Chen, Bin A robust test for serial correlation in panel data models. (English) Zbl 07602446 Econom. Rev. 41, No. 9, 1095-1112 (2022). MSC: 62P20 PDFBibTeX XMLCite \textit{B. Chen}, Econom. Rev. 41, No. 9, 1095--1112 (2022; Zbl 07602446) Full Text: DOI
Chudik, Alexander; Pesaran, M. Hashem An augmented Anderson-Hsiao estimator for dynamic short-\(T\) panels. (English) Zbl 1524.62570 Econom. Rev. 41, No. 4, 416-447 (2022). MSC: 62P20 62M10 62H12 62F12 PDFBibTeX XMLCite \textit{A. Chudik} and \textit{M. H. Pesaran}, Econom. Rev. 41, No. 4, 416--447 (2022; Zbl 1524.62570) Full Text: DOI
Čížek, Pavel; Koo, Chao Hui Semiparametric transition models. (English) Zbl 1524.62422 Econom. Rev. 41, No. 4, 400-415 (2022). MSC: 62M10 62G08 62P20 PDFBibTeX XMLCite \textit{P. Čížek} and \textit{C. H. Koo}, Econom. Rev. 41, No. 4, 400--415 (2022; Zbl 1524.62422) Full Text: DOI
Henderson, Daniel J.; Soberon, Alexandra; Rodriguez-Poo, Juan M. Nonparametric multidimensional fixed effects panel data models. (English) Zbl 1524.62579 Econom. Rev. 41, No. 3, 321-358 (2022). MSC: 62P20 62G08 62G05 62M10 PDFBibTeX XMLCite \textit{D. J. Henderson} et al., Econom. Rev. 41, No. 3, 321--358 (2022; Zbl 1524.62579) Full Text: DOI
Han, Minyu; Kwak, Jihun; Sul, Donggyu Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures. (English) Zbl 1524.62577 Econom. Rev. 41, No. 3, 291-320 (2022). MSC: 62P20 62M10 62H25 PDFBibTeX XMLCite \textit{M. Han} et al., Econom. Rev. 41, No. 3, 291--320 (2022; Zbl 1524.62577) Full Text: DOI
Karabiyik, Hande; Westerlund, Joakim; Narayan, Paresh Panel data measures of price discovery. (English) Zbl 1524.62582 Econom. Rev. 41, No. 3, 269-290 (2022). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{H. Karabiyik} et al., Econom. Rev. 41, No. 3, 269--290 (2022; Zbl 1524.62582) Full Text: DOI
Regis, Marta; Serra, Paulo; van den Heuvel, Edwin R. Random autoregressive models: a structured overview. (English) Zbl 1490.62269 Econom. Rev. 41, No. 2, 207-230 (2022). MSC: 62M10 62P20 62-02 62-04 PDFBibTeX XMLCite \textit{M. Regis} et al., Econom. Rev. 41, No. 2, 207--230 (2022; Zbl 1490.62269) Full Text: DOI arXiv
Sun, Yixiao; Wang, Xuexin An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation. (English) Zbl 1490.62276 Econom. Rev. 41, No. 2, 177-206 (2022). MSC: 62M10 62F05 62P20 PDFBibTeX XMLCite \textit{Y. Sun} and \textit{X. Wang}, Econom. Rev. 41, No. 2, 177--206 (2022; Zbl 1490.62276) Full Text: DOI arXiv
Kruiniger, Hugo Estimation of dynamic panel data models with a lot of heterogeneity. (English) Zbl 1490.62459 Econom. Rev. 41, No. 2, 117-146 (2022). MSC: 62P20 62M10 62F12 PDFBibTeX XMLCite \textit{H. Kruiniger}, Econom. Rev. 41, No. 2, 117--146 (2022; Zbl 1490.62459) Full Text: DOI
Hartl, Tobias; Jucknewitz, Roland Approximate state space modelling of unobserved fractional components. (English) Zbl 1490.62247 Econom. Rev. 41, No. 1, 75-98 (2022). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{T. Hartl} and \textit{R. Jucknewitz}, Econom. Rev. 41, No. 1, 75--98 (2022; Zbl 1490.62247) Full Text: DOI arXiv
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yiğit, Taner Time-varying cointegration and the Kalman filter. (English) Zbl 1490.62241 Econom. Rev. 41, No. 1, 1-21 (2022). MSC: 62M10 62P12 62P20 PDFBibTeX XMLCite \textit{B. A. Eroğlu} et al., Econom. Rev. 41, No. 1, 1--21 (2022; Zbl 1490.62241) Full Text: DOI Link
Jin, Fei; Lee, Lung-fei; Yu, Jihai Sequential and efficient GMM estimation of dynamic short panel data models. (English) Zbl 1490.62453 Econom. Rev. 40, No. 10, 1007-1037 (2021). MSC: 62P20 62M10 62F12 PDFBibTeX XMLCite \textit{F. Jin} et al., Econom. Rev. 40, No. 10, 1007--1037 (2021; Zbl 1490.62453) Full Text: DOI
Zhang, Yonghui; Zhou, Qiankun Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing. (English) Zbl 1490.62495 Econom. Rev. 40, No. 10, 983-1006 (2021). MSC: 62P20 62M10 62G05 PDFBibTeX XMLCite \textit{Y. Zhang} and \textit{Q. Zhou}, Econom. Rev. 40, No. 10, 983--1006 (2021; Zbl 1490.62495) Full Text: DOI
