric cointegrating regression. (English) Zbl 1462.62249 Econom. Theory 37, No. 1, 138-168 (2021). MSC: 62G08 62G20 62M10 62M20 62P20 91B84 PDFBibTeX XMLCite \textit{Q. Wang} et al., Econom. Theory 37, No. 1, 138--168 (2021; Zbl 1462.62249) Full Text: DOI
Sizova, Natalia Nearly optimal test for long-run predictability with nearly integrated regressors. (English) Zbl 1462.62550 Econom. Theory 37, No. 1, 82-137 (2021). MSC: 62M10 62M20 62G08 62G10 PDFBibTeX XMLCite \textit{N. Sizova}, Econom. Theory 37, No. 1, 82--137 (2021; Zbl 1462.62550) Full Text: DOI
Cavaliere, Giuseppe; Rahbek, Anders A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models. (English) Zbl 1462.62528 Econom. Theory 37, No. 1, 1-48 (2021). MSC: 62M10 62F40 62P20 91B84 PDFBibTeX XMLCite \textit{G. Cavaliere} and \textit{A. Rahbek}, Econom. Theory 37, No. 1, 1--48 (2021; Zbl 1462.62528) Full Text: DOI
Liao, Jen-Che; Tsay, Wen-Jen Optimal multistep VAR forecast averaging. (English) Zbl 1462.62540 Econom. Theory 36, No. 6, 1099-1126 (2020). MSC: 62M10 62M20 62H12 62P20 60G10 91B84 PDFBibTeX XMLCite \textit{J.-C. Liao} and \textit{W.-J. Tsay}, Econom. Theory 36, No. 6, 1099--1126 (2020; Zbl 1462.62540) Full Text: DOI
Arteche, Josu Exact local Whittle estimation in long memory time series with multiple poles. (English) Zbl 1462.62520 Econom. Theory 36, No. 6, 1064-1098 (2020). MSC: 62M10 62M07 62E20 62P20 PDFBibTeX XMLCite \textit{J. Arteche}, Econom. Theory 36, No. 6, 1064--1098 (2020; Zbl 1462.62520) Full Text: DOI
Jochmans, Koen A portmanteau test for correlation in short panels. (English) Zbl 1462.62536 Econom. Theory 36, No. 6, 1159-1166 (2020). MSC: 62M10 62D20 62H20 62-08 PDFBibTeX XMLCite \textit{K. Jochmans}, Econom. Theory 36, No. 6, 1159--1166 (2020; Zbl 1462.62536) Full Text: DOI
Yamada, Hiroshi A smoothing method that looks like the Hodrick-Prescott filter. (English) Zbl 1462.62741 Econom. Theory 36, No. 5, 961-981 (2020). MSC: 62P20 62M10 62M20 62H12 62G15 91B84 PDFBibTeX XMLCite \textit{H. Yamada}, Econom. Theory 36, No. 5, 961--981 (2020; Zbl 1462.62741) Full Text: DOI
Hill, Jonathan B.; Motegi, Kaiji A max-correlation white noise test for weakly dependent time series. (English) Zbl 1462.62534 Econom. Theory 36, No. 5, 907-960 (2020). MSC: 62M10 62M07 62E20 62G10 62G20 60H40 PDFBibTeX XMLCite \textit{J. B. Hill} and \textit{K. Motegi}, Econom. Theory 36, No. 5, 907--960 (2020; Zbl 1462.62534) Full Text: DOI arXiv
Sakarya, Neslihan; De Jong, Robert M. A property of the Hodrick-Prescott filter and its application. (English) Zbl 1462.62570 Econom. Theory 36, No. 5, 840-870 (2020). MSC: 62M20 62M10 62P20 PDFBibTeX XMLCite \textit{N. Sakarya} and \textit{R. M. De Jong}, Econom. Theory 36, No. 5, 840--870 (2020; Zbl 1462.62570) Full Text: DOI
Franchi, Massimo; Paruolo, Paolo Cointegration in functional autoregressive processes. (English) Zbl 1462.62769 Econom. Theory 36, No. 5, 803-839 (2020). MSC: 62R10 62M10 60G05 PDFBibTeX XMLCite \textit{M. Franchi} and \textit{P. Paruolo}, Econom. Theory 36, No. 5, 803--839 (2020; Zbl 1462.62769) Full Text: DOI arXiv
Beare, Brendan K.; Seo, Won-Ki Representation of I(1) and I(2) autoregressive Hilbertian processes. (English) Zbl 1462.62768 Econom. Theory 36, No. 5, 773-802 (2020). MSC: 62R10 62M10 60G05 PDFBibTeX XMLCite \textit{B. K. Beare} and \textit{W.-K. Seo}, Econom. Theory 36, No. 5, 773--802 (2020; Zbl 1462.62768) Full Text: DOI arXiv
Hualde, Javier; Nielsen, Morten Ørregaard Truncated sum of squares estimation of fractional time series models with deterministic trends. (English) Zbl 1447.62025 Econom. Theory 36, No. 4, 751-772 (2020). MSC: 62F10 62M10 PDFBibTeX XMLCite \textit{J. Hualde} and \textit{M. Ø. Nielsen}, Econom. Theory 36, No. 4, 751--772 (2020; Zbl 1447.62025) Full Text: DOI
