TY - JOUR TI - Identification in Parametric Models AU - Thomas J. Rothenberg JO - Econometrica PY - 1971 VL - 39 IS - 3 DO - 10.2307/1913267 UR - https://doi.org/10.2307/1913267 ER - TY - JOUR TI - Estimation and Confidence Regions for Parameter Sets in Econometric Models AU - Victor Chernozhukov AU - Han Hong AU - Elie Tamer JO - Econometrica PY - 2007 VL - 75 IS - 5 DO - 10.1111/j.1468-0262.2007.00794.x UR - https://doi.org/10.1111/j.1468-0262.2007.00794.x ER - TY - JOUR TI - Large Sample Properties of Generalized Method of Moments Estimators AU - Lars Peter Hansen JO - Econometrica PY - 1982 VL - 50 IS - 4 DO - 10.2307/1912775 UR - https://doi.org/10.2307/1912775 ER - TY - JOUR TI - Root-N-Consistent Semiparametric Regression AU - P. M. Robinson JO - Econometrica PY - 1988 VL - 56 IS - 4 DO - 10.2307/1912705 UR - https://doi.org/10.2307/1912705 ER - TY - JOUR TI - The Asymptotic Variance of Semiparametric Estimators AU - Whitney K. Newey JO - Econometrica PY - 1994 VL - 62 IS - 6 DO - 10.2307/2951752 UR - https://doi.org/10.2307/2951752 ER - TY - JOUR TI - A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity AU - Halbert White JO - Econometrica PY - 1980 VL - 48 IS - 4 DO - 10.2307/1912934 UR - https://doi.org/10.2307/1912934 ER - TY - JOUR TI - A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix AU - Whitney K. Newey AU - Kenneth D. West JO - Econometrica PY - 1987 VL - 55 IS - 3 DO - 10.2307/1913610 UR - https://doi.org/10.2307/1913610 ER - TY - JOUR TI - Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation AU - Donald W. K. Andrews JO - Econometrica PY - 1991 VL - 59 IS - 3 DO - 10.2307/2938229 UR - https://doi.org/10.2307/2938229 ER - TY - JOUR TI - Instrumental Variables Regression with Weak Instruments AU - Douglas Staiger AU - James H. Stock JO - Econometrica PY - 1997 VL - 65 IS - 3 DO - 10.2307/2171753 UR - https://doi.org/10.2307/2171753 ER - TY - JOUR TI - Initial conditions and moment restrictions in dynamic panel data models AU - Richard Blundell AU - Stephen Bond JO - Journal of Econometrics PY - 1998 VL - 87 IS - 1 DO - 10.1016/S0304-4076(98)00009-8 UR - https://doi.org/10.1016/S0304-4076(98)00009-8 ER - TY - JOUR TI - Panel Data Models With Interactive Fixed Effects AU - Jushan Bai JO - Econometrica PY - 2009 VL - 77 IS - 4 DO - 10.3982/ECTA6135 UR - https://doi.org/10.3982/ECTA6135 ER - TY - JOUR TI - Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation AU - Robert F. Engle JO - Econometrica PY - 1982 VL - 50 IS - 4 DO - 10.2307/1912773 UR - https://doi.org/10.2307/1912773 ER - TY - JOUR TI - Co-Integration and Error Correction: Representation, Estimation, and Testing AU - Robert F. Engle AU - C. W. J. Granger JO - Econometrica PY - 1987 VL - 55 IS - 2 DO - 10.2307/1913236 UR - https://doi.org/10.2307/1913236 ER - TY - JOUR TI - Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models AU - Soren Johansen JO - Econometrica PY - 1991 VL - 59 IS - 6 DO - 10.2307/2938278 UR - https://doi.org/10.2307/2938278 ER - TY - JOUR TI - Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure AU - M. Hashem Pesaran JO - Econometrica PY - 2006 VL - 74 IS - 4 DO - 10.1111/j.1468-0262.2006.00692.x UR - https://doi.org/10.1111/j.1468-0262.2006.00692.x ER - TY - JOUR TI - Pooled Mean Group Estimation of Dynamic Heterogeneous Panels AU - M. Hashem Pesaran AU - Yongcheol Shin AU - Ron P. Smith JO - Journal of the American Statistical Association PY - 1999 VL - 94 IS - 446 DO - 10.1080/01621459.1999.10474156 UR - https://doi.org/10.1080/01621459.1999.10474156 ER - TY - JOUR TI - Macroeconomics and Reality AU - Christopher A. Sims JO - Econometrica PY - 1980 VL - 48 IS - 1 DO - 10.2307/1912017 UR - https://doi.org/10.2307/1912017 ER - TY - JOUR TI - Estimation and Inference of Impulse Responses by Local Projections AU - Òscar Jordà JO - American Economic Review PY - 2005 VL - 95 IS - 1 DO - 10.1257/0002828053828518 UR - https://doi.org/10.1257/0002828053828518 ER - TY - JOUR TI - Forecasting Using Principal Components From a Large Number of Predictors AU - James H Stock AU - Mark W Watson JO - Journal of the American Statistical Association PY - 2002 VL - 97 IS - 460 DO - 10.1198/016214502388618960 UR - https://doi.org/10.1198/016214502388618960 ER - TY - JOUR TI - Determining the Number of Factors in Approximate Factor Models AU - Jushan Bai AU - Serena Ng JO - Econometrica PY - 2002 VL - 70 IS - 1 DO - 10.1111/1468-0262.00273 UR - https://doi.org/10.1111/1468-0262.00273 ER - TY - JOUR TI - Inferential Theory for Factor Models of Large Dimensions AU - Jushan Bai JO - Econometrica PY - 2003 VL - 71 IS - 1 DO - 10.1111/1468-0262.00392 UR - https://doi.org/10.1111/1468-0262.00392 ER - TY - JOUR TI - The Generalized Dynamic-Factor Model: Identification and Estimation AU - Mario Forni AU - Marc Hallin AU - Marco Lippi AU - Lucrezia Reichlin JO - Review of Economics and Statistics PY - 2000 VL - 82 IS - 4 DO - 10.1162/003465300559037 UR - https://doi.org/10.1162/003465300559037 ER - TY - JOUR TI - Comparing Predictive Accuracy AU - Francis X. Diebold AU - Roberto S. Mariano JO - Journal of Business & Economic Statistics PY - 1995 VL - 13 IS - 3 DO - 10.1080/07350015.1995.10524599 UR - https://doi.org/10.1080/07350015.1995.10524599 ER - TY - JOUR TI - Tests of Conditional Predictive Ability AU - Raffaella Giacomini AU - Halbert White JO - Econometrica PY - 2006 VL - 74 IS - 6 DO - 10.1111/j.1468-0262.2006.00718.x UR - https://doi.org/10.1111/j.1468-0262.2006.00718.x ER - TY - JOUR TI - Estimating and Testing Linear Models with Multiple Structural Changes AU - Jushan Bai AU - Pierre Perron JO - Econometrica PY - 1998 VL - 66 IS - 1 DO - 10.2307/2998540 UR - https://doi.org/10.2307/2998540 ER - TY - JOUR TI - A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle AU - James D. Hamilton JO - Econometrica PY - 1989 VL - 57 IS - 2 DO - 10.2307/1912559 UR - https://doi.org/10.2307/1912559 ER - 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 - Bayesian Multivariate Time Series Methods for Empirical Macroeconomics AU - Gary Koop AU - Dimitris Korobilis JO - Foundations and Trends® in Econometrics PY - 2010 VL - 3 IS - 4 DO - 10.1561/0800000013 UR - https://doi.org/10.1561/0800000013 ER - TY - JOUR TI - On Gibbs sampling for state space models AU - C. K. CARTER AU - R. KOHN JO - Biometrika PY - 1994 VL - 81 IS - 3 DO - 10.1093/biomet/81.3.541 