Xu, Qiuhua; Cai, Zongwu; Fang, Ying Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation. (English) Zbl 1490.62491 Econom. Rev. 40, No. 10, 919-943 (2021). MSC: 62P20 62G05 62G08 62G10 62G20 62M10 PDFBibTeX XMLCite \textit{Q. Xu} et al., Econom. Rev. 40, No. 10, 919--943 (2021; Zbl 1490.62491) Full Text: DOI
Djogbenou, Antoine A. Model selection in factor-augmented regressions with estimated factors. (English) Zbl 1490.62288 Econom. Rev. 40, No. 5, 470-503 (2021). MSC: 62M20 62H25 62M10 62P20 PDFBibTeX XMLCite \textit{A. A. Djogbenou}, Econom. Rev. 40, No. 5, 470--503 (2021; Zbl 1490.62288) Full Text: DOI Link
Proietti, Tommaso Predictability, real time estimation, and the formulation of unobserved components models. (English) Zbl 1490.62266 Econom. Rev. 40, No. 5, 433-454 (2021). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{T. Proietti}, Econom. Rev. 40, No. 5, 433--454 (2021; Zbl 1490.62266) Full Text: DOI
Wang, Cindy S. H.; Hsiao, Cheng; Yang, Hao-Hsiang Market integration, systemic risk and diagnostic tests in large mixed panels. (English) Zbl 1490.62329 Econom. Rev. 40, No. 8, 750-795 (2021). MSC: 62P05 62M10 91B84 91G45 PDFBibTeX XMLCite \textit{C. S. H. Wang} et al., Econom. Rev. 40, No. 8, 750--795 (2021; Zbl 1490.62329) Full Text: DOI
Poignard, Benjamin; Fermanian, Jean-David High-dimensional penalized ARCH processes. (English) Zbl 1490.62264 Econom. Rev. 40, No. 1, 86-107 (2021). MSC: 62M10 62H12 62J07 62P05 91G10 PDFBibTeX XMLCite \textit{B. Poignard} and \textit{J.-D. Fermanian}, Econom. Rev. 40, No. 1, 86--107 (2021; Zbl 1490.62264) Full Text: DOI
Berenguer-Rico, Vanessa; Wilms, Ines Heteroscedasticity testing after outlier removal. (English) Zbl 1490.62172 Econom. Rev. 40, No. 1, 51-85 (2021). MSC: 62J05 62F35 62M10 62P20 PDFBibTeX XMLCite \textit{V. Berenguer-Rico} and \textit{I. Wilms}, Econom. Rev. 40, No. 1, 51--85 (2021; Zbl 1490.62172) Full Text: DOI Link
Yang, Cynthia Fan Common factors and spatial dependence: an application to US house prices. (English) Zbl 1490.62493 Econom. Rev. 40, No. 1, 14-50 (2021). MSC: 62P20 62M10 62M30 62H12 62H25 PDFBibTeX XMLCite \textit{C. F. Yang}, Econom. Rev. 40, No. 1, 14--50 (2021; Zbl 1490.62493) Full Text: DOI Link
Alexander, Carol; Lazar, Emese The continuous limit of weak GARCH. (English) Zbl 1490.62222 Econom. Rev. 40, No. 2, 197-216 (2021). MSC: 62M10 62P20 62P05 91B84 91G20 PDFBibTeX XMLCite \textit{C. Alexander} and \textit{E. Lazar}, Econom. Rev. 40, No. 2, 197--216 (2021; Zbl 1490.62222) Full Text: DOI arXiv Link
Demetrescu, Matei; Leppin, Julian S.; Reitz, Stefan Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions. (English) Zbl 1490.62236 Econom. Rev. 40, No. 2, 177-196 (2021). MSC: 62M10 62F03 62P20 PDFBibTeX XMLCite \textit{M. Demetrescu} et al., Econom. Rev. 40, No. 2, 177--196 (2021; Zbl 1490.62236) Full Text: DOI
Troster, Victor; Wied, Dominik A specification test for dynamic conditional distribution models with function-valued parameters. (English) Zbl 1490.62112 Econom. Rev. 40, No. 2, 109-127 (2021). MSC: 62G10 62M10 62G20 62P20 91G70 PDFBibTeX XMLCite \textit{V. Troster} and \textit{D. Wied}, Econom. Rev. 40, No. 2, 109--127 (2021; Zbl 1490.62112) Full Text: DOI
Yu, Shu-Hui; Sin, Chor-yiu (CY) On asymptotic risk of selecting models for possibly nonstationary time-series. (English) Zbl 1490.62284 Econom. Rev. 40, No. 4, 387-414 (2021). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{S.-H. Yu} and \textit{C.-y. Sin}, Econom. Rev. 40, No. 4, 387--414 (2021; Zbl 1490.62284) Full Text: DOI
Jiang, Liang; Wang, Xiaohu; Yu, Jun In-fill asymptotic theory for structural break point in autoregressions. (English) Zbl 1490.62253 Econom. Rev. 40, No. 4, 359-386 (2021). MSC: 62M10 62M05 62E20 62F12 62P20 PDFBibTeX XMLCite \textit{L. Jiang} et al., Econom. Rev. 40, No. 4, 359--386 (2021; Zbl 1490.62253) Full Text: DOI Link
