Hidalgo, Javier; Schafgans, Marcia Inference without smoothing for large panels with cross-sectional and temporal dependence. (English) Zbl 1471.62465 J. Econom. 223, No. 1, 125-160 (2021). MSC: 62M10 62G09 62P20 PDFBibTeX XMLCite \textit{J. Hidalgo} and \textit{M. Schafgans}, J. Econom. 223, No. 1, 125--160 (2021; Zbl 1471.62465) Full Text: DOI arXiv Link
Williams, Benjamin Nonparametric identification of discrete choice models with lagged dependent variables. (English) Zbl 1456.62308 J. Econom. 215, No. 1, 286-304 (2020). MSC: 62P20 62G05 62M10 PDFBibTeX XMLCite \textit{B. Williams}, J. Econom. 215, No. 1, 286--304 (2020; Zbl 1456.62308) Full Text: DOI
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin Estimation of random coefficients logit demand models with interactive fixed effects. (English) Zbl 1452.62951 J. Econom. 206, No. 2, 613-644 (2018). MSC: 62P20 62M10 62H25 91B42 PDFBibTeX XMLCite \textit{H. R. Moon} et al., J. Econom. 206, No. 2, 613--644 (2018; Zbl 1452.62951) Full Text: DOI
Calzolari, Giorgio; Halbleib, Roxana Estimating stable latent factor models by indirect inference. (English) Zbl 1452.62747 J. Econom. 205, No. 1, 280-301 (2018). MSC: 62P05 60E07 62M10 62H15 62P20 PDFBibTeX XMLCite \textit{G. Calzolari} and \textit{R. Halbleib}, J. Econom. 205, No. 1, 280--301 (2018; Zbl 1452.62747) 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
Christensen, Bent Jesper; Tangsgaard Varneskov, Rasmus Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (English) Zbl 1422.62279 J. Econom. 197, No. 2, 218-244 (2017). MSC: 62M10 60G10 60J10 62M09 91B84 91G70 PDFBibTeX XMLCite \textit{B. J. Christensen} and \textit{R. Tangsgaard Varneskov}, J. Econom. 197, No. 2, 218--244 (2017; Zbl 1422.62279) Full Text: DOI Link
Ghanem, Dalia Testing identifying assumptions in nonseparable panel data models. (English) Zbl 1422.62160 J. Econom. 197, No. 2, 202-217 (2017). MSC: 62G10 62G09 62M10 PDFBibTeX XMLCite \textit{D. Ghanem}, J. Econom. 197, No. 2, 202--217 (2017; Zbl 1422.62160) Full Text: DOI Link
Chambers, Marcus J. The estimation of continuous time models with mixed frequency data. (English) Zbl 1431.62359 J. Econom. 193, No. 2, 390-404 (2016). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{M. J. Chambers}, J. Econom. 193, No. 2, 390--404 (2016; Zbl 1431.62359) Full Text: DOI
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
Jentsch, Carsten; Subba Rao, Suhasini A test for second order stationarity of a multivariate time series. (English) Zbl 1332.62328 J. Econom. 185, No. 1, 124-161 (2015). MSC: 62M10 62M15 91B84 62P05 PDFBibTeX XMLCite \textit{C. Jentsch} and \textit{S. Subba Rao}, J. Econom. 185, No. 1, 124--161 (2015; Zbl 1332.62328) Full Text: DOI
Gençay, Ramazan; Signori, Daniele Multi-scale tests for serial correlation. (English) Zbl 1332.62297 J. Econom. 184, No. 1, 62-80 (2015). MSC: 62M07 62M10 62M15 62P20 PDFBibTeX XMLCite \textit{R. Gençay} and \textit{D. Signori}, J. Econom. 184, No. 1, 62--80 (2015; Zbl 1332.62297) Full Text: DOI
Herwartz, Helmut; Lütkepohl, Helmut Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks. (English) Zbl 1312.62108 J. Econom. 183, No. 1, 104-116 (2014). MSC: 62M10 60J20 PDFBibTeX XMLCite \textit{H. Herwartz} and \textit{H. Lütkepohl}, J. Econom. 183, No. 1, 104--116 (2014; Zbl 1312.62108) Full Text: DOI Link
