Estimation, Inference and Specification Analysis

Citations

Cited by:

1. Tindara Addabbo & Anna Maccagnan & Carmen Llorca-Rodríguez & Rosa García-Fernández, 2010. "Income distribution and the effect of the financial crisis on the Italian and Spanish labour markets," Department of Economics 0639, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
2. Terza Joseph V., 2020. "Regression-Based Causal Analysis from the Potential Outcomes Perspective," Journal of Econometric Methods, De Gruyter, vol. 9(1), pages 1-15, January.
3. Lee, Tae-Hwy & Long, Xiangdong, 2009. "Copula-based multivariate GARCH model with uncorrelated dependent errors," Journal of Econometrics, Elsevier, vol. 150(2), pages 207-218, June.
4. Cars Hommes & Kostas Mavromatis & Tolga Ozden & Mei Zhu, 2019. "Behavioral learning equilibria in the New Keynesian model," DNB Working Papers 654, Netherlands Central Bank, Research Department.
5. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
6. Mingie, James C. & Poudyal, Neelam C. & Bowker, J.M. & Mengak, Michael T. & Siry, Jacek P., 2017. "Big game hunter preferences for hunting club attributes: A choice experiment," Forest Policy and Economics, Elsevier, vol. 78(C), pages 98-106.
7. Jonas Dovern & Hans Manner, 2020. "Order‐invariant tests for proper calibration of multivariate density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
   • Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
   • Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
8. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties," Tinbergen Institute Discussion Papers 14-074/III, Tinbergen Institute.
9. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019. "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
   • Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper 2017-9, Federal Reserve Bank of Atlanta.
10. Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017. "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper 79623, University Library of Munich, Germany.
11. Lin, Wei & González-Rivera, Gloria, 2016. "Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 694-711.
    • Gloria Gonzalez-Rivera & Wei Lin, 2015. "Interval-valued Time Series Models: Estimation based on Order Statistics. Exploring the Agriculture Marketing Service Data," Working Papers 201505, University of California at Riverside, Department of Economics.
12. Shea, Paul, 2015. "Red herrings and revelations: does learning about a new variable worsen forecasts?," Economic Modelling, Elsevier, vol. 49(C), pages 395-406.
13. Massimiliano Marcellino & Oscar Jorda, "undated". "Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data," Working Papers 164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 2, University of California, Davis, Department of Economics.
    • Oscar Jorda & Massimiliano Marcellino, "undated". "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Department of Economics 00-02, California Davis - Department of Economics.
14. Binder, Michael & Hsiao, Cheng & Pesaran, M. Hashem, 2005. "Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration," Econometric Theory, Cambridge University Press, vol. 21(4), pages 795-837, August.
    • Michael Binder & Cheng Hsiao & M. Hashem Pesaran, 2000. "Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration," Working Papers 0005, Banco de España.
    • Michael Binder, Cheng Hsiao, and M. Hashem Pesaran, 2001. "Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration," Computing in Economics and Finance 2001 36, Society for Computational Economics.
    • Binder, M. & Hsaio, C. & Pesaran, M.H., 2000. "Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration," Cambridge Working Papers in Economics 0003, Faculty of Economics, University of Cambridge.
    • Michael Binder & Cheng Hsiao & M. Hashem Pesaran, 2000. "Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration," CESifo Working Paper Series 374, CESifo.
15. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
16. Harald Badinger & Peter Egger, 2015. "Fixed Effects and Random Effects Estimation of Higher-order Spatial Autoregressive Models with Spatial Autoregressive and Heteroscedastic Disturbances," Spatial Economic Analysis, Taylor & Francis Journals, vol. 10(1), pages 11-35, March.
    • Harald Badinger & Peter Egger, 2014. "Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances," CESifo Working Paper Series 4847, CESifo.
    • Harald Badinger & Peter Egger, 2014. "Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances," Department of Economics Working Papers wuwp173, Vienna University of Economics and Business, Department of Economics.
    • Badinger, Harald & Egger, Peter, 2014. "Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances," Department of Economics Working Paper Series 173, WU Vienna University of Economics and Business.
17. Walter Beckert, 2015. "Choice in the Presence of Experts," Birkbeck Working Papers in Economics and Finance 1503, Birkbeck, Department of Economics, Mathematics & Statistics.
18. Zhenlin Yang, 2006. "On Joint Modelling and Testing for Local and Global Spatial Externalities," Development Economics Working Papers 22487, East Asian Bureau of Economic Research.
    • Zhenlin Yang, 2006. "On Joint Modelling and Testing for Local and Global Spatial Externalities," Working Papers 25-2006, Singapore Management University, School of Economics.
19. Guse, Eran A., 2008. "Learning in a misspecified multivariate self-referential linear stochastic model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1517-1542, May.
    • Guse, E., 2005. "Learning in a Misspecified Multivariate Self-referential Linear Stochastic Model," Cambridge Working Papers in Economics 0548, Faculty of Economics, University of Cambridge.
