| Stock return predictability : a factor-augmented predictive regression system with shrinkage method
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2018 |
Ohno, Saburo |
| A stochastic recurrence equations approach for score driven correlation models
|
2018 |
Blasques, Francisco |
| Selecting the regularization parameters in high-dimensional panel data models : consistency and efficiency
|
2018 |
Ando, Tomohiro |
| The estimation of multidimensional fixed effects panel data models
|
2018 |
Balazsi, Laszlo |
| The asymptotic covariance matrix of the QMLE in ARMA models
|
2018 |
Bao, Yong |
| Asymptotics and bootstrap for random-effects panel data transformation models
|
2018 |
Su, Liangjun |
| GMM estimation of a realized stochastic volatility model : a Monte Carlo study
|
2018 |
Chaussé, Pierre |
| Maximum simulated likelihood estimation of the panel sample selection model
|
2018 |
Lai, Hung-Pin |
| GMM inference in spatial autoregressive models
|
2018 |
Taṣpınar, Süleyman |
| The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
|
2018 |
Paparoditis, Efstathios |
| Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
|
2018 |
Arsova, Antonia |
| Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
|
2018 |
Lin, Eric S. |
| Trends cycles and seasons : econometric methods of signal extraction
|
2018 |
Pollock, David Stephen G. |
| A Laplace stochastic frontier model
|
2018 |
Horrace, William C. |
| Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach
|
2018 |
Shintani, Mototsugu |
| Estimation of factor-augmented panel regressions with weakly influential factors
|
2018 |
Reese, Simon |
| Bootstrap tests for time varying cointegration
|
2018 |
Martins, Luís Filipe |
| Sample path properties of an explosive double autoregressive model
|
2018 |
Liu, Feng |
| Testing for sphericity in a two-way error components panel data model
|
2018 |
Mao, Guangyu |
| Functional-coefficient cointegration models in the presence of deterministic trends
|
2018 |
Hirukawa, Masayuki |
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