Harvey, David I.; Leybourne, Stephen J.; Zu, Yang Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility. (English) Zbl 1436.62402 Econom. Theory 36, No. 1, 122-169 (2020). MSC: 62M07 62P05 62G10 62M10 PDFBibTeX XMLCite \textit{D. I. Harvey} et al., Econom. Theory 36, No. 1, 122--169 (2020; Zbl 1436.62402) Full Text: DOI
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhan, Zhaoguo Robust inference in structural vector autoregressions with long-run restrictions. (English) Zbl 1436.62416 Econom. Theory 36, No. 1, 86-121 (2020). MSC: 62M10 91B82 62E20 91B62 62F10 62F35 62M07 PDFBibTeX XMLCite \textit{G. Chevillon} et al., Econom. Theory 36, No. 1, 86--121 (2020; Zbl 1436.62416) Full Text: DOI
Hoshino, Tadao Semiparametric estimation of censored spatial autoregressive models. (English) Zbl 1436.62687 Econom. Theory 36, No. 1, 48-85 (2020). MSC: 62P20 62N01 62M10 62N02 PDFBibTeX XMLCite \textit{T. Hoshino}, Econom. Theory 36, No. 1, 48--85 (2020; Zbl 1436.62687) Full Text: DOI
Berenguer-Rico, Vanessa; Nielsen, Bent Cumulated sum of squares statistics for nonlinear and nonstationary regressions. (English) Zbl 1436.62412 Econom. Theory 36, No. 1, 1-47 (2020). MSC: 62M10 62J02 60F05 62E20 PDFBibTeX XMLCite \textit{V. Berenguer-Rico} and \textit{B. Nielsen}, Econom. Theory 36, No. 1, 1--47 (2020; Zbl 1436.62412) Full Text: DOI
Fries, Sébastien; Zakoian, Jean-Michel Mixed causal-noncausal AR processes and the modelling of explosive bubbles. (English) Zbl 1433.62258 Econom. Theory 35, No. 6, 1234-1270 (2019). MSC: 62M10 62G30 PDFBibTeX XMLCite \textit{S. Fries} and \textit{J.-M. Zakoian}, Econom. Theory 35, No. 6, 1234--1270 (2019; Zbl 1433.62258) Full Text: DOI
Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. (English) Zbl 1433.62261 Econom. Theory 35, No. 6, 1201-1233 (2019). MSC: 62M10 62P20 65C05 PDFBibTeX XMLCite \textit{F. Iacone} et al., Econom. Theory 35, No. 6, 1201--1233 (2019; Zbl 1433.62261) Full Text: DOI
Harris, David; McCabe, Brendan Semiparametric independence testing for time series of counts and the role of the support. (English) Zbl 1433.62260 Econom. Theory 35, No. 6, 1111-1145 (2019). MSC: 62M10 62G05 PDFBibTeX XMLCite \textit{D. Harris} and \textit{B. McCabe}, Econom. Theory 35, No. 6, 1111--1145 (2019; Zbl 1433.62260) Full Text: DOI
Rolling, Craig A.; Yang, Yuhong; Velez, Dagmar Combining estimates of conditional treatment effects. (English) Zbl 1434.62238 Econom. Theory 35, No. 6, 1089-1110 (2019). MSC: 62P20 62H20 62G08 PDFBibTeX XMLCite \textit{C. A. Rolling} et al., Econom. Theory 35, No. 6, 1089--1110 (2019; Zbl 1434.62238) Full Text: DOI
Pedersen, Rasmus Søndergaard; Rahbek, Anders Testing GARCH-X type models. (English) Zbl 1432.62310 Econom. Theory 35, No. 5, 1012-1047 (2019). MSC: 62M10 62P20 62F03 PDFBibTeX XMLCite \textit{R. S. Pedersen} and \textit{A. Rahbek}, Econom. Theory 35, No. 5, 1012--1047 (2019; Zbl 1432.62310) Full Text: DOI
Tanaka, Katsuto Computing limiting local powers and power envelopes of panel MA unit root tests and stationarity tests. (English) Zbl 1432.62284 Econom. Theory 35, No. 5, 978-1011 (2019). MSC: 62M07 62P20 62J02 62M10 PDFBibTeX XMLCite \textit{K. Tanaka}, Econom. Theory 35, No. 5, 978--1011 (2019; Zbl 1432.62284) Full Text: DOI
Li, Yu-Ning; Zhang, Yi; Zhang, Caiya Statistical inference for measurement equation selection in the log-RealGARCH model. (English) Zbl 1432.62307 Econom. Theory 35, No. 5, 943-977 (2019). MSC: 62M10 62P20 62J05 PDFBibTeX XMLCite \textit{Y.-N. Li} et al., Econom. Theory 35, No. 5, 943--977 (2019; Zbl 1432.62307) Full Text: DOI
Greenaway-McGrevy, Ryan Asymptotically efficient model selection for panel data forecasting. (English) Zbl 1420.62486 Econom. Theory 35, No. 4, 842-899 (2019). MSC: 62P20 62M10 62M20 PDFBibTeX XMLCite \textit{R. Greenaway-McGrevy}, Econom. Theory 35, No. 4, 842--899 (2019; Zbl 1420.62486) Full Text: DOI