UR - https://doi.org/10.1093/biomet/81.3.541 ER - TY - JOUR TI - Drifts and volatilities: monetary policies and outcomes in the post WWII US AU - Timothy Cogley AU - Thomas J. Sargent JO - Review of Economic Dynamics PY - 2005 VL - 8 IS - 2 DO - 10.1016/j.red.2004.10.009 UR - https://doi.org/10.1016/j.red.2004.10.009 ER - TY - JOUR TI - lmerTest Package: Tests in Linear Mixed Effects Models AU - Alexandra Kuznetsova AU - Per B. Brockhoff AU - Rune Haubo Bojesen Christensen JO - Journal of Statistical Software PY - 2017 VL - 82 IS - 13 DO - 10.18637/jss.v082.i13 UR - https://doi.org/10.18637/jss.v082.i13 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 - Comparing the Areas under Two or More Correlated Receiver Operating Characteristic Curves: A Nonparametric Approach AU - Elizabeth R. DeLong AU - David M. DeLong AU - Daniel L. Clarke‐Pearson JO - Biometrics PY - 1988 VL - 44 IS - 3 DO - 10.2307/2531595 UR - https://doi.org/10.2307/2531595 ER - TY - JOUR TI - Bounds testing approaches to the analysis of level relationships AU - M. Hashem Pesaran AU - Yongcheol Shin AU - Richard J. Smith JO - Journal of Applied Econometrics PY - 2001 VL - 16 IS - 3 DO - 10.1002/jae.616 UR - https://doi.org/10.1002/jae.616 ER - TY - JOUR TI - Specification Tests in Econometrics AU - Jerry A. Hausman JO - Econometrica PY - 1978 VL - 46 IS - 6 DO - 10.2307/1913827 UR - https://doi.org/10.2307/1913827 ER - TY - JOUR TI - Testing for a unit root in time series regression AU - Peter C.B. Phillips AU - Pierre Perrón JO - Biometrika PY - 1988 VL - 75 IS - 2 DO - 10.1093/biomet/75.2.335 UR - https://doi.org/10.1093/biomet/75.2.335 ER - TY - JOUR TI - Bootstrap Methods: Another Look at the Jackknife AU - Bradley Efron JO - The Annals of Statistics PY - 1979 VL - 7 IS - 1 DO - 10.1214/aos/1176344552 UR - https://doi.org/10.1214/aos/1176344552 ER - TY - JOUR TI - Nonparametric Tests Against Trend AU - Henry B. Mann JO - Econometrica PY - 1945 VL - 13 IS - 3 DO - 10.2307/1907187 UR - https://doi.org/10.2307/1907187 ER - TY - JOUR TI - Statistical analysis of cointegration vectors AU - Søren Johansen JO - Journal of Economic Dynamics and Control PY - 1988 VL - 12 IS - 2-3 DO - 10.1016/0165-1889(88)90041-3 UR - https://doi.org/10.1016/0165-1889(88)90041-3 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 - Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root AU - David Alan Dickey AU - Wayne Arthur Fuller JO - Econometrica PY - 1981 VL - 49 IS - 4 DO - 10.2307/1912517 UR - https://doi.org/10.2307/1912517 ER - TY - JOUR TI - MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY AU - Søren Johansen AU - Katarina Jusélius JO - Oxford Bulletin of Economics and Statistics PY - 1990 VL - 52 IS - 2 DO - 10.1111/j.1468-0084.1990.mp52002003.x UR - https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x ER - TY - JOUR TI - Estimates of the Regression Coefficient Based on Kendall's Tau AU - Pranab Kumar Sen JO - Journal of the American Statistical Association PY - 1968 VL - 63 IS - 324 DO - 10.1080/01621459.1968.10480934 UR - https://doi.org/10.1080/01621459.1968.10480934 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 - Testing the null hypothesis of stationarity against the alternative of a unit root AU - Denis Kwiatkowski AU - Peter C.B. Phillips AU - Peter Schmidt AU - Yongcheol Shin JO - Journal of Econometrics PY - 1992 VL - 54 IS - 1-3 DO - 10.1016/0304-4076(92)90104-y UR - https://doi.org/10.1016/0304-4076(92)90104-y 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 - Robust Locally Weighted Regression and Smoothing Scatterplots AU - William S. Cleveland JO - Journal of the American Statistical Association PY - 1979 VL - 74 IS - 368 DO - 10.1080/01621459.1979.10481038 UR - https://doi.org/10.1080/01621459.1979.10481038 ER - TY - JOUR TI - Cross-Validatory Choice and Assessment of Statistical Predictions AU - Marla Stone JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1974 VL - 36 IS - 2 DO - 10.1111/j.2517-6161.1974.tb00994.x UR - https://doi.org/10.1111/j.2517-6161.1974.tb00994.x ER - TY - JOUR TI - Illiquidity and stock returns: cross-section and time-series effects AU - Yakov Amihud JO - Journal of Financial Markets PY - 2002 VL - 5 IS - 1 DO - 10.1016/s1386-4181(01)00024-6 UR - https://doi.org/10.1016/s1386-4181(01)00024-6 ER - TY - JOUR TI - Inference and missing data AU - Donald B. Rubin JO - Biometrika PY - 1976 VL - 63 IS - 3 DO - 10.1093/biomet/63.3.581 UR - https://doi.org/10.1093/biomet/63.3.581 ER - TY - JOUR TI - How to do Xtabond2: An Introduction to Difference and System GMM in Stata AU - David Malin Roodman JO - The Stata Journal Promoting communications on statistics and Stata PY - 2009 VL - 9 IS - 1 DO - 10.1177/1536867x0900900106 UR - https://doi.org/10.1177/1536867x0900900106 ER - TY - JOUR TI - Least angle regression AU - Bradley Efron AU - Trevor Hastie AU - Iain M. Johnstone AU - Robert John Tibshirani JO - The Annals of Statistics PY - 2004 VL - 32 IS - 2 DO - 10.1214/009053604000000067 UR - https://doi.org/10.1214/009053604000000067 ER - TY - JOUR TI - Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties AU - Jianqing Fan AU - Runze Li JO - Journal of the American Statistical Association PY - 2001 VL - 96 IS - 456 DO - 10.1198/016214501753382273 UR - https://doi.org/10.1198/016214501753382273 ER - TY - JOUR TI - An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias AU - Arnold Zellner JO - Journal of the American Statistical Association PY - 1962 VL - 57 IS - 298 DO - 10.1080/01621459.1962.10480664 UR - https://doi.org/10.1080/01621459.1962.10480664 ER - TY - JOUR TI - Fast Stable Restricted Maximum Likelihood and Marginal Likelihood Estimation of Semiparametric Generalized Linear Models AU - Simon N. Wood JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 2010 VL - 73 IS - 1 DO - 10.1111/j.1467-9868.2010.00749.x UR - https://doi.org/10.1111/j.1467-9868.2010.00749.x ER - TY - JOUR TI - The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis AU - Pierre Perrón JO - Econometrica PY - 1989 VL - 57 IS - 6 DO - 10.2307/1913712 UR - https://doi.org/10.2307/1913712 ER - TY - JOUR TI - Model Selection and Estimation in Regression with Grouped Variables AU - Ming Yuan AU - Yi Lin JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 2005 VL - 68 IS - 1 DO - 10.1111/j.1467-9868.2005.00532.x UR - https://doi.org/10.1111/j.1467-9868.2005.00532.x