Browning, Martin; Carro, Jesus M. Dynamic binary outcome models with maximal heterogeneity. (English) Zbl 1293.62177 J. Econom. 178, No. 2, 805-823 (2014). MSC: 62M10 60J20 62G05 62P20 91B82 91B40 PDFBibTeX XMLCite \textit{M. Browning} and \textit{J. M. Carro}, J. Econom. 178, No. 2, 805--823 (2014; Zbl 1293.62177) Full Text: DOI Link
Zhang, Xinyu; Lu, Zudi; Zou, Guohua Adaptively combined forecasting for discrete response time series. (English) Zbl 1284.62587 J. Econom. 176, No. 1, 80-91 (2013). MSC: 62M20 62M10 91B84 PDFBibTeX XMLCite \textit{X. Zhang} et al., J. Econom. 176, No. 1, 80--91 (2013; Zbl 1284.62587) Full Text: DOI
Shimotsu, Katsumi Exact local Whittle estimation of fractionally cointegrated systems. (English) Zbl 1443.62238 J. Econom. 169, No. 2, 266-278 (2012). MSC: 62M09 62M10 62M15 62G20 62P20 PDFBibTeX XMLCite \textit{K. Shimotsu}, J. Econom. 169, No. 2, 266--278 (2012; Zbl 1443.62238) Full Text: DOI Link Link
Yu, Jun Bias in the estimation of the mean reversion parameter in continuous time models. (English) Zbl 1443.62225 J. Econom. 169, No. 1, 114-122 (2012). MSC: 62M05 62F12 62M10 62P05 62P20 PDFBibTeX XMLCite \textit{J. Yu}, J. Econom. 169, No. 1, 114--122 (2012; Zbl 1443.62225) Full Text: DOI Link Link
Srisuma, Sorawoot; Linton, Oliver Semiparametric estimation of Markov decision processes with continuous state space. (English) Zbl 1441.62875 J. Econom. 166, No. 2, 320-341 (2012). MSC: 62P20 62M05 62G05 62F12 62M10 PDFBibTeX XMLCite \textit{S. Srisuma} and \textit{O. Linton}, J. Econom. 166, No. 2, 320--341 (2012; Zbl 1441.62875) Full Text: DOI
Chen, Xiaohong; Hansen, Lars Peter; Carrasco, Marine Nonlinearity and temporal dependence. (English) Zbl 1431.62600 J. Econom. 155, No. 2, 155-169 (2010). MSC: 62P20 60J10 62M10 PDFBibTeX XMLCite \textit{X. Chen} et al., J. Econom. 155, No. 2, 155--169 (2010; Zbl 1431.62600) Full Text: DOI Link
Jin, Sainan Discrete choice modeling with nonstationary panels applied to exchange rate regime choice. (English) Zbl 1429.62674 J. Econom. 150, No. 2, 312-321 (2009). MSC: 62P20 62M10 62F12 PDFBibTeX XMLCite \textit{S. Jin}, J. Econom. 150, No. 2, 312--321 (2009; Zbl 1429.62674) Full Text: DOI Link
Fernández-Val, Iván Fixed effects estimation of structural parameters and marginal effects in panel probit models. (English) Zbl 1429.62665 J. Econom. 150, No. 1, 71-85 (2009). MSC: 62P20 62M10 62F12 PDFBibTeX XMLCite \textit{I. Fernández-Val}, J. Econom. 150, No. 1, 71--85 (2009; Zbl 1429.62665) Full Text: DOI
Phillips, Peter C. B.; Jin, Sainan; Hu, Ling Nonstationary discrete choice: a corrigendum and addendum. (English) Zbl 1418.62347 J. Econom. 141, No. 2, 1115-1130 (2007). MSC: 62M10 62F12 60J55 62P20 PDFBibTeX XMLCite \textit{P. C. B. Phillips} et al., J. Econom. 141, No. 2, 1115--1130 (2007; Zbl 1418.62347) Full Text: DOI Link
Hsieh, Meng-Chen; Hurvich, Clifford M.; Soulier, Philippe Asymptotics for duration-driven long range dependent processes. (English) Zbl 1418.62332 J. Econom. 141, No. 2, 913-949 (2007). MSC: 62M10 62M15 62E20 62P05 PDFBibTeX XMLCite \textit{M.-C. Hsieh} et al., J. Econom. 141, No. 2, 913--949 (2007; Zbl 1418.62332) Full Text: DOI arXiv
Phillips, Peter C. B. Unit root log periodogram regression. (English) Zbl 1418.62346 J. Econom. 138, No. 1, 104-124 (2007). MSC: 62M10 62E20 62M15 PDFBibTeX XMLCite \textit{P. C. B. Phillips}, J. Econom. 138, No. 1, 104--124 (2007; Zbl 1418.62346) Full Text: DOI Link
Christoffersen, Peter; Heston, Steve; Jacobs, Kris Option valuation with conditional skewness. (English) Zbl 1337.62321 J. Econom. 131, No. 1-2, 253-284 (2006). MSC: 62P05 91G20 91G70 91B84 PDFBibTeX XMLCite \textit{P. Christoffersen} et al., J. Econom. 131, No. 1--2, 253--284 (2006; Zbl 1337.62321) Full Text: DOI Link