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi Detecting financial data dependence structure by averaging mixture copulas. (English) Zbl 1420.62445 Econom. Theory 35, No. 4, 777-815 (2019). MSC: 62P05 62H30 62H05 62M10 91B84 PDFBibTeX XMLCite \textit{G. Liu} et al., Econom. Theory 35, No. 4, 777--815 (2019; Zbl 1420.62445) Full Text: DOI
Johansen, Søren; Nielsen, Bent Boundedness of M-estimators for linear regression in time series. (English) Zbl 1419.62236 Econom. Theory 35, No. 3, 653-683 (2019). MSC: 62M10 62J05 60G42 62F12 PDFBibTeX XMLCite \textit{S. Johansen} and \textit{B. Nielsen}, Econom. Theory 35, No. 3, 653--683 (2019; Zbl 1419.62236) Full Text: DOI
Rho, Seung-Hwa; Vogelsang, Timothy J. Heteroskedasticity autocorrelation robust inference in time series regressions with missing data. (English) Zbl 1420.62396 Econom. Theory 35, No. 3, 601-629 (2019). MSC: 62M10 62H12 62G10 62G35 62P20 PDFBibTeX XMLCite \textit{S.-H. Rho} and \textit{T. J. Vogelsang}, Econom. Theory 35, No. 3, 601--629 (2019; Zbl 1420.62396) Full Text: DOI
Hidalgo, Javier; Souza, Pedro C. L. A test for weak stationarity in the spectral domain. (English) Zbl 1420.62383 Econom. Theory 35, No. 3, 547-600 (2019). MSC: 62M10 62M07 62M15 62E20 62P10 62P20 PDFBibTeX XMLCite \textit{J. Hidalgo} and \textit{P. C. L. Souza}, Econom. Theory 35, No. 3, 547--600 (2019; Zbl 1420.62383) Full Text: DOI
Gupta, Abhimanyu Estimation of spatial autoregressions with stochastic weight matrices. (English) Zbl 1427.62112 Econom. Theory 35, No. 2, 417-463 (2019). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62M30 62F12 62M10 62P20 PDFBibTeX XMLCite \textit{A. Gupta}, Econom. Theory 35, No. 2, 417--463 (2019; Zbl 1427.62112) Full Text: DOI
Poignard, Benjamin; Fermanian, Jean-David Dynamic asset correlations based on vines. (English) Zbl 1415.62154 Econom. Theory 35, No. 1, 167-197 (2019). MSC: 62P20 62M10 62H20 PDFBibTeX XMLCite \textit{B. Poignard} and \textit{J.-D. Fermanian}, Econom. Theory 35, No. 1, 167--197 (2019; Zbl 1415.62154) Full Text: DOI
Rho, Yeonwoo; Shao, Xiaofeng Bootstrap-assisted unit root testing with piecewise locally stationary errors. (English) Zbl 1415.62066 Econom. Theory 35, No. 1, 142-166 (2019). MSC: 62M10 62G09 62M07 PDFBibTeX XMLCite \textit{Y. Rho} and \textit{X. Shao}, Econom. Theory 35, No. 1, 142--166 (2019; Zbl 1415.62066) Full Text: DOI arXiv
Frazier, David T. A simple iterative Z-estimator for semiparametric models. (English) Zbl 1415.62019 Econom. Theory 35, No. 1, 111-141 (2019). MSC: 62G08 62F12 62M10 62G20 PDFBibTeX XMLCite \textit{D. T. Frazier}, Econom. Theory 35, No. 1, 111--141 (2019; Zbl 1415.62019) Full Text: DOI
Francq, Christian; Thieu, Le Quyen QML inference for volatility models with covariates. (English) Zbl 1415.62078 Econom. Theory 35, No. 1, 37-72 (2019). MSC: 62P05 62M10 PDFBibTeX XMLCite \textit{C. Francq} and \textit{L. Q. Thieu}, Econom. Theory 35, No. 1, 37--72 (2019; Zbl 1415.62078) Full Text: DOI
Calhoun, Gray Block bootstrap consistency under weak assumptions. (English) Zbl 1406.62091 Econom. Theory 34, No. 6, 1383-1406 (2018). MSC: 62M10 62G09 62G20 60F05 60F17 PDFBibTeX XMLCite \textit{G. Calhoun}, Econom. Theory 34, No. 6, 1383--1406 (2018; Zbl 1406.62091) Full Text: DOI
Li, Dong; Wu, Wuqing Renorming volatilities in a family of GARCH models. (English) Zbl 1406.62097 Econom. Theory 34, No. 6, 1370-1382 (2018). MSC: 62M10 60J65 PDFBibTeX XMLCite \textit{D. Li} and \textit{W. Wu}, Econom. Theory 34, No. 6, 1370--1382 (2018; Zbl 1406.62097) Full Text: DOI
Hsiao, Cheng; Zhou, Qiankun Jive for panel dynamic simultaneous equations models. (English) Zbl 1406.62096 Econom. Theory 34, No. 6, 1325-1369 (2018). MSC: 62M10 62F12 62P20 PDFBibTeX XMLCite \textit{C. Hsiao} and \textit{Q. Zhou}, Econom. Theory 34, No. 6, 1325--1369 (2018; Zbl 1406.62096) Full Text: DOI