ER - TY - JOUR TI - Robust Estimation of a Location Parameter AU - Peter J. Huber JO - The Annals of Mathematical Statistics PY - 1964 VL - 35 IS - 1 DO - 10.1214/aoms/1177703732 UR - https://doi.org/10.1214/aoms/1177703732 ER - TY - JOUR TI - Additive logistic regression: a statistical view of boosting (With discussion and a rejoinder by the authors) AU - Jerome H. Friedman AU - Trevor Hastie AU - Robert John Tibshirani JO - The Annals of Statistics PY - 2000 VL - 28 IS - 2 DO - 10.1214/aos/1016218223 UR - https://doi.org/10.1214/aos/1016218223 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 - Tests of Equality Between Sets of Coefficients in Two Linear Regressions AU - Gregory C. Chow JO - Econometrica PY - 1960 VL - 28 IS - 3 DO - 10.2307/1910133 UR - https://doi.org/10.2307/1910133 ER - TY - JOUR TI - Spurious regressions in econometrics AU - Clive W. J. Granger AU - Paul Newbold JO - Journal of Econometrics PY - 1974 VL - 2 IS - 2 DO - 10.1016/0304-4076(74)90034-7 UR - https://doi.org/10.1016/0304-4076(74)90034-7 ER - TY - JOUR TI - Generalized impulse response analysis in linear multivariate models AU - M. Hashem Pesaran AU - Yongcheol Shin JO - Economics Letters PY - 1998 VL - 58 IS - 1 DO - 10.1016/s0165-1765(97)00214-0 UR - https://doi.org/10.1016/s0165-1765(97)00214-0 ER - TY - JOUR TI - Bootstrap Methods for Standard Errors, Confidence Intervals, and Other Measures of Statistical Accuracy AU - Bradley Efron AU - Robert John Tibshirani JO - Statistical Science PY - 1986 VL - 1 IS - 1 DO - 10.1214/ss/1177013815 UR - https://doi.org/10.1214/ss/1177013815 ER - TY - JOUR TI - On a measure of lack of fit in time series models AU - Greta M. Ljung AU - George E. P. Box JO - Biometrika PY - 1978 VL - 65 IS - 2 DO - 10.1093/biomet/65.2.297 UR - https://doi.org/10.1093/biomet/65.2.297 ER - TY - JOUR TI - Statistical inference in vector autoregressions with possibly integrated processes AU - Hiro Y. Toda AU - Taku Yamamoto JO - Journal of Econometrics PY - 1995 VL - 66 IS - 1-2 DO - 10.1016/0304-4076(94)01616-8 UR - https://doi.org/10.1016/0304-4076(94)01616-8 ER - TY - JOUR TI - Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses AU - Quang Vuong JO - Econometrica PY - 1989 VL - 57 IS - 2 DO - 10.2307/1912557 UR - https://doi.org/10.2307/1912557 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 - A finite sample correction for the variance of linear efficient two-step GMM estimators AU - Frank A. G. Windmeijer JO - Journal of Econometrics PY - 2004 VL - 126 IS - 1 DO - 10.1016/j.jeconom.2004.02.005 UR - https://doi.org/10.1016/j.jeconom.2004.02.005 ER - TY - JOUR TI - Testing slope homogeneity in large panels AU - M. Hashem Pesaran AU - Takashi Yamagata JO - Journal of Econometrics PY - 2007 VL - 142 IS - 1 DO - 10.1016/j.jeconom.2007.05.010 UR - https://doi.org/10.1016/j.jeconom.2007.05.010 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 - Computation and analysis of multiple structural change models AU - Jushan Bai AU - Pierre Perrón JO - Journal of Applied Econometrics PY - 2002 VL - 18 IS - 1 DO - 10.1002/jae.659 UR - https://doi.org/10.1002/jae.659 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 - Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis AU - Eric W. Zivot AU - Donald W. K. Andrews JO - Journal of Business and Economic Statistics PY - 2002 VL - 20 IS - 1 DO - 10.1198/073500102753410372 UR - https://doi.org/10.1198/073500102753410372 ER - TY - JOUR TI - Proportional hazards tests and diagnostics based on weighted residuals AU - Patricia M. Grambsch AU - Terry M. Therneau JO - Biometrika PY - 1994 VL - 81 IS - 3 DO - 10.1093/biomet/81.3.515 UR - https://doi.org/10.1093/biomet/81.3.515 ER - TY - JOUR TI - Another look at measures of forecast accuracy AU - Rob J. Hyndman AU - Anne B. Koehler JO - International Journal of Forecasting PY - 2006 VL - 22 IS - 4 DO - 10.1016/j.ijforecast.2006.03.001 UR - https://doi.org/10.1016/j.ijforecast.2006.03.001 ER - TY - JOUR TI - Efficient Tests for an Autoregressive Unit Root AU - Graham Elliott AU - Thomas J. Rothenberg AU - James H. Stock JO - Econometrica PY - 1996 VL - 64 IS - 4 DO - 10.2307/2171846 UR - https://doi.org/10.2307/2171846 ER - TY - JOUR TI - A Simple Test for Heteroscedasticity and Random Coefficient Variation AU - Trevor Breusch AU - Adrian Rodney Pagan JO - Econometrica PY - 1979 VL - 47 IS - 5 DO - 10.2307/1911963 UR - https://doi.org/10.2307/1911963 ER - TY - JOUR TI - Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting AU - William S. Cleveland AU - Susan J. Devlin JO - Journal of the American Statistical Association PY - 1988 VL - 83 IS - 403 DO - 10.1080/01621459.1988.10478639 UR - https://doi.org/10.1080/01621459.1988.10478639 ER - TY - JOUR TI - Estimating long-run relationships from dynamic heterogeneous panels AU - M. Hashem Pesaran AU - Ron P Smith JO - Journal of Econometrics PY - 1995 VL - 68 IS - 1 DO - 10.1016/0304-4076(94)01644-f UR - https://doi.org/10.1016/0304-4076(94)01644-f ER - TY - JOUR TI - The Combination of Estimates from Different Experiments AU - William G. Cochran JO - Biometrics PY - 1954 VL - 10 IS - 1 DO - 10.2307/3001666 UR - https://doi.org/10.2307/3001666 ER - TY - JOUR TI - On the Pooling of Time Series and Cross Section Data AU - Yair Mundlak JO - Econometrica PY - 1978 VL - 46 IS - 1 DO - 10.2307/1913646 UR - https://doi.org/10.2307/1913646 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 - Techniques for Testing the Constancy of Regression Relationships Over Time AU - R. L. Brown AU - James Durbin AU - Jessica Evans JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1975 VL - 37 IS - 2 DO - 10.1111/j.2517-6161.1975.tb01532.x UR - https://doi.org/10.1111/j.2517-6161.1975.tb01532.x ER - TY - JOUR TI - Impulse response analysis in nonlinear multivariate models AU - Gary M. Koop AU - M. Hashem Pesaran AU - Simon Potter JO - Journal of Econometrics PY - 1996 VL - 74 IS - 1 DO - 10.1016/0304-4076(95)01753-4 UR - https://doi.org/10.1016/0304-4076(95)01753-4 ER - TY - JOUR TI - A Note on the Theme of Too Many Instruments * AU - David Malin Roodman JO - Oxford Bulletin of Economics and Statistics PY - 2009 VL - 71 IS - 1 DO - 10.1111/j.1468-0084.2008.00542.x UR - https://doi.org/10.1111/j.1468-0084.2008.00542.x ER - TY - JOUR TI - An Introduction to Kernel and Nearest-Neighbor Nonparametric