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Regression, Autoregression Models

Citations

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Cited by:

  1. Georgios Chortareas & George Kapetanios, 2013. "How Puzzling Is The Ppp Puzzle? An Alternative Half‐Life Measure Of Convergence To Ppp," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 435-457, April.
  2. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. Wouter J. Den Haan & Andrew T. Levin, 1995. "Inferences from parametric and non-parametric covariance matrix estimation procedures," International Finance Discussion Papers 504, Board of Governors of the Federal Reserve System (U.S.).
  4. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Inference on factor structures in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
  5. Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003. "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 13-20, October.
  6. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2000. "Resampling time series by missing values techniques," DES - Working Papers. Statistics and Econometrics. WS 9923, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Alonso, A.M. & Berrendero, J.R. & Hernandez, A. & Justel, A., 2006. "Time series clustering based on forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 762-776, November.
  8. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
  9. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  10. Rupasinghe, Maduka & Samaranayake, V.A., 2012. "Asymptotic properties of sieve bootstrap prediction intervals for FARIMA processes," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2108-2114.
  11. Kavalieris, Laimonis, 2008. "Uniform convergence of autocovariances," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 830-838, April.
  12. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 647-681, June.
    • Arnold Zellner & Franz C. Palm, 2000. "Correction," Econometrica, Econometric Society, vol. 68(5), pages 1293-1294, September.
  13. Dufour, Jean-Marie & Jouini, Tarek, 2014. "Asymptotic distributions for quasi-efficient estimators in echelon VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 73(C), pages 69-86.
  14. Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
  15. George Kapetanios & Zacharias Psaradakis, 2007. "Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence," Working Papers 587, Queen Mary University of London, School of Economics and Finance.
  16. Dietmar Bauer & Martin Wagner, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Working Papers ECO2005/09, European University Institute.
  17. Lyubchich, Vyacheslav & Gel, Yulia R., 2016. "A local factor nonparametric test for trend synchronism in multiple time series," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 91-104.
  18. Bühlmann, Peter, 1995. "Moving-average representation of autoregressive approximations," Stochastic Processes and their Applications, Elsevier, vol. 60(2), pages 331-342, December.
  19. repec:wop:calsdi:96-17 is not listed on IDEAS
  20. Franke Jürgen & Kreiss Jens-Peter & Moser Martin, 2006. "Bootstrap autoregressive order selection," Statistics & Risk Modeling, De Gruyter, vol. 24(3), pages 1-21, December.
  21. Wouter Denhaan & Andrew T. Levin, 1996. "VARHAC Covariance Matrix Estimator (GAUSS)," QM&RBC Codes 64, Quantitative Macroeconomics & Real Business Cycles.
  22. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, March.
  23. D. S. Poskitt & M. O. Salau, 1995. "On The Relationship Between Generalized Least Squares And Gaussian Estimation Of Vector Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 617-645, November.
  24. George Kapetanios & Zacharias Psaradakis, 2007. "Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence," Working Papers 587, Queen Mary University of London, School of Economics and Finance.
  25. Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 431-447.
  26. repec:cdl:ucsdec:96-17 is not listed on IDEAS
  27. Georgios Chortareas & George Kapetanios, 2013. "How Puzzling Is The Ppp Puzzle? An Alternative Half‐Life Measure Of Convergence To Ppp," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 435-457, April.
  28. Yuanyuan Li & Dietmar Bauer, 2020. "Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size," Econometrics, MDPI, vol. 8(3), pages 1-28, September.
  29. Trapani, Lorenzo, 2013. "On bootstrapping panel factor series," Journal of Econometrics, Elsevier, vol. 172(1), pages 127-141.
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