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance. (English) Zbl 1406.62095 Econom. Theory 34, No. 6, 1159-1179 (2018). MSC: 62M10 60G10 60F05 PDFBibTeX XMLCite \textit{L. Giraitis} et al., Econom. Theory 34, No. 6, 1159--1179 (2018; Zbl 1406.62095) Full Text: DOI
Peng, Jiangyan; Wang, Qiying Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models. (English) Zbl 1400.62335 Econom. Theory 34, No. 5, 1132-1157 (2018). MSC: 62P20 62M10 60F17 91B84 60G42 PDFBibTeX XMLCite \textit{J. Peng} and \textit{Q. Wang}, Econom. Theory 34, No. 5, 1132--1157 (2018; Zbl 1400.62335) Full Text: DOI
Lieberman, Offer; Phillips, Peter C. B. IV and GMM inference in endogenous stochastic unit root models. (English) Zbl 1400.62328 Econom. Theory 34, No. 5, 1065-1100 (2018). MSC: 62P20 62M10 62H12 62M07 62E20 91B84 PDFBibTeX XMLCite \textit{O. Lieberman} and \textit{P. C. B. Phillips}, Econom. Theory 34, No. 5, 1065--1100 (2018; Zbl 1400.62328) Full Text: DOI
Pang, Tianxiao; Tai-Leung Chong, Terence; Zhang, Danna; Liang, Yanling Structural change in nonstationary \(\mathrm{AR}(1)\) models. (English) Zbl 1400.62192 Econom. Theory 34, No. 5, 985-1017 (2018). MSC: 62M10 62F12 62E20 PDFBibTeX XMLCite \textit{T. Pang} et al., Econom. Theory 34, No. 5, 985--1017 (2018; Zbl 1400.62192) Full Text: DOI
Hwang, Jungbin; Sun, Yixiao Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems. (English) Zbl 1400.62180 Econom. Theory 34, No. 5, 949-984 (2018). MSC: 62M10 62F03 62F35 62P20 PDFBibTeX XMLCite \textit{J. Hwang} and \textit{Y. Sun}, Econom. Theory 34, No. 5, 949--984 (2018; Zbl 1400.62180) Full Text: DOI
Wang, Xia; Hong, Yongmiao Characteristic function based testing for conditional independence: a nonparametric regression approach. (English) Zbl 1393.62019 Econom. Theory 34, No. 4, 815-849 (2018). MSC: 62G10 62G08 62M10 62P20 PDFBibTeX XMLCite \textit{X. Wang} and \textit{Y. Hong}, Econom. Theory 34, No. 4, 815--849 (2018; Zbl 1393.62019) Full Text: DOI
Dong, Chaohua; Gao, Jiti Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity. (English) Zbl 1393.62037 Econom. Theory 34, No. 4, 754-789 (2018). MSC: 62M10 62G08 62G20 PDFBibTeX XMLCite \textit{C. Dong} and \textit{J. Gao}, Econom. Theory 34, No. 4, 754--789 (2018; Zbl 1393.62037) Full Text: DOI
Phillips, Peter C. B.; Shi, Shu-Ping Financial bubble implosion and reverse regression. (English) Zbl 1393.62129 Econom. Theory 34, No. 4, 705-753 (2018). MSC: 62P20 62M10 91B82 PDFBibTeX XMLCite \textit{P. C. B. Phillips} and \textit{S.-P. Shi}, Econom. Theory 34, No. 4, 705--753 (2018; Zbl 1393.62129) Full Text: DOI
Jeong, Minsoo Addendum: “Residual-based GARCH bootstrap and second order asymptotic refinement”. (English) Zbl 1392.62266 Econom. Theory 34, No. 3, 704 (2018). MSC: 62M10 62G09 62E20 PDFBibTeX XMLCite \textit{M. Jeong}, Econom. Theory 34, No. 3, 704 (2018; Zbl 1392.62266) Full Text: DOI
Al-Sadoon, Majid M. The linear systems approach to linear rational expectations models. (English) Zbl 1390.62331 Econom. Theory 34, No. 3, 628-658 (2018). MSC: 62P20 62M10 91B84 PDFBibTeX XMLCite \textit{M. M. Al-Sadoon}, Econom. Theory 34, No. 3, 628--658 (2018; Zbl 1390.62331) Full Text: DOI
del Barrio Castro, Tomás; Rodrigues, Paulo M. M.; Taylor, A. M. Robert Semi-parametric seasonal unit root tests. (English) Zbl 1442.62736 Econom. Theory 34, No. 2, 447-476 (2018). MSC: 62P20 62M07 62M10 PDFBibTeX XMLCite \textit{T. del Barrio Castro} et al., Econom. Theory 34, No. 2, 447--476 (2018; Zbl 1442.62736) Full Text: DOI
Hillier, Grant; Martellosio, Federico Exact likelihood inference in group interaction network models. (English) Zbl 1441.62731 Econom. Theory 34, No. 2, 383-415 (2018). MSC: 62P20 62M10 62M30 91D30 PDFBibTeX XMLCite \textit{G. Hillier} and \textit{F. Martellosio}, Econom. Theory 34, No. 2, 383--415 (2018; Zbl 1441.62731) Full Text: DOI