Regression AU - Naomi Altman JO - The American Statistician PY - 1992 VL - 46 IS - 3 DO - 10.1080/00031305.1992.10475879 UR - https://doi.org/10.1080/00031305.1992.10475879 ER - TY - JOUR TI - A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems AU - James H. Stock AU - Mark W. Watson JO - Econometrica PY - 1993 VL - 61 IS - 4 DO - 10.2307/2951763 UR - https://doi.org/10.2307/2951763 ER - TY - JOUR TI - Recent Developments in the Econometrics of Program Evaluation AU - Guido W. Imbens AU - Jeffrey M. Wooldridge JO - Journal of Economic Literature PY - 2009 VL - 47 IS - 1 DO - 10.1257/jel.47.1.5 UR - https://doi.org/10.1257/jel.47.1.5 ER - TY - JOUR TI - The Cross‐Section of Volatility and Expected Returns AU - Andrew Ang AU - Robert J. Hodrick AU - Yuhang Xing AU - Xiaoyan Zhang JO - The Journal of Finance PY - 2006 VL - 61 IS - 1 DO - 10.1111/j.1540-6261.2006.00836.x UR - https://doi.org/10.1111/j.1540-6261.2006.00836.x ER - TY - JOUR TI - Bias reduction of maximum likelihood estimates AU - David R. Firth JO - Biometrika PY - 1993 VL - 80 IS - 1 DO - 10.1093/biomet/80.1.27 UR - https://doi.org/10.1093/biomet/80.1.27 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 - Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach AU - Frank R. Smets AU - Rafael Wouters JO - American Economic Review PY - 2007 VL - 97 IS - 3 DO - 10.1257/aer.97.3.586 UR - https://doi.org/10.1257/aer.97.3.586 ER - TY - JOUR TI - Trends and random walks in macroeconmic time series AU - Charles R. Nelson AU - Charles I. Plosser JO - Journal of Monetary Economics PY - 1982 VL - 10 IS - 2 DO - 10.1016/0304-3932(82)90012-5 UR - https://doi.org/10.1016/0304-3932(82)90012-5 ER - TY - JOUR TI - Remarks on Some Nonparametric Estimates of a Density Function AU - Murray Rosenblatt JO - The Annals of Mathematical Statistics PY - 1956 VL - 27 IS - 3 DO - 10.1214/aoms/1177728190 UR - https://doi.org/10.1214/aoms/1177728190 ER - TY - JOUR TI - Regression Models for Ordinal Data AU - Peter J McCullagh JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1980 VL - 42 IS - 2 DO - 10.1111/j.2517-6161.1980.tb01109.x UR - https://doi.org/10.1111/j.2517-6161.1980.tb01109.x ER - TY - JOUR TI - THE LASSO METHOD FOR VARIABLE SELECTION IN THE COX MODEL AU - Robert John Tibshirani JO - Statistics in Medicine PY - 1997 VL - 16 IS - 4 DO - 10.1002/(sici)1097-0258(19970228)16:4<385::aid-sim380>3.0.co;2-3 UR - https://doi.org/10.1002/(sici)1097-0258(19970228)16:4%3C385::aid-sim380%3E3.0.co;2-3 ER - TY - JOUR TI - Tests for Parameter Instability and Structural Change With Unknown Change Point AU - Donald W. K. Andrews JO - Econometrica PY - 1993 VL - 61 IS - 4 DO - 10.2307/2951764 UR - https://doi.org/10.2307/2951764 ER - TY - JOUR TI - Efficient tests for normality, homoscedasticity and serial independence of regression residuals AU - Carlos M. Jarque AU - Anil Kumar Bera JO - Economics Letters PY - 1980 VL - 6 IS - 3 DO - 10.1016/0165-1765(80)90024-5 UR - https://doi.org/10.1016/0165-1765(80)90024-5 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 - Bootstrap-Based Improvements for Inference with Clustered Errors AU - A. Colin Cameron AU - Jonah B. Gelbach AU - Douglas L. Miller JO - The Review of Economics and Statistics PY - 2008 VL - 90 IS - 3 DO - 10.1162/rest.90.3.414 UR - https://doi.org/10.1162/rest.90.3.414 ER - TY - JOUR TI - Approximate Inference in Generalized Linear Mixed Models AU - N. E. Breslow AU - David G Clayton JO - Journal of the American Statistical Association PY - 1993 VL - 88 IS - 421 DO - 10.1080/01621459.1993.10594284 UR - https://doi.org/10.1080/01621459.1993.10594284 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 - Bayesian model averaging: a tutorial (with comments by M. Clyde, David Draper and E. I. George, and a rejoinder by the authors AU - Jennifer A. Hoeting AU - David Madigan AU - Adrian E. Raftery AU - Chris T. Volinsky JO - Statistical Science PY - 1999 VL - 14 IS - 4 DO - 10.1214/ss/1009212519 UR - https://doi.org/10.1214/ss/1009212519 ER - TY - JOUR TI - Maximum Likelihood Estimation of Misspecified Models AU - Halbert White JO - Econometrica PY - 1982 VL - 50 IS - 1 DO - 10.2307/1912526 UR - https://doi.org/10.2307/1912526 ER - TY - JOUR TI - Unbiased Recursive Partitioning: A Conditional Inference Framework AU - Torsten Hothorn AU - Kurt Hornik AU - Achim Zeileis JO - Journal of Computational and Graphical Statistics PY - 2006 VL - 15 IS - 3 DO - 10.1198/106186006x133933 UR - https://doi.org/10.1198/106186006x133933 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 - LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power AU - Serena Ng AU - Pierre Perrón JO - Econometrica PY - 2001 VL - 69 IS - 6 DO - 10.1111/1468-0262.00256 UR - https://doi.org/10.1111/1468-0262.00256 ER - TY - JOUR TI - Matching As An Econometric Evaluation Estimator AU - James J. Heckman AU - Hidehiko Ichimura AU - Petra Todd JO - The Review of Economic Studies PY - 1998 VL - 65 IS - 2 DO - 10.1111/1467-937x.00044 UR - https://doi.org/10.1111/1467-937x.00044 ER - TY - JOUR TI - Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test AU - Andrew W. Lo AU - A. Craig MacKinlay JO - Review of Financial Studies PY - 1988 VL - 1 IS - 1 DO - 10.1093/rfs/1.1.41 UR - https://doi.org/10.1093/rfs/1.1.41 ER - TY - JOUR TI - Some Methods for Strengthening the Common χ 2 Tests AU - William G. Cochran JO - Biometrics PY - 1954 VL - 10 IS - 4 DO - 10.2307/3001616 UR - https://doi.org/10.2307/3001616 ER - TY - JOUR TI - Regression Shrinkage and Selection via The Lasso: A Retrospective AU - Robert John Tibshirani JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 2011 VL - 73 IS - 3 DO - 10.1111/j.1467-9868.2011.00771.x UR - https://doi.org/10.1111/j.1467-9868.2011.00771.x ER - TY - JOUR TI - Rank Transformations as a Bridge between Parametric and Nonparametric Statistics AU - William Jay Conover AU - Ronald L. Iman JO - The American Statistician PY - 1981 VL - 35 IS - 3 DO - 10.1080/00031305.1981.10479327 UR - https://doi.org/10.1080/00031305.1981.10479327 ER - TY - JOUR TI - An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area AU - Frank R. Smets AU - Raf Wouters JO - Journal of the European Economic Association PY - 2003 VL - 1 IS - 5 DO - 10.1162/154247603770383415 UR - https://doi.org/10.1162/154247603770383415 ER - TY - JOUR TI - Automatic Time Series Forecasting: