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2001 | Semiparametric Fractional Cointegration Analysis RePEc:cep:stiecm:/2001/420 [Citation Analysis] | 27 |
2003 | Estimation of Semiparametric Models when the Criterion Function is not Smooth RePEc:cep:stiecm:/2003/450 [Citation Analysis] | 27 |
2000 | The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions RePEc:cep:stiecm:/2000/386 [Citation Analysis] | 26 |
2000 | Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) RePEc:cep:stiecm:/2000/391 [Citation Analysis] | 21 |
2001 | Narrow-Band Analysis of Nonstationary Processes RePEc:cep:stiecm:/2001/421 [Citation Analysis] | 19 |
1998 | Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.) RePEc:cep:stiecm:/1998/359 [Citation Analysis] | 16 |
1997 | The Method of Simulated Scores for the Estimation of LDV Models RePEc:cep:stiecm:/1997/328 [Citation Analysis] | 16 |
2001 | The Memory of Stochastic Volatility Models RePEc:cep:stiecm:/2001/410 [Citation Analysis] | 13 |
1997 | Some Practical Issues in Maximum Simulated Likelihood RePEc:cep:stiecm:/1997/340 [Citation Analysis] | 13 |
1998 | Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.) RePEc:cep:stiecm:/1998/365 [Citation Analysis] | 11 |
2001 | Gaussian Estimation of Parametric Spectral Density with Unknown Pole RePEc:cep:stiecm:/2001/424 [Citation Analysis] | 10 |
2005 | The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives RePEc:cep:stiecm:/2005/483 [Citation Analysis] | 9 |
2006 | Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError RePEc:cep:stiecm:/2006/509 [Citation Analysis] | 8 |
2003 | Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods RePEc:cep:stiecm:/2003/453 [Citation Analysis] | 8 |
1998 | Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.) RePEc:cep:stiecm:/1998/357 [Citation Analysis] | 8 |
2005 | A Parametric Bootstrap Test for Cycles RePEc:cep:stiecm:/2005/486 [Citation Analysis] | 8 |
2000 | Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income RePEc:cep:stiecm:/2000/402 [Citation Analysis] | 7 |
2005 | Distribution Free Goodness-of-Fit Tests for Linear Processes RePEc:cep:stiecm:/2005/482 [Citation Analysis] | 7 |
2000 | The Averaged Periodogram for Nonstationary Vector Time Series RePEc:cep:stiecm:/2000/408 [Citation Analysis] | 7 |
2002 | Consistent Testing for Stochastic Dominance: A Subsampling Approach RePEc:cep:stiecm:/2002/433 [Citation Analysis] | 6 |
2001 | Determination of Cointegrating Rank in Fractional Systems RePEc:cep:stiecm:/2001/423 [Citation Analysis] | 6 |
2003 | Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators RePEc:cep:stiecm:/2003/451 [Citation Analysis] | 6 |
2000 | Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems RePEc:cep:stiecm:/2000/400 [Citation Analysis] | 5 |
2000 | Whittle Estimation of ARCH Models RePEc:cep:stiecm:/2000/406 [Citation Analysis] | 3 |
2003 | Cointegration in Fractional Systems with Unkown Integration Orders RePEc:cep:stiecm:/2003/449 [Citation Analysis] | 3 |
2002 | Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory RePEc:cep:stiecm:/2002/438 [Citation Analysis] | 3 |
1997 | Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in Journal of Time Series Analysis, 18 (1997), pp.49-60.) RePEc:cep:stiecm:/1997/323 [Citation Analysis] | 3 |
2003 | A Quantilogram Approach to Evaluating Directional Predictability RePEc:cep:stiecm:/2003/463 [Citation Analysis] | 3 |
2003 | LARCH, Leverage and Long Memory RePEc:cep:stiecm:/2003/460 [Citation Analysis] | 2 |
2004 | Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series RePEc:cep:stiecm:/2004/480 [Citation Analysis] | 2 |
2007 | Inference about Realized Volatility using Infill Subsampling RePEc:cep:stiecm:/2007/523 [Citation Analysis] | 2 |
2003 | Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos RePEc:cep:stiecm:/2003/455 [Citation Analysis] | 2 |
2001 | Parametric Estimation under Long-Range Dependence RePEc:cep:stiecm:/2001/416 [Citation Analysis] | 2 |
2009 | An Alternative Way of ComputingEfficient Instrumental VariableEstimators RePEc:cep:stiecm:/2009/536 [Citation Analysis] | 2 |
2000 | On Intercept Estimation in the Sample Selection Model RePEc:cep:stiecm:/2000/380 [Citation Analysis] | 2 |
2006 | Consistent estimation of the memory parameterfor nonlinear time series RePEc:cep:stiecm:/2006/497 [Citation Analysis] | 2 |
2006 | Consistent estimation of the memory parameterfor nonlinear time series RePEc:cep:stiecm:/06/497 [Citation Analysis] | 2 |
2004 | ROBUST COVARIANCE MATRIX ESTIMATION: HAC Estimates with Long Memory/Antipersistence Correction RePEc:cep:stiecm:/2004/471 [Citation Analysis] | 2 |
2005 | Modified Whittle Estimation of Multilateral Models on a Lattice RePEc:cep:stiecm:/2005/492 [Citation Analysis] | 2 |
1998 | Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.) RePEc:cep:stiecm:/1998/354 [Citation Analysis] | 2 |
2005 | Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole RePEc:cep:stiecm:/2005/481 [Citation Analysis] | 2 |
2007 | Multiple Local Whittle Estimation in StationarySystems RePEc:cep:stiecm:/2007/525 [Citation Analysis] | 1 |
1997 | Modelling Nonlinearity and Long Memory in Time Series - (Now published in Nonlinear Dynamics and Time Series, C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.`61-170.) RePEc:cep:stiecm:/1997/319 [Citation Analysis] | 1 |
2002 | More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors RePEc:cep:stiecm:/2002/435 [Citation Analysis] | 1 |
1998 | Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.) RePEc:cep:stiecm:/1998/360 [Citation Analysis] | 1 |
2005 | Testable Implications of Forecast Optimality RePEc:cep:stiecm:/2005/485 [Citation Analysis] | 1 |
2000 | Simulated Asymptotic Least Squares Theory RePEc:cep:stiecm:/2000/396 [Citation Analysis] | 1 |
2009 | Efficient Estimation of a Multivariate Multiplicative Volatility Model RePEc:cep:stiecm:/2009/541 [Citation Analysis] | 1 |
1997 | Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices RePEc:cep:stiecm:/1997/329 [Citation Analysis] | 1 |
2000 | Stationarity and Memory of ARCH Models RePEc:cep:stiecm:/2000/383 [Citation Analysis] | 1 |