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; Robert Taylor, A. M. Determining the cointegration rank in heteroskedastic VAR models of unknown order. (English) Zbl 1441.62228 Econom. Theory 34, No. 2, 349-382 (2018). MSC: 62M10 62E20 62P20 PDFBibTeX XMLCite \textit{G. Cavaliere} et al., Econom. Theory 34, No. 2, 349--382 (2018; Zbl 1441.62228) Full Text: DOI
Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert Unit root inference for non-stationary linear processes driven by infinite variance innovations. (English) Zbl 1441.62229 Econom. Theory 34, No. 2, 302-348 (2018). MSC: 62M10 62E20 62G09 62P20 PDFBibTeX XMLCite \textit{G. Cavaliere} et al., Econom. Theory 34, No. 2, 302--348 (2018; Zbl 1441.62229) Full Text: DOI
Phillips, Peter C. B. Dynamic panel Anderson-Hsiao estimation with roots near unity. (English) Zbl 1441.62840 Econom. Theory 34, No. 2, 253-276 (2018). MSC: 62P20 62M10 62F12 62E20 60F05 PDFBibTeX XMLCite \textit{P. C. B. Phillips}, Econom. Theory 34, No. 2, 253--276 (2018; Zbl 1441.62840) Full Text: DOI
Christopeit, Norbert; Massmann, Michael Estimating structural parameters in regression models with adaptive learning. (English) Zbl 1441.62651 Econom. Theory 34, No. 1, 68-111 (2018). MSC: 62P20 62M10 62F10 PDFBibTeX XMLCite \textit{N. Christopeit} and \textit{M. Massmann}, Econom. Theory 34, No. 1, 68--111 (2018; Zbl 1441.62651) Full Text: DOI
Martins-Filho, Carlos; Yao, Feng; Torero, Maximo Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. (English) Zbl 1441.62240 Econom. Theory 34, No. 1, 23-67 (2018). MSC: 62M10 62G05 62G07 62G32 62P05 91G70 PDFBibTeX XMLCite \textit{C. Martins-Filho} et al., Econom. Theory 34, No. 1, 23--67 (2018; Zbl 1441.62240) Full Text: DOI arXiv
Wu, Wei Biao; Zaffaroni, Paolo Asymptotic theory for spectral density estimates of general multivariate time series. (English) Zbl 1441.62244 Econom. Theory 34, No. 1, 1-22 (2018). MSC: 62M10 62M15 62G20 62E20 62P20 PDFBibTeX XMLCite \textit{W. B. Wu} and \textit{P. Zaffaroni}, Econom. Theory 34, No. 1, 1--22 (2018; Zbl 1441.62244) Full Text: DOI
Cavicchioli, Maddalena Higher order moments of Markov switching VARMA models. (English) Zbl 1396.62197 Econom. Theory 33, No. 6, 1502-1515 (2017). MSC: 62M10 62M05 62E20 62H15 PDFBibTeX XMLCite \textit{M. Cavicchioli}, Econom. Theory 33, No. 6, 1502--1515 (2017; Zbl 1396.62197) Full Text: DOI
Duffy, James A. Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression. (English) Zbl 1396.62077 Econom. Theory 33, No. 6, 1387-1417 (2017). MSC: 62G08 62G20 62M10 PDFBibTeX XMLCite \textit{J. A. Duffy}, Econom. Theory 33, No. 6, 1387--1417 (2017; Zbl 1396.62077) Full Text: DOI arXiv
Dehling, Herold; Vogel, Daniel; Wendler, Martin; Wied, Dominik Testing for changes in Kendall’s tau. (English) Zbl 1396.62202 Econom. Theory 33, No. 6, 1352-1386 (2017). MSC: 62M10 62H20 62G10 PDFBibTeX XMLCite \textit{H. Dehling} et al., Econom. Theory 33, No. 6, 1352--1386 (2017; Zbl 1396.62202) Full Text: DOI arXiv
Kanaya, Shin Convergence rates of sums of \(\alpha\)-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes. (English) Zbl 1441.62765 Econom. Theory 33, No. 5, 1121-1153 (2017). MSC: 62P20 62M10 60F15 62G05 PDFBibTeX XMLCite \textit{S. Kanaya}, Econom. Theory 33, No. 5, 1121--1153 (2017; Zbl 1441.62765) Full Text: DOI
Hafner, Christian M.; Linton, Oliver An almost closed form estimator for the EGARCH model. (English) Zbl 1442.62199 Econom. Theory 33, No. 4, 1013-1038 (2017). MSC: 62M10 62F12 62P20 PDFBibTeX XMLCite \textit{C. M. Hafner} and \textit{O. Linton}, Econom. Theory 33, No. 4, 1013--1038 (2017; Zbl 1442.62199) Full Text: DOI
Hoga, Yannick Change point tests for the tail index of \(\beta\)-mixing random variables. (English) Zbl 1442.62741 Econom. Theory 33, No. 4, 915-954 (2017). MSC: 62P20 62M10 62G32 62G20 PDFBibTeX XMLCite \textit{Y. Hoga}, Econom. Theory 33, No. 4, 915--954 (2017; Zbl 1442.62741) Full Text: DOI