The forecast Package for R AU - Rob J. Hyndman AU - Yeasmin Khandakar JO - Journal of Statistical Software PY - 2008 VL - 27 IS - 3 DO - 10.18637/jss.v027.i03 UR - https://doi.org/10.18637/jss.v027.i03 ER - TY - JOUR TI - Least Median of Squares Regression AU - Peter J. Rousseeuw JO - Journal of the American Statistical Association PY - 1984 VL - 79 IS - 388 DO - 10.1080/01621459.1984.10477105 UR - https://doi.org/10.1080/01621459.1984.10477105 ER - TY - JOUR TI - The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses AU - Samuel Stanley Wilks JO - The Annals of Mathematical Statistics PY - 1938 VL - 9 IS - 1 DO - 10.1214/aoms/1177732360 UR - https://doi.org/10.1214/aoms/1177732360 ER - TY - JOUR TI - A test for independence based on the correlation dimension AU - W. A. Broock AU - J. A. Scheinkman AU - W. Davis Dechert AU - Blake D. LeBaron JO - Econometric Reviews PY - 1996 VL - 15 IS - 3 DO - 10.1080/07474939608800353 UR - https://doi.org/10.1080/07474939608800353 ER - TY - JOUR TI - A survey of cross-validation procedures for model selection AU - Sylvain Arlot AU - Alain Celisse JO - Statistics Surveys PY - 2010 VL - 4 IS - none DO - 10.1214/09-ss054 UR - https://doi.org/10.1214/09-ss054 ER - TY - JOUR TI - The saving and investment nexus for China: evidence from cointegration tests AU - Paresh Kumar Narayan JO - Applied Economics PY - 2005 VL - 37 IS - 17 DO - 10.1080/00036840500278103 UR - https://doi.org/10.1080/00036840500278103 ER - TY - JOUR TI - AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING AU - Clive W. J. Granger AU - Roselyne Joyeux JO - Journal of Time Series Analysis PY - 1980 VL - 1 IS - 1 DO - 10.1111/j.1467-9892.1980.tb00297.x UR - https://doi.org/10.1111/j.1467-9892.1980.tb00297.x ER - TY - JOUR TI - Better Bootstrap Confidence Intervals AU - Bradley Efron JO - Journal of the American Statistical Association PY - 1987 VL - 82 IS - 397 DO - 10.1080/01621459.1987.10478410 UR - https://doi.org/10.1080/01621459.1987.10478410 ER - TY - JOUR TI - Estimation and inference in two-stage, semi-parametric models of production processes AU - Léopold Simar AU - Paul W. Wilson JO - Journal of Econometrics PY - 2005 VL - 136 IS - 1 DO - 10.1016/j.jeconom.2005.07.009 UR - https://doi.org/10.1016/j.jeconom.2005.07.009 ER - TY - JOUR TI - Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis AU - James B. Ramsey JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1969 VL - 31 IS - 2 DO - 10.1111/j.2517-6161.1969.tb00796.x UR - https://doi.org/10.1111/j.2517-6161.1969.tb00796.x ER - TY - JOUR TI - Automatic Lag Selection in Covariance Matrix Estimation AU - Whitney K. Newey AU - Kenneth D. West JO - The Review of Economic Studies PY - 1994 VL - 61 IS - 4 DO - 10.2307/2297912 UR - https://doi.org/10.2307/2297912 ER - TY - JOUR TI - Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances AU - Tim Bollerslev AU - Jeffrey M. Wooldridge JO - Econometric Reviews PY - 1992 VL - 11 IS - 2 DO - 10.1080/07474939208800229 UR - https://doi.org/10.1080/07474939208800229 ER - TY - JOUR TI - Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence AU - Daniel Hoechle JO - The Stata Journal Promoting communications on statistics and Stata PY - 2007 VL - 7 IS - 3 DO - 10.1177/1536867x0700700301 UR - https://doi.org/10.1177/1536867x0700700301 ER - TY - JOUR TI - On the Kolmogorov-Smirnov Test for Normality with Mean and Variance Unknown AU - Hubert W. Lilliefors JO - Journal of the American Statistical Association PY - 1967 VL - 62 IS - 318 DO - 10.2307/2283970 UR - https://doi.org/10.2307/2283970 ER - TY - JOUR TI - Testing for unit roots in autoregressive-moving average models of unknown order AU - Saïd E. Saïd AU - David Alan Dickey JO - Biometrika PY - 1984 VL - 71 IS - 3 DO - 10.1093/biomet/71.3.599 UR - https://doi.org/10.1093/biomet/71.3.599 ER - TY - JOUR TI - Approximate is Better than “Exact” for Interval Estimation of Binomial Proportions AU - Alan Agresti AU - Brent A. Coull JO - The American Statistician PY - 1998 VL - 52 IS - 2 DO - 10.1080/00031305.1998.10480550 UR - https://doi.org/10.1080/00031305.1998.10480550 ER - TY - JOUR TI - Robust Inference With Multiway Clustering AU - A. Colin Cameron AU - Jonah B. Gelbach AU - Douglas L. Miller JO - Journal of Business and Economic Statistics PY - 2011 VL - 29 IS - 2 DO - 10.1198/jbes.2010.07136 UR - https://doi.org/10.1198/jbes.2010.07136 ER - TY - JOUR TI - L-Moments: Analysis and Estimation of Distributions Using Linear Combinations of Order Statistics AU - J. R. M. Hosking JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1990 VL - 52 IS - 1 DO - 10.1111/j.2517-6161.1990.tb01775.x UR - https://doi.org/10.1111/j.2517-6161.1990.tb01775.x ER - TY - JOUR TI - Size and Book‐to‐Market Factors in Earnings and Returns AU - Eugene F. Fama AU - Kenneth R. French JO - The Journal of Finance PY - 1995 VL - 50 IS - 1 DO - 10.1111/j.1540-6261.1995.tb05169.x UR - https://doi.org/10.1111/j.1540-6261.1995.tb05169.x ER - TY - JOUR TI - A Simple General Approach to Inference About the Tail of a Distribution AU - Bruce M. Hill JO - The Annals of Statistics PY - 1975 VL - 3 IS - 5 DO - 10.1214/aos/1176343247 UR - https://doi.org/10.1214/aos/1176343247 ER - TY - JOUR TI - Extension of Multiple Range Tests to Group Means with Unequal Numbers of Replications AU - Clyde Young Kramer JO - Biometrics PY - 1956 VL - 12 IS - 3 DO - 10.2307/3001469 UR - https://doi.org/10.2307/3001469 ER - TY - JOUR TI - Inflation dynamics: A structural econometric analysis AU - Jordi Gaĺı AU - Mark L. Gertler JO - Journal of Monetary Economics PY - 1999 VL - 44 IS - 2 DO - 10.1016/s0304-3932(99)00023-9 UR - https://doi.org/10.1016/s0304-3932(99)00023-9 ER - TY - JOUR TI - Numerical distribution functions for unit root and cointegration tests AU - James G. MacKinnon JO - Journal of Applied Econometrics PY - 1996 VL - 11 IS - 6 DO - 10.1002/(sici)1099-1255(199611)11:6<601::aid-jae417>3.0.co;2-t UR - https://doi.org/10.1002/(sici)1099-1255(199611)11:6%3C601::aid-jae417%3E3.0.co;2-t ER - TY - JOUR TI - Beta Regression for Modelling Rates and Proportions AU - Silvia L. P. Ferrari AU - Francisco Cribari‐Neto JO - Journal of Applied Statistics PY - 2004 VL - 31 IS - 7 DO - 10.1080/0266476042000214501 UR - https://doi.org/10.1080/0266476042000214501 ER - TY - JOUR TI - Estimating the Value of Political Connections AU - Raymond J. Fisman