Trapani, Lorenzo Testing for strict stationarity in a random coefficient autoregressive model. (English) Zbl 1480.62182 Econom. Rev. 40, No. 3, 220-256 (2021). MSC: 62M10 62G10 62P20 PDFBibTeX XMLCite \textit{L. Trapani}, Econom. Rev. 40, No. 3, 220--256 (2021; Zbl 1480.62182) Full Text: DOI arXiv Link
De Zea Bermudez, P.; Marín, J. Miguel; Veiga, Helena Data cloning estimation for asymmetric stochastic volatility models. (English) Zbl 1490.62315 Econom. Rev. 39, No. 10, 1057-1074 (2020). MSC: 62P05 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{P. De Zea Bermudez} et al., Econom. Rev. 39, No. 10, 1057--1074 (2020; Zbl 1490.62315) Full Text: DOI Link
Mazzeu, João Henrique G.; González-Rivera, Gloria; Ruiz, Esther; Veiga, Helena A bootstrap approach for generalized autocontour testing implications for VIX forecast densities. (English) Zbl 1490.62262 Econom. Rev. 39, No. 10, 971-990 (2020). MSC: 62M10 62G09 62P05 62P20 PDFBibTeX XMLCite \textit{J. H. G. Mazzeu} et al., Econom. Rev. 39, No. 10, 971--990 (2020; Zbl 1490.62262) Full Text: DOI Link
Tjøstheim, Dag Some notes on nonlinear cointegration: a partial review with some novel perspectives. (English) Zbl 1490.62277 Econom. Rev. 39, No. 7, 655-673 (2020). MSC: 62M10 62P20 62-02 PDFBibTeX XMLCite \textit{D. Tjøstheim}, Econom. Rev. 39, No. 7, 655--673 (2020; Zbl 1490.62277) Full Text: DOI
Hsiao, Cheng Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation. (English) Zbl 1490.62449 Econom. Rev. 39, No. 8, 858-874 (2020). MSC: 62P20 62M10 62H12 62F12 PDFBibTeX XMLCite \textit{C. Hsiao}, Econom. Rev. 39, No. 8, 858--874 (2020; Zbl 1490.62449) Full Text: DOI
Coudin, Elise; Dufour, Jean-Marie Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors. (English) Zbl 1490.62433 Econom. Rev. 39, No. 8, 763-791 (2020). MSC: 62P20 62M10 62J05 62F12 62F25 PDFBibTeX XMLCite \textit{E. Coudin} and \textit{J.-M. Dufour}, Econom. Rev. 39, No. 8, 763--791 (2020; Zbl 1490.62433) Full Text: DOI Link
Baltagi, Badi H.; Kao, Chihwa; Liu, Long Testing for shifts in a time trend panel data model with serially correlated error component disturbances. (English) Zbl 1490.62226 Econom. Rev. 39, No. 8, 745-762 (2020). MSC: 62M10 62M07 62P20 PDFBibTeX XMLCite \textit{B. H. Baltagi} et al., Econom. Rev. 39, No. 8, 745--762 (2020; Zbl 1490.62226) Full Text: DOI Link
Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd Bayesian semiparametric multivariate stochastic volatility with application. (English) Zbl 1490.62332 Econom. Rev. 39, No. 9, 947-970 (2020). MSC: 62P05 62F15 62G99 62M10 PDFBibTeX XMLCite \textit{M. D. Zaharieva} et al., Econom. Rev. 39, No. 9, 947--970 (2020; Zbl 1490.62332) Full Text: DOI
Tu, Yundong; Chan, Nigel; Wang, Qiying Testing for a unit root with nonstationary nonlinear heteroskedasticity. (English) Zbl 1490.62280 Econom. Rev. 39, No. 9, 904-929 (2020). MSC: 62M10 62M07 62E20 60F17 62P20 PDFBibTeX XMLCite \textit{Y. Tu} et al., Econom. Rev. 39, No. 9, 904--929 (2020; Zbl 1490.62280) Full Text: DOI
Bennedsen, Mikkel Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data. (English) Zbl 1490.62229 Econom. Rev. 39, No. 9, 875-903 (2020). MSC: 62M10 60G22 62P20 62P05 91B84 91G20 PDFBibTeX XMLCite \textit{M. Bennedsen}, Econom. Rev. 39, No. 9, 875--903 (2020; Zbl 1490.62229) Full Text: DOI arXiv
Kheifets, Igor L.; Saikkonen, Pentti J. Stationarity and ergodicity of vector STAR models. (English) Zbl 1490.62255 Econom. Rev. 39, No. 4, 407-414 (2020). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{I. L. Kheifets} and \textit{P. J. Saikkonen}, Econom. Rev. 39, No. 4, 407--414 (2020; Zbl 1490.62255) Full Text: DOI arXiv
Greenaway-McGrevy, Ryan Multistep forecast selection for panel data. (English) Zbl 1490.62246 Econom. Rev. 39, No. 4, 373-406 (2020). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{R. Greenaway-McGrevy}, Econom. Rev. 39, No. 4, 373--406 (2020; Zbl 1490.62246) Full Text: DOI
