Inference for the VEC(1) model with a heavy-tailed linear process errors*

Inference in heavy-tailed non-stationary multivariate time series*

(2022) Matteo Barigozzi et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Whittle parameter estimation for vector ARMA models with heavy-tailed noises

(2021) Rui She et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

Automated Estimation of Heavy-Tailed Vector Error Correction Models

(2021) Feifei Guo et al.   STATISTICA SINICA

Inference in heavy-tailed vector error correction models

(2019) Rui She et al.   JOURNAL OF ECONOMETRICS

Identifying Cointegration by Eigenanalysis

(2018) Rongmao Zhang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

A New Class of Bivariate Threshold Cointegration Models

(2017) Biqing Cai et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

(2015) Giuseppe Cavaliere et al.   ECONOMETRICA

AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS

(2015) Zhipeng Liao et al.   ECONOMETRIC THEORY

CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS

(2015) Anders Bredahl Kock   ECONOMETRIC THEORY

ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES

(2014) Rongmao Zhang et al.   ECONOMETRIC THEORY

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

(2013) Dennis Kristensen et al.   ECONOMETRIC THEORY

Subset ARMA selection via the adaptive Lasso

(2013) Kung-Sik Chan et al.   Statistics and Its Interface

A specification test for nonlinear nonstationary models

(2012) Qiying Wang et al.   ANNALS OF STATISTICS