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour Bootstrapping pre-averaged realized volatility under market microstructure noise. (English) Zbl 1441.62742 Econom. Theory 33, No. 4, 791-838 (2017). MSC: 62P20 62M10 62G09 62P05 PDFBibTeX XMLCite \textit{U. Hounyo} et al., Econom. Theory 33, No. 4, 791--838 (2017; Zbl 1441.62742) Full Text: DOI
Jeong, Minsoo Residual-based GARCH bootstrap and second order asymptotic refinement. (English) Zbl 1392.62265 Econom. Theory 33, No. 3, 779-790 (2017); addendum ibid. 34, No. 3, 704 (2018). MSC: 62M10 62G09 62E20 PDFBibTeX XMLCite \textit{M. Jeong}, Econom. Theory 33, No. 3, 779--790 (2017; Zbl 1392.62265) Full Text: DOI
Harris, David; Kew, Hsein Adaptive long memory testing under heteroskedasticity. (English) Zbl 1441.62724 Econom. Theory 33, No. 3, 755-778 (2017). MSC: 62P20 62M10 62M07 62E20 PDFBibTeX XMLCite \textit{D. Harris} and \textit{H. Kew}, Econom. Theory 33, No. 3, 755--778 (2017; Zbl 1441.62724) Full Text: DOI
Fermanian, Jean-David; Malongo, Hassan On the stationarity of dynamic conditional correlation models. (English) Zbl 1442.62738 Econom. Theory 33, No. 3, 636-663 (2017). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{J.-D. Fermanian} and \textit{H. Malongo}, Econom. Theory 33, No. 3, 636--663 (2017; Zbl 1442.62738) Full Text: DOI arXiv
Poskitt, D. S.; Martin, Gael M.; Grose, Simone D. Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap. (English) Zbl 1441.62843 Econom. Theory 33, No. 3, 578-609 (2017). MSC: 62P20 62M10 62E20 62M15 62F12 62G20 PDFBibTeX XMLCite \textit{D. S. Poskitt} et al., Econom. Theory 33, No. 3, 578--609 (2017; Zbl 1441.62843) Full Text: DOI arXiv
Perera, Indeewara; Silvapulle, Mervyn J. Specification tests for multiplicative error models. (English) Zbl 1441.62836 Econom. Theory 33, No. 2, 413-438 (2017). MSC: 62P20 62M10 62G10 62P05 PDFBibTeX XMLCite \textit{I. Perera} and \textit{M. J. Silvapulle}, Econom. Theory 33, No. 2, 413--438 (2017; Zbl 1441.62836) Full Text: DOI
Horváth, Lajos; Hušková, Marie; Rice, Gregory; Wang, Jia Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models. (English) Zbl 1441.62741 Econom. Theory 33, No. 2, 366-412 (2017). MSC: 62P20 62M10 62L12 PDFBibTeX XMLCite \textit{L. Horváth} et al., Econom. Theory 33, No. 2, 366--412 (2017; Zbl 1441.62741) Full Text: DOI
Berghaus, Betina; Bücher, Axel Goodness-of-fit tests for multivariate copula-based time series models. (English) Zbl 1442.62730 Econom. Theory 33, No. 2, 292-330 (2017). MSC: 62P20 62G10 62M10 62G20 PDFBibTeX XMLCite \textit{B. Berghaus} and \textit{A. Bücher}, Econom. Theory 33, No. 2, 292--330 (2017; Zbl 1442.62730) Full Text: DOI
Kim, Min Seong; Sun, Yixiao Bootstrap and \(k\)-step bootstrap bias corrections for the fixed effects estimator in nonlinear panel data models. (English) Zbl 1385.62024 Econom. Theory 32, No. 6, 1523-1568 (2016). MSC: 62M10 62F40 62J02 PDFBibTeX XMLCite \textit{M. S. Kim} and \textit{Y. Sun}, Econom. Theory 32, No. 6, 1523--1568 (2016; Zbl 1385.62024) Full Text: DOI
Qian, Junhui; Su, Liangjun Shrinkage estimation of regression models with multiple structural changes. (English) Zbl 1385.62018 Econom. Theory 32, No. 6, 1376-1433 (2016). MSC: 62J05 62F12 62J07 62M10 91G70 PDFBibTeX XMLCite \textit{J. Qian} and \textit{L. Su}, Econom. Theory 32, No. 6, 1376--1433 (2016; Zbl 1385.62018) Full Text: DOI
Demetrescu, Matei; Hassler, Uwe (When) do long autoregressions account for neglected changes in parameters? (English) Zbl 1385.62023 Econom. Theory 32, No. 6, 1317-1348 (2016). MSC: 62M10 62F12 62M20 91B84 PDFBibTeX XMLCite \textit{M. Demetrescu} and \textit{U. Hassler}, Econom. Theory 32, No. 6, 1317--1348 (2016; Zbl 1385.62023) Full Text: DOI