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series. (English) Zbl 1490.62316 Econom. Rev. 39, No. 4, 319-343 (2020). MSC: 62P05 62F15 62M10 PDFBibTeX XMLCite \textit{S. Dimitrakopoulos} and \textit{M. Kolossiatis}, Econom. Rev. 39, No. 4, 319--343 (2020; Zbl 1490.62316) Full Text: DOI Link
Hoga, Yannick Where does the tail begin? An approach based on scoring rules. (English) Zbl 1490.62117 Econom. Rev. 39, No. 6, 579-601 (2020). MSC: 62G32 62M10 62P05 91G45 PDFBibTeX XMLCite \textit{Y. Hoga}, Econom. Rev. 39, No. 6, 579--601 (2020; Zbl 1490.62117) Full Text: DOI
Blasques, Francisco; Koopman, Siem Jan; Lucas, André Nonlinear autoregressive models with optimality properties. (English) Zbl 1490.62421 Econom. Rev. 39, No. 6, 559-578 (2020). MSC: 62P20 62M10 91B84 PDFBibTeX XMLCite \textit{F. Blasques} et al., Econom. Rev. 39, No. 6, 559--578 (2020; Zbl 1490.62421) Full Text: DOI
Kurozumi, Eiji Asymptotic properties of bubble monitoring tests. (English) Zbl 1490.62460 Econom. Rev. 39, No. 5, 510-538 (2020). MSC: 62P20 62M10 62L10 PDFBibTeX XMLCite \textit{E. Kurozumi}, Econom. Rev. 39, No. 5, 510--538 (2020; Zbl 1490.62460) Full Text: DOI
Domínguez, Manuel A.; Lobato, Ignacio N. Specification testing with estimated variables. (English) Zbl 1490.62436 Econom. Rev. 39, No. 5, 476-494 (2020). MSC: 62P20 62G10 62M10 62G20 PDFBibTeX XMLCite \textit{M. A. Domínguez} and \textit{I. N. Lobato}, Econom. Rev. 39, No. 5, 476--494 (2020; Zbl 1490.62436) Full Text: DOI
Billé, Anna Gloria; Leorato, Samantha Partial ML estimation for spatial autoregressive nonlinear probit models with autoregressive disturbances. (English) Zbl 1490.62420 Econom. Rev. 39, No. 5, 437-475 (2020). MSC: 62P20 62M30 62M10 62F12 PDFBibTeX XMLCite \textit{A. G. Billé} and \textit{S. Leorato}, Econom. Rev. 39, No. 5, 437--475 (2020; Zbl 1490.62420) Full Text: DOI Link
Bekker, Paul; van Essen, Jelle ML and GMM with concentrated instruments in the static panel data model. (English) Zbl 1490.62416 Econom. Rev. 39, No. 2, 181-195 (2020). MSC: 62P20 62M10 62H12 PDFBibTeX XMLCite \textit{P. Bekker} and \textit{J. van Essen}, Econom. Rev. 39, No. 2, 181--195 (2020; Zbl 1490.62416) Full Text: DOI
Delgado, Michael S.; Ozabaci, Deniz; Sun, Yiguo; Kumbhakar, Subal C. Smooth coefficient models with endogenous environmental variables. (English) Zbl 1490.62097 Econom. Rev. 39, No. 2, 158-180 (2020). MSC: 62G08 62M10 62G05 62G20 62P20 PDFBibTeX XMLCite \textit{M. S. Delgado} et al., Econom. Rev. 39, No. 2, 158--180 (2020; Zbl 1490.62097) Full Text: DOI
Magazzini, Laura; Calzolari, Giorgio Testing initial conditions in dynamic panel data models. (English) Zbl 1490.62465 Econom. Rev. 39, No. 2, 115-134 (2020). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{L. Magazzini} and \textit{G. Calzolari}, Econom. Rev. 39, No. 2, 115--134 (2020; Zbl 1490.62465) Full Text: DOI
Nedeljkovic, Milan A projection-based nonparametric test of conditional quantile independence. (English) Zbl 1490.62111 Econom. Rev. 39, No. 1, 1-26 (2020). MSC: 62G10 62M10 62G20 62P20 PDFBibTeX XMLCite \textit{M. Nedeljkovic}, Econom. Rev. 39, No. 1, 1--26 (2020; Zbl 1490.62111) Full Text: DOI
Tu, Yundong; Wang, Ying Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets. (English) Zbl 1490.62281 Econom. Rev. 39, No. 3, 299-318 (2020). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{Y. Tu} and \textit{Y. Wang}, Econom. Rev. 39, No. 3, 299--318 (2020; Zbl 1490.62281) Full Text: DOI
Ramírez-Rondán, N. R. Maximum likelihood estimation of dynamic panel threshold models. (English) Zbl 1490.62478 Econom. Rev. 39, No. 3, 260-276 (2020). MSC: 62P20 62M10 62F10 62F12 62E20 PDFBibTeX XMLCite \textit{N. R. Ramírez-Rondán}, Econom. Rev. 39, No. 3, 260--276 (2020; Zbl 1490.62478) Full Text: DOI
Pedersen, Rasmus Søndergaard Robust inference in conditionally heteroskedastic autoregressions. (English) Zbl 1491.62121 Econom. Rev. 39, No. 3, 244-259 (2020). MSC: 62M10 62F35 62P05 62P20 PDFBibTeX XMLCite \textit{R. S. Pedersen}, Econom. Rev. 39, No. 3, 244--259 (2020; Zbl 1491.62121) Full Text: DOI Link