    • Eran Guse, 2007. "Learning in a Misspecified Multivariate Self-Referential Linear Stochastic Model," Money Macro and Finance (MMF) Research Group Conference 2006 71, Money Macro and Finance Research Group.
20. Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt, 2019. "Testing Forecast Rationality for Measures of Central Tendency," Papers 1910.12545, arXiv.org, revised Jun 2023.
    • Dimitriadis, Timo & Patton, Andrew J. & Schmidt, Patrick W., 2020. "Testing forecast rationality for measures of central tendency," Hohenheim Discussion Papers in Business, Economics and Social Sciences 12-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
21. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
22. Günter Coenen, 2005. "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Empirical Economics, Springer, vol. 30(1), pages 65-75, January.
    • Coenen, Günter, 2000. "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Working Paper Series 9, European Central Bank.
23. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    • Jin Seo Cho & Halbert White, 2009. "Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models," Discussion Paper Series 0912, Institute of Economic Research, Korea University.
24. Wan, Alan T.K. & Zhang, Xinyu & Wang, Shouyang, 2014. "Frequentist model averaging for multinomial and ordered logit models," International Journal of Forecasting, Elsevier, vol. 30(1), pages 118-128.
25. Tindara Addabbo & Rosa García-Fernández & Carmen Llorca-Rodríguez & Anna Maccagnan, 2011. "The impact of the crisis on unemployment and household income in Italy and Spain," Working Papers 235, ECINEQ, Society for the Study of Economic Inequality.
26. Bartalotti Otávio, 2019. "Regression Discontinuity and Heteroskedasticity Robust Standard Errors: Evidence from a Fixed-Bandwidth Approximation," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-26, January.
    • Bartalotti, Otávio, 2018. "Regression Discontinuity and Heteroskedasticity Robust Standard Errors: Evidence from a Fixed-Bandwidth Approximation," IZA Discussion Papers 11560, Institute of Labor Economics (IZA).
    • Bartalotti, Otávio, 2018. "Regression Discontinuity and Heteroskedasticity Robust Standard Errors: Evidence from a Fixed-Bandwidth Approximation," ISU General Staff Papers 201802010800001586, Iowa State University, Department of Economics.
27. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
28. Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
29. Gourieroux, C. & Monfort, A., 2021. "Model risk management: Valuation and governance of pseudo-models," Econometrics and Statistics, Elsevier, vol. 17(C), pages 1-22.
30. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    • Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
    • Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
    • Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
31. Yang, Zhenlin, 2015. "A general method for third-order bias and variance corrections on a nonlinear estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 178-200.
32. Yuzhi Cai & Julian Stander, 2020. "The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 395-424.
    • Yuzhi Cai & Julian Stander, 2018. "The threshold GARCH model: estimation and density forecasting for financial returns," Working Papers 2018-23, Swansea University, School of Management.
33. Franses, Philip Hans & Kunst, Robert M., 2007. "Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?," Economic Modelling, Elsevier, vol. 24(6), pages 954-968, November.
34. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
    • Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
35. Marcelo Fernandes & Marcelo C. Medeiros & Alvaro Veiga, 2016. "A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1221-1250, August.
36. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
    • Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
    • Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003. "Common factors in conditional distributions for Bivariate time series," LSE Research Online Documents on Economics 24854, London School of Economics and Political Science, LSE Library.
37. Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory," Journal of Econometrics, Elsevier, vol. 177(1), pages 47-59.
    • Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth Minimum Distance Estimation and Testing with Conditional Estimating Equations: Uniform in Bandwidth Theory," TSE Working Papers 13-404, Toulouse School of Economics (TSE).
38. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2018. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
    • Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2015. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," FRB Atlanta Working Paper 2015-9, Federal Reserve Bank of Atlanta.
39. Kruiniger, Hugo, 2013. "Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions," Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
    • Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary University of London, School of Economics and Finance.
40. Danny Pfeffermann & Arie Preminger, 2021. "Estimation Under Mode Effects and Proxy Surveys, Accounting for Non-ignorable Nonresponse," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 779-813, August.
41. James W. Taylor, 2005. "Generating Volatility Forecasts from Value at Risk Estimates," Management Science, INFORMS, vol. 51(5), pages 712-725, May.
42. Filipe, Sara Ferreira & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Forecasting distress in European SME portfolios," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 112-135.
    • Michala, Dimitra & Grammatikos, Theoharry & Ferreira Filipe, Sara, 2013. "Forecasting distress in European SME portfolios," EIF Working Paper Series 2013/17, European Investment Fund (EIF).
    • Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Forecasting Distress in European SME Portfolios," MPRA Paper 53572, University Library of Munich, Germany.
43. Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2009. "Copula-based nonlinear quantile autoregression," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 50-67, January.
    • Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Cowles Foundation Discussion Papers 1679, Cowles Foundation for Research in Economics, Yale University.
    • Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Boston College Working Papers in Economics 691, Boston College Department of Economics.
    • Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-based nonlinear quantile autoregression," CeMMAP working papers CWP27/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
44. Su, Liangjun & Yang, Zhenlin, 2015. "QML estimation of dynamic panel data models with spatial errors," Journal of Econometrics, Elsevier, vol. 185(1), pages 230-258.
45. Gian Piero Aielli, 2013. "Dynamic Conditional Correlation: On Properties and Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 282-299, July.
46. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
    • Raffaella Giacomini, 2012. "Incorporating theoretical restrictions into forecasting by projection methods," 2012 Meeting Papers 548, Society for Economic Dynamics.
47. Beckert, Walter, 2018. "Choice in the presence of experts: The role of general practitioners in patients’ hospital choice," Journal of Health Economics, Elsevier, vol. 60(C), pages 98-117.
    • Walter Beckert & Kate Collyer, 2016. "Choice in the presence of experts: the role of general practitioners in patients' hospital choice," IFS Working Papers W16/21, Institute for Fiscal Studies.
48. Abadie, Alberto & Gay, Sebastien, 2006. "The impact of presumed consent legislation on cadaveric organ donation: A cross-country study," Journal of Health Economics, Elsevier, vol. 25(4), pages 599-620, July.
    • Alberto Abadie & Sebastien Gay, 2004. "The Impact of Presumed Consent Legislation on Cadaveric Organ Donation: A Cross Country Study," NBER Working Papers 10604, National Bureau of Economic Research, Inc.
    • Abadie, Alberto & Gay, Sebastien, 2004. "The Impact of Presumed Consent Legislation on Cadaveric Organ Donation: A Cross Country Study," Working Paper Series rwp04-024, Harvard University, John F. Kennedy School of Government.
49. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
    • Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," Working Papers 12-09, University of Pennsylvania, Wharton School, Weiss Center.
    • Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," NBER Working Papers 18078, National Bureau of Economic Research, Inc.
    • Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," PIER Working Paper Archive 12-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
50. Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2022. "Asymmetric Network Connectedness of Fears," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1304-1316, November.
    • Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2018. "Asymmetric Network Connectedness of Fears," Papers 1810.12022, arXiv.org, revised Oct 2020.
    • Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
51. Kawakatsu, Hiroyuki, 2007. "Specification and estimation of discrete time quadratic stochastic volatility models," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 424-442, June.
52. Oh, Dong Hwan & Patton, Andrew J., 2016. "High-dimensional copula-based distributions with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 349-366.
    • Dong Hwan Oh & Andrew J. Patton, 2015. "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-50, Board of Governors of the Federal Reserve System (U.S.).
53. Christopher F. Parmeter, 2018. "Estimation of the two-tiered stochastic frontier model with the scaling property," Journal of Productivity Analysis, Springer, vol. 49(1), pages 37-47, February.
    • Christopher F. Parmeter, 2017. "Estimation of the Two-Tiered Stochastic Frontier Model with the Scaling Property," Working Papers 2017-06, University of Miami, Department of Economics.
54. Magnus, Jan R., 2007. "The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 23(5), pages 1022-1032, October.
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55. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO.
56. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
57. Newell, Richard G. & Prest, Brian C. & Sexton, Steven E., 2021. "The GDP-Temperature relationship: Implications for climate change damages," Journal of Environmental Economics and Management, Elsevier, vol. 108(C).
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58. West, Kenneth D., 2001. "Encompassing tests when no model is encompassing," Journal of Econometrics, Elsevier, vol. 105(1), pages 287-308, November.
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59. Xiaodong Liu, 2020. "GMM identification and estimation of peer effects in a system of simultaneous equations," Journal of Spatial Econometrics, Springer, vol. 1(1), pages 1-27, December.
60. Peter Halpin & Conor Dolan & Raoul Grasman & Paul Boeck, 2011. "On the Relation Between the Linear Factor Model and the Latent Profile Model," Psychometrika, Springer;The Psychometric Society, vol. 76(4), pages 564-583, October.
61. McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel, 2008. "A neural network demand system with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 147(2), pages 359-371, December.
62. Michael T. Kiley, 2007. "A Quantitative Comparison of Sticky-Price and Sticky-Information Models of Price Setting," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 101-125, February.
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    • Michael T. Kiley, 2007. "A Quantitative Comparison of Sticky‐Price and Sticky‐Information Models of Price Setting," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 101-125, February.
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63. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015. "VAR for VaR: Measuring tail dependence using multivariate regression quantiles," Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
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64. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
65. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.
66. Zhu, Xuening & Huang, Danyang & Pan, Rui & Wang, Hansheng, 2020. "Multivariate spatial autoregressive model for large scale social networks," Journal of Econometrics, Elsevier, vol. 215(2), pages 591-606.
67. Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012. "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3153-3181.
68. C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
    • Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
    • Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.
69. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February.
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70. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
    • Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences.
71. Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
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    • Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    • Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
    • Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
72. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
73. Tinsley, P A, 2002. "Rational Error Correction," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 197-225, April.
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