Additional information is available for the following registered author(s):

• Bas J.M. Werker
• Feike C. Drost

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Paper provided by Tilburg - Center for Economic Research in its series Papers with number 9488.

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Length: 24 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:fth:tilbur:9488

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Keywords: econometrics;

Cited by:
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1. Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series /2004/480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
2. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," ECARES Working Papers 2009_001, Université Libre de Bruxelles, Ecares. [Downloadable!]
   Other versions:
   • Hallin, M. & Akker, R. van den & Werker, B.J.M., 2009. "A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Discussion Paper 2009-2, Tilburg University, Center for Economic Research. [Downloadable!]
3. Anton Schick & Wolfgang Wefelmeyer, 2002. "Estimating the Innovation Distribution in Nonlinear Autoregressive Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 245-260, June. [Downloadable!] (restricted)
4. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal. [Downloadable!]
5. HAFNER, Christian M. & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," CORE Discussion Papers 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
   Other versions:
   • Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(02), pages 336-363, April. [Downloadable!]
6. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2007. "Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)," Discussion Paper 2007-23, Tilburg University, Center for Economic Research.
7. Marc Hallin & Abdeslam Serroukh, 1998. "Adaptive Estimation of the Lag of a Long–memory Process," Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 111-129, May. [Downloadable!] (restricted)
8. Andeaou, E. & Werker, B.J.M., 2004. "An alternative asymptotic analysis of residual-based statistics," Discussion Paper 56, Tilburg University, Center for Economic Research. [Downloadable!]
9. Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, 09. [Downloadable!] (restricted)
10. Werker, B.J.M. & Andreou, E., 2003. "A simple asymptotic analysis of residual-based statistics," Discussion Paper 118, Tilburg University, Center for Economic Research. [Downloadable!]
11. Werker, B.J.M. & Vermandele, C. & Hallin, M., 2004. "Semiparametrically efficient inference based on signs and ranks for median restricted models," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
    • Marc Hallin & Catherine Vermandele & Bas J. M. Werker, 2008. "Semiparametrically efficient inference based on signs and ranks for median-restricted models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 70(2), pages 389-412. [Downloadable!] (restricted)
12. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient estimation in semiparametric GARCH models," Discussion Paper 38, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
    • Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November. [Downloadable!] (restricted)
13. Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI. [Downloadable!]
    Other versions:
    • Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]

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