Franchi, Massimo; Paruolo, Paolo A general inversion theorem for cointegration. (English) Zbl 1490.62243 Econom. Rev. 38, No. 10, 1176-1201 (2019). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{M. Franchi} and \textit{P. Paruolo}, Econom. Rev. 38, No. 10, 1176--1201 (2019; Zbl 1490.62243) Full Text: DOI
Grothe, Oliver; Kleppe, Tore Selland; Liesenfeld, Roman The Gibbs sampler with particle efficient importance sampling for state-space models. (English) Zbl 1490.62080 Econom. Rev. 38, No. 10, 1152-1175 (2019). MSC: 62F15 62M10 62M20 62P20 65C05 PDFBibTeX XMLCite \textit{O. Grothe} et al., Econom. Rev. 38, No. 10, 1152--1175 (2019; Zbl 1490.62080) Full Text: DOI arXiv
Harvey, David I.; Leybourne, Stephen J.; Zu, Yang Testing explosive bubbles with time-varying volatility. (English) Zbl 1490.62446 Econom. Rev. 38, No. 10, 1131-1151 (2019). MSC: 62P20 62M10 62P05 91B62 PDFBibTeX XMLCite \textit{D. I. Harvey} et al., Econom. Rev. 38, No. 10, 1131--1151 (2019; Zbl 1490.62446) Full Text: DOI Link
Smeekes, Stephan; Westerlund, Joakim Robust block bootstrap panel predictability tests. (English) Zbl 1490.62273 Econom. Rev. 38, No. 9, 1089-1107 (2019). MSC: 62M10 62M07 62G09 62L10 62P05 PDFBibTeX XMLCite \textit{S. Smeekes} and \textit{J. Westerlund}, Econom. Rev. 38, No. 9, 1089--1107 (2019; Zbl 1490.62273) Full Text: DOI
Hayakawa, Kazuhiko; Qi, Meng; Breitung, Jörg Double filter instrumental variable estimation of panel data models with weakly exogenous variables. (English) Zbl 1490.62447 Econom. Rev. 38, No. 9, 1055-1088 (2019). MSC: 62P20 62M10 62F12 62E20 PDFBibTeX XMLCite \textit{K. Hayakawa} et al., Econom. Rev. 38, No. 9, 1055--1088 (2019; Zbl 1490.62447) Full Text: DOI
Virbickaitė, Audronė; Lopes, Hedibert F.; Concepción Ausín, M.; Galeano, Pedro Particle learning for Bayesian semi-parametric stochastic volatility model. (English) Zbl 1490.62328 Econom. Rev. 38, No. 9, 1007-1023 (2019). MSC: 62P05 62F15 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{A. Virbickaitė} et al., Econom. Rev. 38, No. 9, 1007--1023 (2019; Zbl 1490.62328) Full Text: DOI
Halunga, Andreea G.; Savva, Christos S. Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation. (English) Zbl 1490.62444 Econom. Rev. 38, No. 6, 660-678 (2019). MSC: 62P20 62M10 62P05 91B84 PDFBibTeX XMLCite \textit{A. G. Halunga} and \textit{C. S. Savva}, Econom. Rev. 38, No. 6, 660--678 (2019; Zbl 1490.62444) Full Text: DOI
Cheng, Tingting Functional coefficient time series models with trending regressors. (English) Zbl 1490.62234 Econom. Rev. 38, No. 6, 636-659 (2019). MSC: 62M10 62R10 62G07 62G08 62G20 62P20 PDFBibTeX XMLCite \textit{T. Cheng}, Econom. Rev. 38, No. 6, 636--659 (2019; Zbl 1490.62234) Full Text: DOI
Mutl, Jan; Sögner, Leopold Parameter estimation and inference with spatial lags and cointegration. (English) Zbl 1490.62471 Econom. Rev. 38, No. 6, 597-635 (2019). MSC: 62P20 62M10 62P05 PDFBibTeX XMLCite \textit{J. Mutl} and \textit{L. Sögner}, Econom. Rev. 38, No. 6, 597--635 (2019; Zbl 1490.62471) Full Text: DOI
Choi, In; Jeong, Hanbat Model selection for factor analysis: some new criteria and performance comparisons. (English) Zbl 1490.62146 Econom. Rev. 38, No. 6, 577-596 (2019). MSC: 62H25 62M10 62F15 62B10 62P20 PDFBibTeX XMLCite \textit{I. Choi} and \textit{H. Jeong}, Econom. Rev. 38, No. 6, 577--596 (2019; Zbl 1490.62146) Full Text: DOI
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; Hušková, Marie; Wang, Shixuan Structural breaks in panel data: large number of panels and short length time series. (English) Zbl 1490.62224 Econom. Rev. 38, No. 7, 828-855 (2019). MSC: 62M10 62M07 62F05 62P20 PDFBibTeX XMLCite \textit{J. Antoch} et al., Econom. Rev. 38, No. 7, 828--855 (2019; Zbl 1490.62224) Full Text: DOI Link
Hassler, Uwe; Hosseinkouchack, Mehdi Ratio tests under limiting normality. (English) Zbl 1490.62248 Econom. Rev. 38, No. 7, 793-813 (2019). MSC: 62M10 62G10 60F17 62P20 PDFBibTeX XMLCite \textit{U. Hassler} and \textit{M. Hosseinkouchack}, Econom. Rev. 38, No. 7, 793--813 (2019; Zbl 1490.62248) Full Text: DOI
