IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

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

by Jeganathan, P.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
  2. 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.
  3. Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. 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.
  5. 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.
  6. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
  7. 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.
  8. 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.
  9. 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.
  10. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.
  11. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.
  12. 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.
  13. repec:bof:bofrdp:2013_026 is not listed on IDEAS
  14. 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.
  15. 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.
  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. 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.
  18. Becheri, I.G., 2012. "Limiting experiments for panel-data and jump-diffusion models," Other publications TiSEM 7e53f6cf-fab1-4f86-9e5d-b, Tilburg University, School of Economics and Management.
  19. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
  20. 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.
  21. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
  22. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.
  23. Marc Hallin & Bas Werker, 2003. "Semiparametric efficiency, distribution-freeness, and invariance," ULB Institutional Repository 2013/2119, ULB -- Universite Libre de Bruxelles.
  24. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
  25. 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.
  26. Drost, F.C. & Klaassen, C.A.J., 1997. "Efficient estimation in semiparametric GARCH models," Other publications TiSEM c7de3f1c-c456-433e-a1c6-2, Tilburg University, School of Economics and Management.
  27. 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.
  28. Andreou, Elena & Werker, Bas J M, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
  29. 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.
  30. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
  31. 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.
  32. 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.
  33. Pentti Saikkonen & Rickard Sandberg, 2016. "Testing for a Unit Root in Noncausal Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 99-125, 01.
  34. Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, Department of Economics and Business Economics, Aarhus University.
  35. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper 2006-44, Tilburg University, Center for Economic Research.
  36. 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.
  37. 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.
  38. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
  39. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
  40. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  41. 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.
  42. 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.
  43. Dominique Dehay, 2015. "Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes," Statistical Inference for Stochastic Processes, Springer, vol. 18(1), pages 69-98, April.
  44. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
  45. repec:hal:journl:peer-00834424 is not listed on IDEAS
  46. 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.
  47. 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.
  48. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.