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Citations for "Central Limit Theorems for Dependent Heterogeneous Random Variables"

by de Jong, Robert M.

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  1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print peer-00834423, HAL.
  2. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
  3. repec:fiu:wpaper:0607 is not listed on IDEAS
  4. G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print peer-00768190, HAL.
  5. Clark, Todd E. & McCracken, Michael W., 2012. "In-sample tests of predictive ability: A new approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 1-14.
  6. Hill, Jonathan B., 2010. "On Tail Index Estimation For Dependent, Heterogeneous Data," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1398-1436, October.
  7. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
  8. Donald W. K. Andrews & Patrik Guggenberger, 2014. "Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models," Cowles Foundation Discussion Papers 1977, Cowles Foundation for Research in Economics, Yale University.
  9. Jenish, Nazgul & Prucha, Ingmar R., 2009. "Central limit theorems and uniform laws of large numbers for arrays of random fields," Journal of Econometrics, Elsevier, vol. 150(1), pages 86-98, May.
  10. Calhoun, Gray, 2014. "Block Bootstrap Consistency Under Weak Assumptions," Staff General Research Papers 34313, Iowa State University, Department of Economics.
  11. repec:fiu:wpaper:0512 is not listed on IDEAS
  12. Shin S. Ikeda, 2013. "A Note on the Mixingale Limit Theorem by McLeish (1977)," GRIPS Discussion Papers 13-11, National Graduate Institute for Policy Studies.
  13. Robert M. de Jong & Tiemen Woutersen, 2007. "Dynamic time series binary choice," Economics Working Paper Archive 538, The Johns Hopkins University,Department of Economics.
  14. Jenish, Nazgul & Prucha, Ingmar R., 2012. "On spatial processes and asymptotic inference under near-epoch dependence," Journal of Econometrics, Elsevier, vol. 170(1), pages 178-190.
  15. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers 32462, Iowa State University, Department of Economics.
  16. Qiu, Jin & Lin, Zhengyan, 2006. "The variance of partial sums of strong near-epoch dependent variables," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1845-1854, November.
  17. Davidson, James, 2002. "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 243-269, February.
  18. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
  19. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
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