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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. 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.
  2. 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.
  3. Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "X-Differencing and Dynamic Panel Model Estimation," Cowles Foundation Discussion Papers 1747, Cowles Foundation for Research in Economics, Yale University.
  4. Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
  5. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
  6. Drost, F.C. & Klaassen, C.A.J., 1997. "Efficient estimation in semiparametric GARCH models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-74146, Tilburg University.
  7. Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print peer-00834424, HAL.
  8. 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.
  9. 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.
  10. Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
  11. 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.
  12. Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," NBER Technical Working Papers 0303, National Bureau of Economic Research, Inc.
  13. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation for Research in Economics, Yale University.
  14. 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.
  15. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrating Regressions with ARMA Errors," RCER Working Papers 408, University of Rochester - Center for Economic Research (RCER).
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. Saikkonen, Pentti & Sandberg , Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Research Discussion Papers 26/2013, Bank of Finland.
  28. 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.
  29. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994. "Adaptive estimation in time-series models," Discussion Paper 1994-88, Tilburg University, Center for Economic Research.
  30. Hallin, M. & Vermandele, C. & Werker, B.J.M., 2004. "Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models," Discussion Paper 2004-11, Tilburg University, Center for Economic Research.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.