Wagner, Martin; Hong, Seung Hyun Cointegrating polynomial regressions: fully modified OLS estimation and inference. (English) Zbl 1395.62282 Econom. Theory 32, No. 5, 1289-1315 (2016). MSC: 62M10 62J02 62P20 PDFBibTeX XMLCite \textit{M. Wagner} and \textit{S. H. Hong}, Econom. Theory 32, No. 5, 1289--1315 (2016; Zbl 1395.62282) Full Text: DOI
Dhaene, Geert; Jochmans, Koen Likelihood inference in an autoregression with fixed effects. (English) Zbl 1441.62668 Econom. Theory 32, No. 5, 1178-1215 (2016). MSC: 62P20 62M10 62F10 62F12 62E20 PDFBibTeX XMLCite \textit{G. Dhaene} and \textit{K. Jochmans}, Econom. Theory 32, No. 5, 1178--1215 (2016; Zbl 1441.62668) Full Text: DOI
Johansen, Søren; Nielsen, Morten Ørregaard The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models. (English) Zbl 1441.62757 Econom. Theory 32, No. 5, 1095-1139 (2016). MSC: 62P20 62M10 60G22 60F17 PDFBibTeX XMLCite \textit{S. Johansen} and \textit{M. Ø. Nielsen}, Econom. Theory 32, No. 5, 1095--1139 (2016; Zbl 1441.62757) Full Text: DOI
Liu, Rong; Yang, Lijian Spline estimation of a semiparametric GARCH model. (English) Zbl 1442.62751 Econom. Theory 32, No. 4, 1023-1054 (2016). MSC: 62P20 62M10 62G08 62G20 62P05 PDFBibTeX XMLCite \textit{R. Liu} and \textit{L. Yang}, Econom. Theory 32, No. 4, 1023--1054 (2016; Zbl 1442.62751) Full Text: DOI
Sun, Yiguo; Cai, Zongwu; Li, Qi A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series. (English) Zbl 1441.62878 Econom. Theory 32, No. 4, 988-1022 (2016). MSC: 62P20 62M10 62G10 62G20 PDFBibTeX XMLCite \textit{Y. Sun} et al., Econom. Theory 32, No. 4, 988--1022 (2016; Zbl 1441.62878) Full Text: DOI
Anderson, Brian D. O.; Deistler, Manfred; Felsenstein, Elisabeth; Funovits, Bernd; Koelbl, Lukas; Zamani, Mohsen Multivariate AR systems and mixed frequency data: G-identifiability and estimation. (English) Zbl 1441.62586 Econom. Theory 32, No. 4, 793-826 (2016). MSC: 62P20 62M10 62M20 93E10 PDFBibTeX XMLCite \textit{B. D. O. Anderson} et al., Econom. Theory 32, No. 4, 793--826 (2016; Zbl 1441.62586) Full Text: DOI
Chen, Bin; Hong, Yongmiao Detecting for smooth structural changes in GARCH models. (English) Zbl 1441.62634 Econom. Theory 32, No. 3, 740-791 (2016). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{B. Chen} and \textit{Y. Hong}, Econom. Theory 32, No. 3, 740--791 (2016; Zbl 1441.62634) Full Text: DOI
Li, Degui; Phillips, Peter C. B.; Gao, Jiti Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression. (English) Zbl 1441.62794 Econom. Theory 32, No. 3, 655-685 (2016). MSC: 62P20 62G08 62G20 62M10 PDFBibTeX XMLCite \textit{D. Li} et al., Econom. Theory 32, No. 3, 655--685 (2016; Zbl 1441.62794) Full Text: DOI
Pedersen, Rasmus Søndergaard Targeting estimation of CCC-GARCH models with infinite fourth moments. (English) Zbl 1441.62834 Econom. Theory 32, No. 2, 498-531 (2016). MSC: 62P20 62M10 60G10 60G55 62F12 PDFBibTeX XMLCite \textit{R. S. Pedersen}, Econom. Theory 32, No. 2, 498--531 (2016; Zbl 1441.62834) Full Text: DOI
Gao, Jiti; Robinson, Peter M. Inference on nonstationary time series with moving mean. (English) Zbl 1441.62697 Econom. Theory 32, No. 2, 431-457 (2016). MSC: 62P20 62M10 62G20 PDFBibTeX XMLCite \textit{J. Gao} and \textit{P. M. Robinson}, Econom. Theory 32, No. 2, 431--457 (2016; Zbl 1441.62697) Full Text: DOI
Ling, Shiqing Estimation of change-points in linear and nonlinear time series models. (English) Zbl 1442.62749 Econom. Theory 32, No. 2, 402-430 (2016). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{S. Ling}, Econom. Theory 32, No. 2, 402--430 (2016; Zbl 1442.62749) Full Text: DOI
Wang, Qiying; Phillips, Peter C. B. Nonparametric cointegrating regression with endogeneity and long memory. (English) Zbl 1442.62758 Econom. Theory 32, No. 2, 359-401 (2016). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{Q. Wang} and \textit{P. C. B. Phillips}, Econom. Theory 32, No. 2, 359--401 (2016; Zbl 1442.62758) Full Text: DOI
