Pages that link to "Item:Q4319456"
From MaRDI portal
The following pages link to Automatic Lag Selection in Covariance Matrix Estimation (Q4319456):
Displaying 50 items.
- \(k\)-nearest neighbor estimation of inverse-density-weighted expectations with dependent data (Q2909248) (← links)
- Goodness-of-fit based on downsampling with applications to linear drift diffusions (Q2911667) (← links)
- PORTMANTEAU AUTOCORRELATION TESTS UNDER <i>Q</i> -DEPENDENCE AND HETEROSKEDASTICITY (Q2936570) (← links)
- COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE (Q2976210) (← links)
- Improving robust model selection tests for dynamic models (Q3004021) (← links)
- Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices (Q3019741) (← links)
- Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment (Q3102865) (← links)
- POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS (Q3108569) (← links)
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models (Q3161673) (← links)
- Comparing ARMA Processes with Roots of Modulus 1 and Polynomial Regression (Q3167826) (← links)
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION (Q3181939) (← links)
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS (Q3377446) (← links)
- Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models (Q3389597) (← links)
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments (Q3394106) (← links)
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION (Q3409065) (← links)
- OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION (Q3453249) (← links)
- TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS (Q3453252) (← links)
- Factor analysis in a model with rational expectations (Q3521274) (← links)
- Simulation experiments on the performance of structural change tests in cointegration (Q3527722) (← links)
- Testing for a unit root under errors with just barely infinite variance (Q3552865) (← links)
- A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION (Q3577699) (← links)
- TESTING FOR LONG MEMORY (Q3632375) (← links)
- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION (Q3632424) (← links)
- WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS (Q3637883) (← links)
- Optimal Predictive Tests (Q4434415) (← links)
- Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison (Q4434416) (← links)
- Estimator Choice and Fisher's Paradox: A Monte Carlo Study (Q4451550) (← links)
- Recent developments in bootstrapping time series (Q4493472) (← links)
- Decision trees unearth return sign predictability in the S&P 500 (Q4619522) (← links)
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (Q4653563) (← links)
- Bootstrap Methods for Time Series (Q4832060) (← links)
- FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES (Q4933587) (← links)
- On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators (Q4976477) (← links)
- THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS (Q4979498) (← links)
- Indirect inference for time series using the empirical characteristic function and control variates (Q5012858) (← links)
- A lattice approach for option pricing under a regime-switching GARCH-jump model (Q5051199) (← links)
- JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS (Q5051520) (← links)
- Asymptotic behavior of cross spectral density estimator at the zero frequency in the presence of degeneracy (Q5079276) (← links)
- Lessons from a Decade of IPS and LLC (Q5080584) (← links)
- A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test (Q5107751) (← links)
- Lag order selection for an optimal autoregressive covariance matrix estimator (Q5123569) (← links)
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (Q5199496) (← links)
- Testing for Trends in High-Dimensional Time Series (Q5231513) (← links)
- A Quantile‐based Test for Symmetry of Weakly Dependent Processes (Q5256821) (← links)
- Efficient Penalized Estimation for Linear Regression Model (Q5265841) (← links)
- Detecting at‐Most‐m Changes in Linear Regression Models (Q5283411) (← links)
- A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series (Q5283412) (← links)
- The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study (Q5291758) (← links)
- TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS (Q5314885) (← links)
- STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA (Q5397670) (← links)
