TY - JOUR TI - Regression Shrinkage and Selection Via the Lasso AU - Robert Tibshirani JO - Journal of the Royal Statistical Society Series B: Statistical Methodology PY - 1996 VL - 58 IS - 1 DO - 10.1111/j.2517-6161.1996.tb02080.x UR - https://doi.org/10.1111/j.2517-6161.1996.tb02080.x ER - TY - JOUR TI - Investigating Causal Relations by Econometric Models and Cross-spectral Methods AU - Clive W. J. Granger JO - Econometrica PY - 1969 VL - 37 IS - 3 DO - 10.2307/1912791 UR - https://doi.org/10.2307/1912791 ER - TY - JOUR TI - Distribution of the Estimators for Autoregressive Time Series with a Unit Root AU - David Alan Dickey AU - Wayne Arthur Fuller JO - Journal of the American Statistical Association PY - 1979 VL - 74 IS - 366a DO - 10.1080/01621459.1979.10482531 UR - https://doi.org/10.1080/01621459.1979.10482531 ER - TY - JOUR TI - Testing for unit roots in heterogeneous panels AU - Kyung So Im AU - M. Hashem Pesaran AU - Yongcheol Shin JO - Journal of Econometrics PY - 2003 VL - 115 IS - 1 DO - 10.1016/s0304-4076(03)00092-7 UR - https://doi.org/10.1016/s0304-4076(03)00092-7 ER - TY - JOUR TI - Unit root tests in panel data: asymptotic and finite-sample properties AU - Andrew Levin AU - Chien‐Fu Lin AU - Chia-Shang James Chu JO - Journal of Econometrics PY - 2002 VL - 108 IS - 1 DO - 10.1016/s0304-4076(01)00098-7 UR - https://doi.org/10.1016/s0304-4076(01)00098-7 ER - TY - JOUR TI - A simple panel unit root test in the presence of cross‐section dependence AU - M. Hashem Pesaran JO - Journal of Applied Econometrics PY - 2007 VL - 22 IS - 2 DO - 10.1002/jae.951 UR - https://doi.org/10.1002/jae.951 ER - TY - JOUR TI - A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test AU - Gangadharrao S. Maddala AU - Shaowen Wu JO - Oxford Bulletin of Economics and Statistics PY - 1999 VL - 61 IS - S1 DO - 10.1111/1468-0084.0610s1631 UR - https://doi.org/10.1111/1468-0084.0610s1631 ER - TY - JOUR TI - PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS AU - Peter L. Pedroni JO - Econometric Theory PY - 2004 VL - 20 IS - 03 DO - 10.1017/s0266466604203073 UR - https://doi.org/10.1017/s0266466604203073 ER - TY - JOUR TI - Testing for Error Correction in Panel Data* AU - Joakim Westerlund JO - Oxford Bulletin of Economics and Statistics PY - 2007 VL - 69 IS - 6 DO - 10.1111/j.1468-0084.2007.00477.x UR - https://doi.org/10.1111/j.1468-0084.2007.00477.x ER - TY - JOUR TI - Testing for Granger non-causality in heterogeneous panels AU - Elena-Ivona Dumitrescu AU - Christophe Hurlin JO - Economic Modelling PY - 2012 VL - 29 IS - 4 DO - 10.1016/j.econmod.2012.02.014 UR - https://doi.org/10.1016/j.econmod.2012.02.014 ER - TY - JOUR TI - Better to give than to receive: Predictive directional measurement of volatility spillovers AU - Francis X. Diebold AU - Kamil Yılmaz JO - International Journal of Forecasting PY - 2011 VL - 28 IS - 1 DO - 10.1016/j.ijforecast.2011.02.006 UR - https://doi.org/10.1016/j.ijforecast.2011.02.006 ER - TY - JOUR TI - Spurious regression and residual-based tests for cointegration in panel data AU - Chihwa D. Kao JO - Journal of Econometrics PY - 1999 VL - 90 IS - 1 DO - 10.1016/s0304-4076(98)00023-2 UR - https://doi.org/10.1016/s0304-4076(98)00023-2 ER - TY - JOUR TI - Threshold effects in non-dynamic panels: Estimation, testing, and inference AU - Bruce E. Hansen JO - Journal of Econometrics PY - 1999 VL - 93 IS - 2 DO - 10.1016/s0304-4076(99)00025-1 UR - https://doi.org/10.1016/s0304-4076(99)00025-1 ER - TY - JOUR TI - Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors AU - Peter