JO - American Economic Review PY - 2001 VL - 91 IS - 4 DO - 10.1257/aer.91.4.1095 UR - https://doi.org/10.1257/aer.91.4.1095 ER - TY - JOUR TI - Inferring Trade Direction from Intraday Data AU - Charles M.C. Lee AU - Mark J. Ready JO - The Journal of Finance PY - 1991 VL - 46 IS - 2 DO - 10.1111/j.1540-6261.1991.tb02683.x UR - https://doi.org/10.1111/j.1540-6261.1991.tb02683.x ER - TY - JOUR TI - The Determination of the Order of an Autoregression AU - E. J. Hannan AU - Barry G. Quinn JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1979 VL - 41 IS - 2 DO - 10.1111/j.2517-6161.1979.tb01072.x UR - https://doi.org/10.1111/j.2517-6161.1979.tb01072.x ER - TY - JOUR TI - Partial residuals for the proportional hazards regression model AU - David Schoenfeld JO - Biometrika PY - 1982 VL - 69 IS - 1 DO - 10.1093/biomet/69.1.239 UR - https://doi.org/10.1093/biomet/69.1.239 ER - TY - JOUR TI - A Test for Normality of Observations and Regression Residuals AU - Carlos M. Jarque AU - Anil Kumar Bera JO - International Statistical Review PY - 1987 VL - 55 IS - 2 DO - 10.2307/1403192 UR - https://doi.org/10.2307/1403192 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 - Temporal Fusion Transformers for interpretable multi-horizon time series forecasting AU - Bryan Y. Lim AU - Sercan Ö. Arık AU - Nicolas Loeff AU - Tomas Pfister JO - International Journal of Forecasting PY - 2021 VL - 37 IS - 4 DO - 10.1016/j.ijforecast.2021.03.012 UR - https://doi.org/10.1016/j.ijforecast.2021.03.012 ER - TY - JOUR TI - Time Varying Structural Vector Autoregressions and Monetary Policy AU - Giorgio E. Primiceri JO - The Review of Economic Studies PY - 2005 VL - 72 IS - 3 DO - 10.1111/j.1467-937x.2005.00353.x UR - https://doi.org/10.1111/j.1467-937x.2005.00353.x ER - TY - JOUR TI - Some recent development in a concept of causality AU - Clive W. J. Granger JO - Journal of Econometrics PY - 1988 VL - 39 IS - 1-2 DO - 10.1016/0304-4076(88)90045-0 UR - https://doi.org/10.1016/0304-4076(88)90045-0 ER - TY - JOUR TI - A Leisurely Look at the Bootstrap, the Jackknife, and Cross-Validation AU - Bradley Efron AU - Gail D. Gong JO - The American Statistician PY - 1983 VL - 37 IS - 1 DO - 10.1080/00031305.1983.10483087 UR - https://doi.org/10.1080/00031305.1983.10483087 ER - TY - JOUR TI - THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS AU - John F Geweke AU - Susan Porter‐Hudak JO - Journal of Time Series Analysis PY - 1983 VL - 4 IS - 4 DO - 10.1111/j.1467-9892.1983.tb00371.x UR - https://doi.org/10.1111/j.1467-9892.1983.tb00371.x ER - TY - JOUR TI - Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach AU - John DiNardo AU - Nicole M. Fortin AU - Thomas Lemieux JO - Econometrica PY - 1996 VL - 64 IS - 5 DO - 10.2307/2171954 UR - https://doi.org/10.2307/2171954 ER - TY - JOUR TI - On estimating the expected return on the market AU - Robert C. Merton JO - Journal of Financial Economics PY - 1980 VL - 8 IS - 4 DO - 10.1016/0304-405x(80)90007-0 UR - https://doi.org/10.1016/0304-405x(80)90007-0 ER - TY - JOUR TI - Robust Tests for the Equality of Variances AU - Morton B. Brown AU - Alan B. Forsythe JO - Journal of the American Statistical Association PY - 1974 VL - 69 IS - 346 DO - 10.1080/01621459.1974.10482955 UR - https://doi.org/10.1080/01621459.1974.10482955 ER - TY - JOUR TI - Sample Splitting and Threshold Estimation AU - Bruce E. Hansen JO - Econometrica PY - 2000 VL - 68 IS - 3 DO - 10.1111/1468-0262.00124 UR - https://doi.org/10.1111/1468-0262.00124 ER - TY - JOUR TI - R2 around the world: New theory and new tests☆ AU - L JIN AU - S MYERS JO - Journal of Financial Economics PY - 2005 VL - 79 IS - 2 DO - 10.1016/j.jfineco.2004.11.003 UR - https://doi.org/10.1016/j.jfineco.2004.11.003 ER - TY - JOUR TI - Testing Weak Cross-Sectional Dependence in Large Panels AU - M. Hashem Pesaran JO - Econometric Reviews PY - 2014 VL - 34 IS - 6-10 DO - 10.1080/07474938.2014.956623 UR - https://doi.org/10.1080/07474938.2014.956623 ER - TY - JOUR TI - Risk measurement when shares are subject to infrequent trading AU - Elroy Dimson JO - Journal of Financial Economics PY - 1979 VL - 7 IS - 2 DO - 10.1016/0304-405x(79)90013-8 UR - https://doi.org/10.1016/0304-405x(79)90013-8 ER - TY - JOUR TI - Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series AU - Marianne Baxter AU - Robert G. King JO - The Review of Economics and Statistics PY - 1999 VL - 81 IS - 4 DO - 10.1162/003465399558454 UR - https://doi.org/10.1162/003465399558454 ER - TY - JOUR TI - Detecting long-run abnormal stock returns: The empirical power and specification of test statistics AU - Brad M. Barber AU - John D. Lyon JO - Journal of Financial Economics PY - 1997 VL - 43 IS - 3 DO - 10.1016/s0304-405x(96)00890-2 UR - https://doi.org/10.1016/s0304-405x(96)00890-2 ER - TY - JOUR TI - Time Series Regression with a Unit Root AU - P. C. B. Phillips JO - Econometrica PY - 1987 VL - 55 IS - 2 DO - 10.2307/1913237 UR - https://doi.org/10.2307/1913237 ER - TY - JOUR TI - Estimating betas from nonsynchronous data AU - Myron S. Scholes AU - Joseph T. Williams JO - Journal of Financial Economics PY - 1977 VL - 5 IS - 3 DO - 10.1016/0304-405x(77)90041-1 UR - https://doi.org/10.1016/0304-405x(77)90041-1 ER - TY - JOUR TI - A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data AU - James J. Heckman AU - Burton H. Singer JO - Econometrica PY - 1984 VL - 52 IS - 2 DO - 10.2307/1911491 UR - https://doi.org/10.2307/1911491 ER - TY - JOUR TI - Smoothing reference centile curves: The lms method and penalized likelihood AU - Tim James Cole AU - P. J. Green JO - Statistics in Medicine PY - 1992 VL - 11 IS - 10 DO - 10.1002/sim.4780111005 UR - https://doi.org/10.1002/sim.4780111005 ER - TY - JOUR TI - Nonparametric Statistics AU - Sidney Siegel JO - The American Statistician PY - 1957 VL - 11 IS - 3 DO - 10.1080/00031305.1957.10501091 UR - https://doi.org/10.1080/00031305.1957.10501091 ER - TY - JOUR TI - Estimation of Regression Coefficients When Some Regressors are not Always Observed AU - James M. Robins AU - Andrea G. Rotnitzky AU - Lue Ping Zhao JO - Journal of the American Statistical Association PY - 1994 VL - 89 IS - 427 DO - 10.1080/01621459.1994.10476818 UR - https://doi.org/10.1080/01621459.1994.10476818 ER - TY - JOUR TI - Estimation of the Mean of a Multivariate Normal Distribution AU - Charles Michael Stein JO - The