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Quasi-maximum likelihood estimation of stochastic volatility models
Simplified conditions for noncausality between vectors in multivariate ARMA models
Encompassing in stationary linear dynamic models
Bias assessment and reduction in linear error-correction models
Polynomial cointegration estimation and test
Deciding between I(1) and I(0)
Direct cointegration testing in error correction models
The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
A multivariate approach to modeling univariate seasonal time series
单变量季节时间序列建模的多变量方法
A seasonal time series can be represented by a vector autoregressive model for the annual series containing the seasonal observations. This model allows for periodically varying coefficients. When the vector elements are integrated, the maximum likelihood cointegration method can be used to check for the presence of, possibly restricted, cointegration relations between these annual series. In this paper it is shown that this application generalizes a test procedure for…
Testing for an unstable root in conditional and structural error correction models
Identification of the long-run and the short-run structure an application to the ISLM model
长期与短期结构的识别：ISLM 模型应用
In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm…
Structure and dynamics in econometrics
Local asymptotic distribution related to the AR(1) model with dependent errors
Estimation of partially nonstationary vector autoregressive models with seasonal behavior
Bayesian semiparametric estimation of proportional hazards models
Testing the constancy of regression parameters against continuous structural change
Estimating the canonical disequilibrium model
A semiparametric efficiency bound of a disequilibrium model without observed regime
Multiple optima and asymptotic approximations in the partial adjustment model
Approximate generalized extreme value models of discrete choice
离散选择的近似广义极值模型
Estimation of generalized extreme value (GEV) models of discrete choice is hampered by computational complexity and convergence problems. However, the much simpler estimation routine for multinomial logit can be applied in a two-step procedure so as to test the null hypothesis of multinomial logit against any particular GEV model as an alternative hypothesis. The procedure also produces an approximate estimate of the GEV model. Monte Carlo data, generated alternatively by…