Das, M. Instrumental variables estimators of nonparametric models with discrete endogenous regressors. (English) Zbl 1334.62034 J. Econom. 124, No. 2, 335-361 (2005). MSC: 62G05 62J05 62G20 PDFBibTeX XMLCite \textit{M. Das}, J. Econom. 124, No. 2, 335--361 (2005; Zbl 1334.62034) Full Text: DOI
Hu, Ling; Phillips, Peter C. B. Nonstationary discrete choice. (English) Zbl 1282.91268 J. Econom. 120, No. 1, 103-138 (2004); corrigendum and addendum ibid. 141, No. 2, 1115-1130 (2007). MSC: 62M10 62F12 60J55 62P20 PDFBibTeX XMLCite \textit{L. Hu} and \textit{P. C. B. Phillips}, J. Econom. 120, No. 1, 103--138 (2004; Zbl 1282.91268) Full Text: DOI
Arellano, Manuel; Carrasco, Raquel Binary choice panel data models with predetermined variables. (English) Zbl 1013.62110 J. Econom. 115, No. 1, 125-157 (2003). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{M. Arellano} and \textit{R. Carrasco}, J. Econom. 115, No. 1, 125--157 (2003; Zbl 1013.62110) Full Text: DOI
Chib, Siddhartha Estimation and comparison of multiple change-point models. (English) Zbl 1045.62510 J. Econom. 86, No. 2, 221-241 (1998). MSC: 62F15 62M10 60J20 65C40 PDFBibTeX XMLCite \textit{S. Chib}, J. Econom. 86, No. 2, 221--241 (1998; Zbl 1045.62510) Full Text: DOI
Geweke, John F.; Keane, Michael P.; Runkle, David E. Statistical inference in the multinomial multiperiod probit model. (English) Zbl 0898.62140 J. Econom. 80, No. 1, 125-165 (1997). MSC: 62P20 65C99 62M10 PDFBibTeX XMLCite \textit{J. F. Geweke} et al., J. Econom. 80, No. 1, 125--165 (1997; Zbl 0898.62140) Full Text: DOI
Drost, Feike C.; Werker, Bas J. M. Closing the GARCH gap: Continuous time GARCH modeling. (English) Zbl 0862.90044 J. Econom. 74, No. 1, 31-57 (1996). MSC: 91B84 PDFBibTeX XMLCite \textit{F. C. Drost} and \textit{B. J. M. Werker}, J. Econom. 74, No. 1, 31--57 (1996; Zbl 0862.90044) Full Text: DOI
Ryu, Hang K.; Slottje, Daniel J. Two flexible functional form approaches for approximating the Lorenz curve. (English) Zbl 0842.62099 J. Econom. 72, No. 1-2, 251-274 (1996). MSC: 62P20 62E17 PDFBibTeX XMLCite \textit{H. K. Ryu} and \textit{D. J. Slottje}, J. Econom. 72, No. 1--2, 251--274 (1996; Zbl 0842.62099) Full Text: DOI
Donald, Stephen G. Two-step estimation of heteroskedastic sample selection models. (English) Zbl 0814.62073 J. Econom. 65, No. 2, 347-380 (1995). MSC: 62P20 62G07 PDFBibTeX XMLCite \textit{S. G. Donald}, J. Econom. 65, No. 2, 347--380 (1995; Zbl 0814.62073) Full Text: DOI
Chambers, Marcus J. A nonnested approach to testing continuous time models against discrete alternatives. (English) Zbl 0778.62078 J. Econom. 57, No. 1-3, 319-343 (1993). Reviewer: B.L.S.Prakasa Rao (New Delhi) MSC: 62M07 62M10 62P20 PDFBibTeX XMLCite \textit{M. J. Chambers}, J. Econom. 57, No. 1--3, 319--343 (1993; Zbl 0778.62078) Full Text: DOI
Hamilton, James D. Analysis of time series subject to changes in regime. (English) Zbl 0723.62050 J. Econom. 45, No. 1-2, 39-70 (1990). Reviewer: J.C.Abril (Tucuman) MSC: 62M10 PDFBibTeX XMLCite \textit{J. D. Hamilton}, J. Econom. 45, No. 1--2, 39--70 (1990; Zbl 0723.62050) Full Text: DOI
Agbeyegbe, Terence D. An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample. (English) Zbl 0668.62082 J. Econom. 39, No. 3, 237-250 (1988). MSC: 62P20 62M10 93E10 PDFBibTeX XMLCite \textit{T. D. Agbeyegbe}, J. Econom. 39, No. 3, 237--250 (1988; Zbl 0668.62082) Full Text: DOI