Annals of Statistics PY - 1981 VL - 9 IS - 6 DO - 10.1214/aos/1176345632 UR - https://doi.org/10.1214/aos/1176345632 ER - TY - JOUR TI - Evidence of Predictable Behavior of Security Returns AU - Narasimhan Jegadeesh JO - The Journal of Finance PY - 1990 VL - 45 IS - 3 DO - 10.1111/j.1540-6261.1990.tb05110.x UR - https://doi.org/10.1111/j.1540-6261.1990.tb05110.x ER - TY - JOUR TI - Generalized reduced rank tests using the singular value decomposition AU - Frank R. Kleibergen AU - Richard Paap JO - Journal of Econometrics PY - 2005 VL - 133 IS - 1 DO - 10.1016/j.jeconom.2005.02.011 UR - https://doi.org/10.1016/j.jeconom.2005.02.011 ER - TY - JOUR TI - Evaluating Interval Forecasts AU - Peter Christoffersen JO - International Economic Review PY - 1998 VL - 39 IS - 4 DO - 10.2307/2527341 UR - https://doi.org/10.2307/2527341 ER - TY - JOUR TI - Flexible regression models with cubic splines AU - Sylvain Durrleman AU - Richard M Simon JO - Statistics in Medicine PY - 1989 VL - 8 IS - 5 DO - 10.1002/sim.4780080504 UR - https://doi.org/10.1002/sim.4780080504 ER - TY - JOUR TI - Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models AU - Arthur Lewbel JO - Journal of Business and Economic Statistics PY - 2012 VL - 30 IS - 1 DO - 10.1080/07350015.2012.643126 UR - https://doi.org/10.1080/07350015.2012.643126 ER - TY - JOUR TI - Consistent Estimates Based on Partially Consistent Observations AU - Jerzy Neyman AU - Elizabeth L. Scott JO - Econometrica PY - 1948 VL - 16 IS - 1 DO - 10.2307/1914288 UR - https://doi.org/10.2307/1914288 ER - TY - JOUR TI - GMM estimation with cross sectional dependence AU - Timothy G. Conley JO - Journal of Econometrics PY - 1999 VL - 92 IS - 1 DO - 10.1016/s0304-4076(98)00084-0 UR - https://doi.org/10.1016/s0304-4076(98)00084-0 ER - TY - JOUR TI - An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units AU - Brent R. Moulton JO - The Review of Economics and Statistics PY - 1990 VL - 72 IS - 2 DO - 10.2307/2109724 UR - https://doi.org/10.2307/2109724 ER - TY - JOUR TI - Relative Importance for Linear Regression in R : The Package relaimpo AU - Ulrike Grömping JO - Journal of Statistical Software PY - 2006 VL - 17 IS - 1 DO - 10.18637/jss.v017.i01 UR - https://doi.org/10.18637/jss.v017.i01 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 - Macroeconomic Forecasting Using Diffusion Indexes AU - James H. Stock AU - Mark W. Watson JO - Journal of Business and Economic Statistics PY - 2002 VL - 20 IS - 2 DO - 10.1198/073500102317351921 UR - https://doi.org/10.1198/073500102317351921 ER - TY - JOUR TI - A YIELD‐FACTOR MODEL OF INTEREST RATES AU - Darrell Duffie AU - Rui Kan JO - Mathematical Finance PY - 1996 VL - 6 IS - 4 DO - 10.1111/j.1467-9965.1996.tb00123.x UR - https://doi.org/10.1111/j.1467-9965.1996.tb00123.x ER - TY - JOUR TI - Chi-Square Tests with One Degree of Freedom; Extensions of the Mantel-Haenszel Procedure AU - Nathan Mantel JO - Journal of the American Statistical Association PY - 1963 VL - 58 IS - 303 DO - 10.1080/01621459.1963.10500879 UR - https://doi.org/10.1080/01621459.1963.10500879 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 - Inference in Linear Time Series Models with some Unit Roots AU - Christopher A. Sims AU - James H. Stock AU - Mark W. Watson JO - Econometrica PY - 1990 VL - 58 IS - 1 DO - 10.2307/2938337 UR - https://doi.org/10.2307/2938337 ER - TY - JOUR TI - DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES AU - Clive W. J. Granger JO - Oxford Bulletin of Economics and Statistics PY - 1986 VL - 48 IS - 3 DO - 10.1111/j.1468-0084.1986.mp48003002.x UR - https://doi.org/10.1111/j.1468-0084.1986.mp48003002.x ER - TY - JOUR TI - Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests under Nonstandard Conditions AU - Steven G. Self AU - Kung‐Yee Liang JO - Journal of the American Statistical Association PY - 1987 VL - 82 IS - 398 DO - 10.1080/01621459.1987.10478472 UR - https://doi.org/10.1080/01621459.1987.10478472 ER - TY - JOUR TI - The Robust Inference for the Cox Proportional Hazards Model AU - Danyu Y. Lin AU - L. J. Wei JO - Journal of the American Statistical Association PY - 1989 VL - 84 IS - 408 DO - 10.1080/01621459.1989.10478874 UR - https://doi.org/10.1080/01621459.1989.10478874 ER - TY - JOUR TI - The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses AU - Svante Wold AU - Axel Ruhe AU - Herman Wold AU - William Jackson Dunn JO - SIAM Journal on Scientific and Statistical Computing PY - 1984 VL - 5 IS - 3 DO - 10.1137/0905052 UR - https://doi.org/10.1137/0905052 ER - TY - JOUR TI - Discriminatory Analysis. Nonparametric Discrimination: Consistency Properties AU - Evelyn Fix AU - J. L. Hodges JO - International Statistical Review PY - 1989 VL - 57 IS - 3 DO - 10.2307/1403797 UR - https://doi.org/10.2307/1403797 ER - TY - JOUR TI - Testing the pecking order theory of capital structure AU - Murray Z. Frank AU - Vidhan K. Goyal JO - Journal of Financial Economics PY - 2002 VL - 67 IS - 2 DO - 10.1016/s0304-405x(02)00252-0 UR - https://doi.org/10.1016/s0304-405x(02)00252-0 ER - TY - JOUR TI - Simultaneous analysis of Lasso and Dantzig selector AU - Peter J. Bickel AU - Ya’acov Ritov AU - Alexandre B. Tsybakov JO - The Annals of Statistics PY - 2009 VL - 37 IS - 4 DO - 10.1214/08-aos620 UR - https://doi.org/10.1214/08-aos620 ER - TY - JOUR TI - The Predictive Sample Reuse Method with Applications AU - Seymour Geisser JO - Journal of the American Statistical Association PY - 1975 VL - 70 IS - 350 DO - 10.1080/01621459.1975.10479865 UR - https://doi.org/10.1080/01621459.1975.10479865 ER - TY - JOUR TI - The Influence Curve and its Role in Robust Estimation AU - Frank R. Hampel JO - Journal of the American Statistical Association PY - 1974 VL - 69 IS - 346 DO - 10.1080/01621459.1974.10482962 UR - https://doi.org/10.1080/01621459.1974.10482962 ER - TY - JOUR TI - A solution to the problem of separation in logistic regression AU - Georg Heinze AU - MICHAEL SCHEMPER JO - Statistics in Medicine PY - 2002 VL - 21 IS - 16 DO - 10.1002/sim.1047 UR - https://doi.org/10.1002/sim.1047 ER - TY - JOUR TI - Residual-based tests for cointegration in models with regime shifts AU - Allan W. Gregory AU - Bruce E. Hansen JO - Journal of Econometrics PY - 1996 VL - 70 IS - 1 DO - 10.1016/0304-4076(69)41685-7 UR - https://doi.org/10.1016/0304-4076(69)41685-7 ER - TY - JOUR TI - Approximately