Lohmeyer, Jan; Palm, Franz; Reuvers, Hanno; Urbain, Jean-Pierre Focused information criterion for locally misspecified vector autoregressive models. (English) Zbl 1490.62260 Econom. Rev. 38, No. 7, 763-792 (2019). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{J. Lohmeyer} et al., Econom. Rev. 38, No. 7, 763--792 (2019; Zbl 1490.62260) Full Text: DOI
Bessec, Marie Revisiting the transitional dynamics of business cycle phases with mixed-frequency data. (English) Zbl 1490.62419 Econom. Rev. 38, No. 7, 711-732 (2019). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{M. Bessec}, Econom. Rev. 38, No. 7, 711--732 (2019; Zbl 1490.62419) Full Text: DOI Link
Dong, Chaohua; Gao, Jiti; Peng, Bin Estimation in a semiparametric panel data model with nonstationarity. (English) Zbl 1490.62238 Econom. Rev. 38, No. 8, 961-977 (2019). MSC: 62M10 62G20 62P20 PDFBibTeX XMLCite \textit{C. Dong} et al., Econom. Rev. 38, No. 8, 961--977 (2019; Zbl 1490.62238) Full Text: DOI
León-González, Roberto Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility. (English) Zbl 1490.62322 Econom. Rev. 38, No. 8, 899-920 (2019). MSC: 62P05 62F15 62M10 65C05 65C40 PDFBibTeX XMLCite \textit{R. León-González}, Econom. Rev. 38, No. 8, 899--920 (2019; Zbl 1490.62322) Full Text: DOI Link
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending. (English) Zbl 1490.62232 Econom. Rev. 38, No. 8, 881-898 (2019). MSC: 62M10 62M07 62P20 PDFBibTeX XMLCite \textit{J. L. Carrion-i-Silvestre} and \textit{D. Kim}, Econom. Rev. 38, No. 8, 881--898 (2019; Zbl 1490.62232) Full Text: DOI Link
Dufays, Arnaud; Rombouts, Jeroen V. K. Sparse change-point HAR models for realized variance. (English) Zbl 1490.62239 Econom. Rev. 38, No. 8, 857-880 (2019). MSC: 62M10 62F15 62P05 62P20 91B84 PDFBibTeX XMLCite \textit{A. Dufays} and \textit{J. V. K. Rombouts}, Econom. Rev. 38, No. 8, 857--880 (2019; Zbl 1490.62239) Full Text: DOI Link
Caballero-Pintado, M. Victoria; Matilla-García, Mariano; Marín, Manuel Ruiz Symbolic correlation integral. (English) Zbl 1491.62088 Econom. Rev. 38, No. 5, 533-556 (2019). MSC: 62M10 62G10 62P20 PDFBibTeX XMLCite \textit{M. V. Caballero-Pintado} et al., Econom. Rev. 38, No. 5, 533--556 (2019; Zbl 1491.62088) Full Text: DOI
Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, A. M. Robert Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. (English) Zbl 1490.62233 Econom. Rev. 38, No. 5, 509-532 (2019). MSC: 62M10 62M07 62P20 PDFBibTeX XMLCite \textit{G. Cavaliere} et al., Econom. Rev. 38, No. 5, 509--532 (2019; Zbl 1490.62233) Full Text: DOI Link
Sriananthakumar, Sivagowry Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach. (English) Zbl 1490.62482 Econom. Rev. 38, No. 4, 451-464 (2019). MSC: 62P20 62M10 62F03 62M07 PDFBibTeX XMLCite \textit{S. Sriananthakumar}, Econom. Rev. 38, No. 4, 451--464 (2019; Zbl 1490.62482) Full Text: DOI
Su, Liangjun; Xu, Pai Common threshold in quantile regressions with an application to pricing for reputation. (English) Zbl 1490.62483 Econom. Rev. 38, No. 4, 417-450 (2019). MSC: 62P20 62M10 62F12 PDFBibTeX XMLCite \textit{L. Su} and \textit{P. Xu}, Econom. Rev. 38, No. 4, 417--450 (2019; Zbl 1490.62483) Full Text: DOI Link
Uematsu, Yoshimasa Nonstationary nonlinear quantile regression. (English) Zbl 1490.62282 Econom. Rev. 38, No. 4, 386-416 (2019). MSC: 62M10 62J02 62F12 62P20 PDFBibTeX XMLCite \textit{Y. Uematsu}, Econom. Rev. 38, No. 4, 386--416 (2019; Zbl 1490.62282) Full Text: DOI
Liu, Xiaodong; Saraiva, Paulo GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity. (English) Zbl 1490.62463 Econom. Rev. 38, No. 4, 359-385 (2019). MSC: 62P20 62M30 62M10 62F12 PDFBibTeX XMLCite \textit{X. Liu} and \textit{P. Saraiva}, Econom. Rev. 38, No. 4, 359--385 (2019; Zbl 1490.62463) Full Text: DOI
Nielsen, Heino Bohn Estimation bias and bias correction in reduced rank autoregressions. (English) Zbl 1490.62263 Econom. Rev. 38, No. 3, 332-349 (2019). MSC: 62M10 62F40 62P20 91B84 PDFBibTeX XMLCite \textit{H. B. Nielsen}, Econom. Rev. 38, No. 3, 332--349 (2019; Zbl 1490.62263) Full Text: DOI
