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Citations for "Some Aspects of Asymptotic Theory with Applications to Time Series Models"

by Jeganathan, P.

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  1. 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.
  2. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
  3. Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers 2047, Harvard - Institute of Economic Research.
  4. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, vol. 30(01), pages 201-251, February.
  5. N. Lin & S. Lototsky, 2014. "Second-order continuous-time non-stationary Gaussian autoregression," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 19-49, April.
  6. 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.
  7. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
  8. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrating Regressions with ARMA Errors," RCER Working Papers 408, University of Rochester - Center for Economic Research (RCER).
  9. Elena Andreou & Bas J.M. Werker, 2010. "An Alternative Asymptotic Analysis of Residual-Based Statistics," University of Cyprus Working Papers in Economics 08-2010, University of Cyprus Department of Economics.
  10. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
  11. 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.
  12. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
  13. Werner Ploberger & Peter C.B. Phillips, 2010. "Optimal Estimation under Nonstandard Conditions," Cowles Foundation Discussion Papers 1748, Cowles Foundation for Research in Economics, Yale University.
  14. Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.
  15. Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation for Research in Economics, Yale University.
  16. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
  17. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  18. Gushchin, Alexander A. & Kuchler, Uwe, 1997. "Asymptotic inference for a linear stochastic differential equation with time delay," SFB 373 Discussion Papers 1997,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  19. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
  20. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
  21. Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
  22. Yu, Jialin, 2007. "Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan," Journal of Econometrics, Elsevier, vol. 141(2), pages 1245-1280, December.
  23. Hallin, M. & Akker, R. van den & Werker, B.J.M., 2012. "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Discussion Paper 2012-089, Tilburg University, Center for Economic Research.
  24. 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.
  25. Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print hal-00834424, HAL.
  26. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, 09.
  27. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics Working Papers 2011-26, University of Adelaide, School of Economics.
  28. Becheri, I.G., 2012. "Limiting experiments for panel-data and jump-diffusion models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5661649, Tilburg University.
  29. Saikkonen, Pentti & Sandberg , Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Research Discussion Papers 26/2013, Bank of Finland.
  30. Egorov, Alexei V. & Li, Haitao & Xu, Yuewu, 2003. "Maximum likelihood estimation of time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 114(1), pages 107-139, May.
  31. Ploberger, Werner, 2004. "A complete class of tests when the likelihood is locally asymptotically quadratic," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 67-94.
  32. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-353, November.
  33. Galtchouk, Leonid & Konev, Victor, 2010. "On asymptotic normality of sequential LS-estimate for unstable autoregressive process AR(2)," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2616-2636, November.
  34. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper 2006-44, Tilburg University, Center for Economic Research.
  35. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
  36. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
  37. Hwang, S.Y., 2013. "Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 127-134.