L. Pedroni JO - Oxford Bulletin of Economics and Statistics PY - 1999 VL - 61 IS - s1 DO - 10.1111/1468-0084.61.s1.14 UR - https://doi.org/10.1111/1468-0084.61.s1.14 ER - TY - JOUR TI - Estimating Vector Autoregressions with Panel Data AU - Douglas Holtz‐Eakin AU - Whitney K. Newey AU - Harvey S. Rosen JO - Econometrica PY - 1988 VL - 56 IS - 6 DO - 10.2307/1913103 UR - https://doi.org/10.2307/1913103 ER - TY - JOUR TI - Forecasting with artificial neural networks: AU - Guoqiang Zhang AU - B. Eddy Patuwo AU - Michael Y. Hu JO - International Journal of Forecasting PY - 1998 VL - 14 IS - 1 DO - 10.1016/s0169-2070(97)00044-7 UR - https://doi.org/10.1016/s0169-2070(97)00044-7 ER - TY - JOUR TI - Unit root tests for panel data AU - In Ae Choi JO - Journal of International Money and Finance PY - 2001 VL - 20 IS - 2 DO - 10.1016/s0261-5606(00)00048-6 UR - https://doi.org/10.1016/s0261-5606(00)00048-6 ER - TY - JOUR TI - Testing for stationarity in heterogeneous panel data AU - Kaddour Hadri JO - Econometrics Journal PY - 2000 VL - 3 IS - 2 DO - 10.1111/1368-423x.00043 UR - https://doi.org/10.1111/1368-423x.00043 ER - TY - JOUR TI - DeepAR: Probabilistic forecasting with autoregressive recurrent networks AU - David Salinas AU - Valentín Flunkert AU - Jan Gasthaus AU - Tim Januschowski JO - International Journal of Forecasting PY - 2019 VL - 36 IS - 3 DO - 10.1016/j.ijforecast.2019.07.001 UR - https://doi.org/10.1016/j.ijforecast.2019.07.001 ER - TY - JOUR TI - A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return AU - Tim Bollerslev JO - The Review of Economics and Statistics PY - 1987 VL - 69 IS - 3 DO - 10.2307/1925546 UR - https://doi.org/10.2307/1925546 ER - TY - JOUR TI - A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 AU - Michael Osterwald‐Lenum JO - Oxford Bulletin of Economics and Statistics PY - 1992 VL - 54 IS - 3 DO - 10.1111/j.1468-0084.1992.tb00013.x UR - https://doi.org/10.1111/j.1468-0084.1992.tb00013.x ER - TY - JOUR TI - Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments AU - Joshua D. Angrist AU - Alan B Krueger JO - The Journal of Economic Perspectives PY - 2001 VL - 15 IS - 4 DO - 10.1257/jep.15.4.69 UR - https://doi.org/10.1257/jep.15.4.69 ER - TY - JOUR TI - Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models AU - George E. P. Box AU - David A. Pierce JO - Journal of the American Statistical Association PY - 1970 VL - 65 IS - 332 DO - 10.2307/2284333 UR - https://doi.org/10.2307/2284333 ER - TY - JOUR TI - Purchasing Power Parity Tests in Cointegrated Panels AU - Peter L. Pedroni JO - The Review of Economics and Statistics PY - 2001 VL - 83 IS - 4 DO - 10.1162/003465301753237803 UR - https://doi.org/10.1162/003465301753237803 ER - TY - JOUR TI - Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data AU - George E. Battese AU - Tim Coelli JO - Journal of Econometrics PY - 1988 VL - 38 IS - 3 DO - 10.1016/0304-4076(88)90053-x UR - https://doi.org/10.1016/0304-4076(88)90053-x ER - TY - JOUR TI - A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances AU - Harry H. Kelejian AU - Ingmar R. Prucha JO - The Journal of Real Estate Finance and Economics PY - 1998 VL - 17 IS - 1 DO - 10.1023/a:1007707430416 UR - https://doi.org/10.1023/a:1007707430416 ER - TY - JOUR TI - A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model AU - Harry H. Kelejian AU - Ingmar R. Prucha JO - International Economic Review PY - 1999 VL - 40 IS - 2 DO - 10.1111/1468-2354.00027 UR - https://doi.org/10.1111/1468-2354.00027 ER - TY - JOUR TI - Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag AU - Serena Ng AU - Pierre Perrón JO - Journal of the American Statistical Association PY - 1995 VL - 90 IS - 429 DO - 10.1080/01621459.1995.10476510 UR - https://doi.org/10.1080/01621459.1995.10476510 ER - TY - JOUR TI - Inference for unit roots in dynamic panels where the time dimension is fixed AU - Richard D. F. Harris AU - Elias Tzavalis JO - Journal of Econometrics PY - 1999 VL - 91 IS - 2 DO - 10.1016/s0304-4076(98)00076-1 UR - https://doi.org/10.1016/s0304-4076(98)00076-1 ER - TY - JOUR TI - Panel data from time series of cross-sections AU - Angus Deaton JO - Journal of Econometrics PY - 1985 VL - 30 IS - 1-2 DO - 10.1016/0304-4076(85)90134-4 UR - https://doi.org/10.1016/0304-4076(85)90134-4 ER - TY - JOUR TI - Linear Regression Limit Theory for Nonstationary Panel Data AU - Peter C.B. Phillips AU - Hyungsik Roger Moon JO - Econometrica PY - 1999 VL - 67 IS - 5 DO - 10.1111/1468-0262.00070 UR - https://doi.org/10.1111/1468-0262.00070 ER - TY - JOUR TI - Recurrent Neural Networks for Time Series Forecasting: Current status and future directions AU - Hansika Hewamalage AU - Christoph Bergmeir AU - Kasun Bandara JO - International Journal of Forecasting PY - 2020 VL - 37 IS - 1 DO - 10.1016/j.ijforecast.2020.06.008 UR - https://doi.org/10.1016/j.ijforecast.2020.06.008 ER - TY - JOUR TI - Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model AU - Kung‐Sik Chan JO - The Annals of Statistics PY - 1993 VL - 21 IS - 1 DO - 10.1214/aos/1176349040 UR - https://doi.org/10.1214/aos/1176349040 ER - TY - JOUR TI - New Simple Tests for Panel Cointegration AU - Joakim Westerlund JO - Econometric Reviews PY - 2005 VL - 24 IS - 3 DO - 10.1080/07474930500243019 UR - https://doi.org/10.1080/07474930500243019 ER - TY - JOUR TI - Panel cointegration tests of the Fisher effect AU - Joakim Westerlund JO - Journal of Applied Econometrics PY - 2007 VL - 23 IS - 2 DO - 10.1002/jae.967 UR - https://doi.org/10.1002/jae.967 ER - TY - JOUR TI - Macroeconomic Expectations of Households and Professional Forecasters AU - Christopher Carroll JO - The Quarterly Journal of Economics PY - 2003 VL - 118 IS - 1 DO - 10.1162/00335530360535207 UR - https://doi.org/10.1162/00335530360535207 ER - TY - JOUR TI - Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances AU - Harry H. Kelejian AU - Ingmar R. Prucha JO - Journal of Econometrics PY - 2009 VL - 157 IS - 1 DO - 10.1016/j.jeconom.2009.10.025 UR - https://doi.org/10.1016/j.jeconom.2009.10.025 ER - TY - JOUR TI - A panel bootstrap cointegration test AU - Joakim Westerlund AU - David Edgerton JO - Economics Letters PY - 2007 VL - 97 IS - 3 DO - 10.1016/j.econlet.2007.03.003 UR - https://doi.org/10.1016/j.econlet.2007.03.003 ER - TY - JOUR TI - Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models AU - Lung‐fei Lee JO - Econometrica PY - 2004 VL - 72 IS - 6 DO - 10.1111/j.1468-0262.2004.00558.x UR - https://doi.org/10.1111/j.1468-0262.2004.00558.x ER - TY - JOUR TI - Estimation of Panel Vector Autoregression in Stata AU - Michael R.M. Abrigo AU - Inessa Love JO - The Stata Journal Promoting communications on statistics and Stata PY - 2016 VL - 16 IS - 3 DO - 10.1177/1536867x1601600314 UR - https://doi.org/10.1177/1536867x1601600314 ER - TY - JOUR TI - Inferring causal impact using Bayesian structural time-series models AU - Kay Henning Brodersen AU - Fabian Gallusser AU - Jim Koehler AU - Nicolas Rémy AU - Steven L. Scott JO - The Annals of Applied Statistics PY - 2015 VL - 9 IS - 1 DO - 10.1214/14-aoas788 UR - https://doi.org/10.1214/14-aoas788 ER -