Li, Dong; Guo, Shaojun; Zhu, Ke Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity. (English) Zbl 1490.62257 Econom. Rev. 38, No. 3, 319-331 (2019). MSC: 62M10 62F12 62P20 PDFBibTeX XMLCite \textit{D. Li} et al., Econom. Rev. 38, No. 3, 319--331 (2019; Zbl 1490.62257) Full Text: DOI arXiv
Schreiber, Sven The estimation uncertainty of permanent-transitory decompositions in co-integrated systems. (English) Zbl 1490.62271 Econom. Rev. 38, No. 3, 279-300 (2019). MSC: 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{S. Schreiber}, Econom. Rev. 38, No. 3, 279--300 (2019; Zbl 1490.62271) Full Text: DOI Link
Gayer, Gabi; Lieberman, Offer; Yaffe, Omer Similarity-based model for ordered categorical data. (English) Zbl 1490.62440 Econom. Rev. 38, No. 3, 263-278 (2019). MSC: 62P20 62M10 62J02 62F12 PDFBibTeX XMLCite \textit{G. Gayer} et al., Econom. Rev. 38, No. 3, 263--278 (2019; Zbl 1490.62440) Full Text: DOI
Trokić, Mirza Wavelet energy ratio unit root tests. (English) Zbl 1490.62279 Econom. Rev. 38, No. 1, 69-94 (2019). MSC: 62M10 62G10 60F17 62P20 PDFBibTeX XMLCite \textit{M. Trokić}, Econom. Rev. 38, No. 1, 69--94 (2019; Zbl 1490.62279) Full Text: DOI Link
Psaradakis, Zacharias; Vávra, Marián Portmanteau tests for linearity of stationary time series. (English) Zbl 1490.62267 Econom. Rev. 38, No. 2, 248-262 (2019). MSC: 62M10 62M07 62P05 PDFBibTeX XMLCite \textit{Z. Psaradakis} and \textit{M. Vávra}, Econom. Rev. 38, No. 2, 248--262 (2019; Zbl 1490.62267) Full Text: DOI Link
Zhang, Rongmao; Li, Chenxue; Peng, Liang Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors. (English) Zbl 1490.62286 Econom. Rev. 38, No. 2, 151-169 (2019). MSC: 62M10 62G32 62P20 PDFBibTeX XMLCite \textit{R. Zhang} et al., Econom. Rev. 38, No. 2, 151--169 (2019; Zbl 1490.62286) Full Text: DOI
Dong, Chaohua; Gao, Jiti Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression. (English) Zbl 1490.62237 Econom. Rev. 38, No. 2, 125-150 (2019). MSC: 62M10 60G51 62G08 62G20 62E20 PDFBibTeX XMLCite \textit{C. Dong} and \textit{J. Gao}, Econom. Rev. 38, No. 2, 125--150 (2019; Zbl 1490.62237) Full Text: DOI Link
Juodis, Artūras; Sarafidis, Vasilis Fixed \(T\) dynamic panel data estimators with multifactor errors. (English) Zbl 1490.62454 Econom. Rev. 37, No. 8, 893-929 (2018). MSC: 62P20 62M10 62F12 PDFBibTeX XMLCite \textit{A. Juodis} and \textit{V. Sarafidis}, Econom. Rev. 37, No. 8, 893--929 (2018; Zbl 1490.62454) Full Text: DOI
Li, Haiqi; Park, Sung Y. Testing for a unit root in a nonlinear quantile autoregression framework. (English) Zbl 1491.62111 Econom. Rev. 37, No. 8, 867-892 (2018). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{H. Li} and \textit{S. Y. Park}, Econom. Rev. 37, No. 8, 867--892 (2018; Zbl 1491.62111) Full Text: DOI
Troster, Victor Testing for Granger-causality in quantiles. (English) Zbl 1490.62487 Econom. Rev. 37, No. 8, 850-866 (2018). MSC: 62P20 62F03 62G10 62M10 62G20 PDFBibTeX XMLCite \textit{V. Troster}, Econom. Rev. 37, No. 8, 850--866 (2018; Zbl 1490.62487) Full Text: DOI
Martinet, Guillaume Gaetan; McAleer, Michael On the invertibility of EGARCH\((p, q)\). (English) Zbl 1490.62261 Econom. Rev. 37, No. 8, 824-849 (2018). MSC: 62M10 62F12 62P05 62P20 PDFBibTeX XMLCite \textit{G. G. Martinet} and \textit{M. McAleer}, Econom. Rev. 37, No. 8, 824--849 (2018; Zbl 1490.62261) Full Text: DOI
Chang, Seong Yeon; Perron, Pierre A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models. (English) Zbl 1491.62057 Econom. Rev. 37, No. 6, 577-601 (2018). MSC: 62J05 62F03 62F25 62M10 62P20 PDFBibTeX XMLCite \textit{S. Y. Chang} and \textit{P. Perron}, Econom. Rev. 37, No. 6, 577--601 (2018; Zbl 1491.62057) Full Text: DOI Link
Shadat, Wasel; Orme, Chris Robust parametric tests of constant conditional correlation in a MGARCH model. (English) Zbl 1491.62127 Econom. Rev. 37, No. 6, 551-576 (2018). MSC: 62M10 62F03 62F35 62P20 PDFBibTeX XMLCite \textit{W. Shadat} and \textit{C. Orme}, Econom. Rev. 37, No. 6, 551--576 (2018; Zbl 1491.62127) Full Text: DOI Link
