Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

JOURNAL ARTICLE published 18 November 2008 in Econometric Reviews

Authors: Changli He | Timo Teräsvirta | Andrés González

Two-Stage Least Squares Estimation of Spatial Autoregressive Models with Endogenous Regressors and Many Instruments

JOURNAL ARTICLE published May 2013 in Econometric Reviews

Authors: Xiaodong Liu | Lung-Fei Lee

LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS

JOURNAL ARTICLE published August 1998 in Econometric Theory

Authors: Yuichi Kitamura

GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors

JOURNAL ARTICLE published 3 July 2022 in Econometric Reviews

Research funded by National Natural Science Foundation of China (71973030,71833004) | National Natural Science Foundation of China (72103122)

Authors: Fei Jin | Yuqin Wang

Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models

JOURNAL ARTICLE published 11 November 2009 in Econometric Reviews

Authors: Kien C. Tran | Efthymios G. Tsionas

Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing

JOURNAL ARTICLE published 26 November 2021 in Econometric Reviews

Authors: Yonghui Zhang | Qiankun Zhou

Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models

JOURNAL ARTICLE published 22 May 2015 in Econometric Reviews

Authors: Zongwu Cai | Linna Chen | Ying Fang

Estimation of semi-varying coefficient models with nonstationary regressors

JOURNAL ARTICLE published 16 March 2017 in Econometric Reviews

Authors: Kunpeng Li | Degui Li | Zhongwen Liang | Cheng Hsiao

ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES

JOURNAL ARTICLE published August 2015 in Econometric Theory

Authors: Haiqiang Chen | Ying Fang | Yingxing Li

SEMIPARAMETRIC ESTIMATION OF RANDOM COEFFICIENTS IN STRUCTURAL ECONOMIC MODELS

JOURNAL ARTICLE published December 2017 in Econometric Theory

Authors: Stefan Hoderlein | Lars Nesheim | Anna Simoni

M-ESTIMATION IN GARCH MODELS

JOURNAL ARTICLE published December 2008 in Econometric Theory

Authors: Kanchan Mukherjee

On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors

JOURNAL ARTICLE published May 2013 in Econometric Reviews

Authors: David M. Drukker | Peter Egger | Ingmar R. Prucha

Nonparametric estimation of marginal effects in regression-spline random effects models

JOURNAL ARTICLE published 13 September 2020 in Econometric Reviews

Authors: Shujie Ma | Jeffrey S. Racine | Aman Ullah

SPECIFICATION AND ESTIMATION OF SEMIPARAMETRIC MULTIPLE-INDEX MODELS

JOURNAL ARTICLE published December 2008 in Econometric Theory

Authors: Bas Donkers | Marcia Schafgans

A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model

JOURNAL ARTICLE published 8 August 2016 in Econometric Reviews

Authors: Marcelo Fernandes | Marcelo C. Medeiros | Alvaro Veiga

ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS

JOURNAL ARTICLE published December 2008 in Econometric Theory

Authors: F. Comte | J. Dedecker | M.L. Taupin

Semiparametric spatial autoregressive models with nonlinear endogeneity

JOURNAL ARTICLE published 9 May 2024 in Econometric Reviews

Authors: Yiguo Sun

Autoregressive Distributed Lag Models and Cointegration

BOOK CHAPTER published in Modern Econometric Analysis

Authors: Uwe Hassler | Jürgen Wolters

Estimation of an Error in Variable Autoregressive Model

JOURNAL ARTICLE published August 1989 in Econometric Theory

Authors: Alain Trognon

GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS

JOURNAL ARTICLE published December 2008 in Econometric Theory

Authors: Pavel Čížek