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Citations for "Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes"

by Wooldridge, Jeffrey M. & White, Halbert

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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 hal-00834423, HAL.
  2. Yoichi Arai, 2004. "Testing for Linearity in Regressions with I (1) processes," CARF F-Series CARF-F-014, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  3. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc.
  4. Sakata, Shinichi & White, Halbert, 2001. "S-estimation of nonlinear regression models with dependent and heterogeneous observations," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 5-72, July.
  5. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  6. Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
  7. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
  8. repec:ner:tilbur:urn:nbn:nl:ui:12-5241457 is not listed on IDEAS
  9. Andrea Carriero & Raffaella Giacomini, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Post-Print peer-00844809, HAL.
  10. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  11. Chen, Mei-Yuan & Kuan, Chung-Ming, 2001. "Testing parameter constancy in models with infinite variance errors," Economics Letters, Elsevier, vol. 72(1), pages 11-18, July.
  12. Barbara Rossi & Raffaella Giacomini, 2010. "Model Comparisons in Unstable Environments," Working Papers 10-29, Duke University, Department of Economics.
  13. Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series 0214, European Central Bank.
  14. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
  15. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
  16. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  17. Rossi, Barbara & Sekhposyan, Tatevik, 2011. "Understanding models' forecasting performance," Journal of Econometrics, Elsevier, vol. 164(1), pages 158-172, September.
  18. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
  19. Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, School of Economics and Management, University of Aarhus.
  20. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics.
  21. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
  22. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 8/13, Monash University, Department of Econometrics and Business Statistics.
  23. Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
  24. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  25. He, Changli & Sandberg, Rickard, 2005. "Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change," SSE/EFI Working Paper Series in Economics and Finance 579, Stockholm School of Economics, revised 08 Feb 2005.
  26. Erich Battistin & Richard Blundell & Arthur Lewbel, 2009. "Why Is Consumption More Log Normal than Income? Gibrat's Law Revisited," Journal of Political Economy, University of Chicago Press, vol. 117(6), pages 1140-1154, December.
  27. Yikang, Li, 1998. "Low-pass filtered least squares estimators of cointegrating vectors," Journal of Econometrics, Elsevier, vol. 85(2), pages 289-316, August.
  28. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  29. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
  30. Patton, Andrew J & Timmermann, Allan G, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers 8194, C.E.P.R. Discussion Papers.
  31. Sun, Yiguo & Hsiao, Cheng & Li, Qi, 2011. "Measuring correlations of integrated but not cointegrated variables: A semiparametric approach," Journal of Econometrics, Elsevier, vol. 164(2), pages 252-267, October.
  32. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  33. Jonathan Hill, 2006. "On Functional Central Limit Theorems for Dependent, Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators," Working Papers 0607, Florida International University, Department of Economics.
  34. Yoon-Jae Whang & Donald W.K. Andrews, 1991. "Tests of Specification for Parametric and Semiparametric Models," Cowles Foundation Discussion Papers 968, Cowles Foundation for Research in Economics, Yale University.
  35. Oberhofer, Walter & Haupt, Harry, 2003. "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems 388, University of Regensburg, Department of Economics.
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