Preinerstorfer, David; Pötscher, Benedikt M. On size and power of heteroskedasticity and autocorrelation robust tests. (English) Zbl 1441.62844 Econom. Theory 32, No. 2, 261-358 (2016). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{D. Preinerstorfer} and \textit{B. M. Pötscher}, Econom. Theory 32, No. 2, 261--358 (2016; Zbl 1441.62844) Full Text: DOI arXiv
Kock, Anders Bredahl Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions. (English) Zbl 1441.62778 Econom. Theory 32, No. 1, 243-259 (2016). MSC: 62P20 62F12 62M10 PDFBibTeX XMLCite \textit{A. B. Kock}, Econom. Theory 32, No. 1, 243--259 (2016; Zbl 1441.62778) Full Text: DOI
Bester, C. Alan; Conley, Timothy G.; Hansen, Christian B.; Vogelsang, Timothy J. Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators. (English) Zbl 1441.62612 Econom. Theory 32, No. 1, 154-186 (2016). MSC: 62P20 62M10 62H12 62M30 PDFBibTeX XMLCite \textit{C. A. Bester} et al., Econom. Theory 32, No. 1, 154--186 (2016; Zbl 1441.62612) Full Text: DOI
Xu, Ke-Li Model-free inference for tail risk measures. (English) Zbl 1441.62906 Econom. Theory 32, No. 1, 122-153 (2016). MSC: 62P20 62M10 62G05 62G20 PDFBibTeX XMLCite \textit{K.-L. Xu}, Econom. Theory 32, No. 1, 122--153 (2016; Zbl 1441.62906) Full Text: DOI
Linton, Oliver; Wang, Qiying Nonparametric transformation regression with nonstationary data. (English) Zbl 1442.62750 Econom. Theory 32, No. 1, 1-29 (2016). MSC: 62P20 62M10 62G07 PDFBibTeX XMLCite \textit{O. Linton} and \textit{Q. Wang}, Econom. Theory 32, No. 1, 1--29 (2016; Zbl 1442.62750) Full Text: DOI
Arteche, Josu Signal extraction in long memory stochastic volatility. (English) Zbl 1441.62592 Econom. Theory 31, No. 6, 1382-1402 (2015). MSC: 62P20 62M10 62P05 PDFBibTeX XMLCite \textit{J. Arteche}, Econom. Theory 31, No. 6, 1382--1402 (2015; Zbl 1441.62592) Full Text: DOI
Camponovo, Lorenzo Differencing transformations and inference in predictive regression models. (English) Zbl 1441.62625 Econom. Theory 31, No. 6, 1331-1358 (2015). MSC: 62P20 62M10 62J05 60F05 62E20 PDFBibTeX XMLCite \textit{L. Camponovo}, Econom. Theory 31, No. 6, 1331--1358 (2015; Zbl 1441.62625) Full Text: DOI
Christensen, Timothy M. Nonparametric identification of positive eigenfunctions. (English) Zbl 1441.62650 Econom. Theory 31, No. 6, 1310-1330 (2015). MSC: 62P20 62M10 62G05 62P05 PDFBibTeX XMLCite \textit{T. M. Christensen}, Econom. Theory 31, No. 6, 1310--1330 (2015; Zbl 1441.62650) Full Text: DOI arXiv
Robinson, Peter M.; Rossi, Francesca Refined tests for spatial correlation. (English) Zbl 1441.62851 Econom. Theory 31, No. 6, 1249-1280 (2015). MSC: 62P20 62M10 62M30 62E20 PDFBibTeX XMLCite \textit{P. M. Robinson} and \textit{F. Rossi}, Econom. Theory 31, No. 6, 1249--1280 (2015; Zbl 1441.62851) Full Text: DOI
Jin, Sainan; Su, Liangjun; Xiao, Zhijie Adaptive nonparametric regression with conditional heteroskedasticity. (English) Zbl 1442.62743 Econom. Theory 31, No. 6, 1153-1191 (2015). MSC: 62P20 62G08 62M10 62G20 PDFBibTeX XMLCite \textit{S. Jin} et al., Econom. Theory 31, No. 6, 1153--1191 (2015; Zbl 1442.62743) Full Text: DOI
Han, Xu; Inoue, Atsushi Tests for parameter instability in dynamic factor models. (English) Zbl 1441.62722 Econom. Theory 31, No. 5, 1117-1152 (2015). MSC: 62P20 62H25 62H15 62M10 PDFBibTeX XMLCite \textit{X. Han} and \textit{A. Inoue}, Econom. Theory 31, No. 5, 1117--1152 (2015; Zbl 1441.62722) Full Text: DOI
Kim, Kun Ho; Zhang, Ting; Wu, Wei Biao Parametric specification test for nonlinear autoregressive models. (English) Zbl 1441.62774 Econom. Theory 31, No. 5, 1078-1101 (2015). MSC: 62P20 62F03 62M10 62F05 PDFBibTeX XMLCite \textit{K. H. Kim} et al., Econom. Theory 31, No. 5, 1078--1101 (2015; Zbl 1441.62774) Full Text: DOI