Hirukawa, Masayuki; Sakudo, Mari Functional-coefficient cointegration models in the presence of deterministic trends. (English) Zbl 1490.62249 Econom. Rev. 37, No. 5, 507-533 (2018). MSC: 62M10 62J05 62P20 PDFBibTeX XMLCite \textit{M. Hirukawa} and \textit{M. Sakudo}, Econom. Rev. 37, No. 5, 507--533 (2018; Zbl 1490.62249) Full Text: DOI
Mao, Guangyu Testing for sphericity in a two-way error components panel data model. (English) Zbl 1491.62245 Econom. Rev. 37, No. 5, 491-506 (2018). MSC: 62P20 62H15 62M10 PDFBibTeX XMLCite \textit{G. Mao}, Econom. Rev. 37, No. 5, 491--506 (2018; Zbl 1491.62245) Full Text: DOI
Liu, Feng; Li, Dong; Kang, Xinmei Sample path properties of an explosive double autoregressive model. (English) Zbl 1490.62258 Econom. Rev. 37, No. 5, 484-490 (2018). MSC: 62M10 62F12 62P20 PDFBibTeX XMLCite \textit{F. Liu} et al., Econom. Rev. 37, No. 5, 484--490 (2018; Zbl 1490.62258) Full Text: DOI
Martins, Luis F. Bootstrap tests for time varying cointegration. (English) Zbl 1491.62113 Econom. Rev. 37, No. 5, 466-483 (2018). MSC: 62M10 62F03 62F40 62E20 62P20 PDFBibTeX XMLCite \textit{L. F. Martins}, Econom. Rev. 37, No. 5, 466--483 (2018; Zbl 1491.62113) Full Text: DOI Link
Pesaran, M. Hashem; Zhou, Qiankun Estimation of time-invariant effects in static panel data models. (English) Zbl 1491.62124 Econom. Rev. 37, No. 10, 1137-1171 (2018). MSC: 62M10 62H12 62F12 62P20 PDFBibTeX XMLCite \textit{M. H. Pesaran} and \textit{Q. Zhou}, Econom. Rev. 37, No. 10, 1137--1171 (2018; Zbl 1491.62124) Full Text: DOI Link
Kılıç, Rehim Robust inference for predictability in smooth transition predictive regressions. (English) Zbl 1490.62256 Econom. Rev. 37, No. 10, 1067-1094 (2018). MSC: 62M10 62F03 62E20 62J05 62P20 PDFBibTeX XMLCite \textit{R. Kılıç}, Econom. Rev. 37, No. 10, 1067--1094 (2018; Zbl 1490.62256) Full Text: DOI
Arsova, Antonia; Örsal, Deniz Dilan Karaman Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. (English) Zbl 1491.62083 Econom. Rev. 37, No. 10, 1033-1050 (2018). MSC: 62M10 62M07 62H25 62P20 PDFBibTeX XMLCite \textit{A. Arsova} and \textit{D. D. K. Örsal}, Econom. Rev. 37, No. 10, 1033--1050 (2018; Zbl 1491.62083) Full Text: DOI Link
Guay, Alain; Lamarche, Jean-François Structural change tests for GEL criteria. (English) Zbl 1490.62442 Econom. Rev. 37, No. 9, 1000-1032 (2018). MSC: 62P20 62M10 62G05 62H15 62G20 PDFBibTeX XMLCite \textit{A. Guay} and \textit{J.-F. Lamarche}, Econom. Rev. 37, No. 9, 1000--1032 (2018; Zbl 1490.62442) Full Text: DOI Link
Yamamoto, Yohei A modified confidence set for the structural break date in linear regression models. (English) Zbl 1491.62066 Econom. Rev. 37, No. 9, 974-999 (2018). MSC: 62J05 62G15 62M10 62P20 PDFBibTeX XMLCite \textit{Y. Yamamoto}, Econom. Rev. 37, No. 9, 974--999 (2018; Zbl 1491.62066) Full Text: DOI Link
Paparoditis, Efstathios; Politis, Dimitris N. The asymptotic size and power of the augmented Dickey-Fuller test for a unit root. (English) Zbl 1490.62216 Econom. Rev. 37, No. 9, 955-973 (2018). MSC: 62M07 62F05 62M10 62P20 PDFBibTeX XMLCite \textit{E. Paparoditis} and \textit{D. N. Politis}, Econom. Rev. 37, No. 9, 955--973 (2018; Zbl 1490.62216) Full Text: DOI
Taşpınar, Süleyman; Doğan, Osman; Vijverberg, Wim P. M. GMM inference in spatial autoregressive models. (English) Zbl 1491.62130 Econom. Rev. 37, No. 9, 931-954 (2018). MSC: 62M10 62M30 62F12 62F40 62P20 PDFBibTeX XMLCite \textit{S. Taşpınar} et al., Econom. Rev. 37, No. 9, 931--954 (2018; Zbl 1491.62130) Full Text: DOI Link
Shintani, Mototsugu; Guo, Zi-Yi Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach. (English) Zbl 1490.62272 Econom. Rev. 37, No. 4, 360-379 (2018). MSC: 62M10 62H25 PDFBibTeX XMLCite \textit{M. Shintani} and \textit{Z.-Y. Guo}, Econom. Rev. 37, No. 4, 360--379 (2018; Zbl 1490.62272) Full Text: DOI Link