normal tests for equal predictive accuracy in nested models AU - Todd E. Clark AU - Kenneth D. West JO - Journal of Econometrics PY - 2006 VL - 138 IS - 1 DO - 10.1016/j.jeconom.2006.05.023 UR - https://doi.org/10.1016/j.jeconom.2006.05.023 ER - TY - JOUR TI - The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004 AU - Philip R. Lane AU - Gian Maria Milesi‐Ferretti JO - Journal of International Economics PY - 2007 VL - 73 IS - 2 DO - 10.1016/j.jinteco.2007.02.003 UR - https://doi.org/10.1016/j.jinteco.2007.02.003 ER - TY - JOUR TI - A bias-adjusted LM test of error cross-section independence AU - M. Hashem Pesaran AU - Aman Ullah AU - Takashi Yamagata JO - Econometrics Journal PY - 2008 VL - 11 IS - 1 DO - 10.1111/j.1368-423x.2007.00227.x UR - https://doi.org/10.1111/j.1368-423x.2007.00227.x ER - TY - JOUR TI - Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative AU - Donald W. K. Andrews AU - Werner Ploberger JO - Econometrica PY - 1994 VL - 62 IS - 6 DO - 10.2307/2951753 UR - https://doi.org/10.2307/2951753 ER - TY - JOUR TI - The Stationary Bootstrap AU - Dimitris N. Politis AU - Joseph P. Romano JO - Journal of the American Statistical Association PY - 1994 VL - 89 IS - 428 DO - 10.1080/01621459.1994.10476870 UR - https://doi.org/10.1080/01621459.1994.10476870 ER - TY - JOUR TI - Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors AU - Alexander Chudík AU - M. Hashem Pesaran JO - Journal of Econometrics PY - 2015 VL - 188 IS - 2 DO - 10.1016/j.jeconom.2015.03.007 UR - https://doi.org/10.1016/j.jeconom.2015.03.007 ER - TY - JOUR TI - A Test of the Efficiency of a Given Portfolio AU - Michael R. Gibbons AU - Stephen A. Ross AU - Jay A. Shanken JO - Econometrica PY - 1989 VL - 57 IS - 5 DO - 10.2307/1913625 UR - https://doi.org/10.2307/1913625 ER - TY - JOUR TI - Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems AU - David A. Harville JO - Journal of the American Statistical Association PY - 1977 VL - 72 IS - 358 DO - 10.1080/01621459.1977.10480998 UR - https://doi.org/10.1080/01621459.1977.10480998 ER - TY - JOUR TI - INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS AU - Sudipta Basu JO - The Journal of Finance PY - 1977 VL - 32 IS - 3 DO - 10.1111/j.1540-6261.1977.tb01979.x UR - https://doi.org/10.1111/j.1540-6261.1977.tb01979.x ER - TY - JOUR TI - Forecasting at Scale AU - Sean J. Taylor AU - Benjamin Letham JO - The American Statistician PY - 2017 VL - 72 IS - 1 DO - 10.1080/00031305.2017.1380080 UR - https://doi.org/10.1080/00031305.2017.1380080 ER - TY - JOUR TI - Trends and random walks in macroeconomic time series AU - Pierre Perrón JO - Journal of Economic Dynamics and Control PY - 1988 VL - 12 IS - 2-3 DO - 10.1016/0165-1889(88)90043-7 UR - https://doi.org/10.1016/0165-1889(88)90043-7 ER - TY - JOUR TI - Estimating Trade Flows: Trading Partners and Trading Volumes * AU - Elhanan Helpman AU - Marc J.. Auteur du texte Melitz AU - Yona Rubinstein JO - The Quarterly Journal of Economics PY - 2008 VL - 123 IS - 2 DO - 10.1162/qjec.2008.123.2.441 UR - https://doi.org/10.1162/qjec.2008.123.2.441 ER - TY - JOUR TI - Some properties of time series data and their use in econometric model specification AU - Clive W. J. Granger JO - Journal of Econometrics PY - 1981 VL - 16 IS - 1 DO - 10.1016/0304-4076(81)90079-8 UR - https://doi.org/10.1016/0304-4076(81)90079-8 ER - TY - JOUR TI - Estimating regression models with unknown break‐points AU - Vito M. R. Muggeo JO - Statistics in Medicine PY - 2003 VL - 22 IS - 19 DO - 10.1002/sim.1545 UR - https://doi.org/10.1002/sim.1545 ER - TY - JOUR TI - The Jackknife and the Bootstrap for General Stationary Observations AU - Hans Rudolf Künsch JO - The Annals of Statistics PY - 1989 VL - 17 IS - 3 DO - 10.1214/aos/1176347265 UR - https://doi.org/10.1214/aos/1176347265 ER - TY - JOUR TI - An improved Bonferroni procedure for multiple tests of significance AU - Robert John Simes JO - Biometrika PY - 1986 VL - 73 IS - 3 DO - 10.1093/biomet/73.3.751 UR - https://doi.org/10.1093/biomet/73.3.751 ER - TY - JOUR TI - Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks AU - Junsoo Lee AU - Mark C. Strazicich JO - The Review of Economics and Statistics PY - 2003 VL - 85 IS - 4 DO - 10.1162/003465303772815961 UR - https://doi.org/10.1162/003465303772815961 ER - TY - JOUR TI - A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ AU - Stephen Beveridge AU - Charles R. Nelson JO - Journal of Monetary Economics PY - 1981 VL - 7 IS - 2 DO - 10.1016/0304-3932(81)90040-4 UR - https://doi.org/10.1016/0304-3932(81)90040-4 ER - TY - JOUR TI - Robust Regression: Asymptotics, Conjectures and Monte Carlo AU - Peter J. Huber JO - The Annals of Statistics PY - 1973 VL - 1 IS - 5 DO - 10.1214/aos/1176342503 UR - https://doi.org/10.1214/aos/1176342503 ER - TY - JOUR TI - What are the effects of monetary policy on output? Results from an agnostic identification procedure AU - Harald Uhlig JO - Journal of Monetary Economics PY - 2005 VL - 52 IS - 2 DO - 10.1016/j.jmoneco.2004.05.007 UR - https://doi.org/10.1016/j.jmoneco.2004.05.007 ER - TY - JOUR TI - Measuring and testing dependence by correlation of distances AU - Gábor J. Székely AU - Maria L. Rizzo AU - Nail K. Bakirov JO - The Annals of Statistics PY - 2007 VL - 35 IS - 6 DO - 10.1214/009053607000000505 UR - https://doi.org/10.1214/009053607000000505 ER - TY - JOUR TI - Bootstrap confidence intervals AU - Thomas J. DiCiccio AU - Bradley Efron JO - Statistical Science PY - 1996 VL - 11 IS - 3 DO - 10.1214/ss/1032280214 UR - https://doi.org/10.1214/ss/1032280214 ER - TY - JOUR TI - TESTS OF SIGNIFICANCE IN FACTOR ANALYSIS AU - M. S. Bartlett JO - British Journal of Statistical Psychology PY - 1950 VL - 3 IS - 2 DO - 10.1111/j.2044-8317.1950.tb00285.x UR - https://doi.org/10.1111/j.2044-8317.1950.tb00285.x ER - TY - JOUR TI - Threshold heteroskedastic models AU - Jean‐Michel Zakoïan JO - Journal of Economic Dynamics and Control PY - 1994 VL - 18 IS - 5 DO - 10.1016/0165-1889(94)90039-6 UR - https://doi.org/10.1016/0165-1889(94)90039-6 ER - TY - JOUR TI - Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis AU - Bruce E. Hansen JO - Econometrica PY - 1996 VL - 64 IS - 2 DO - 10.2307/2171789 UR - https://doi.org/10.2307/2171789 ER - TY - JOUR TI - Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework AU - Anindya Banerjee AU - Juan J. Dolado AU - Ricardo Mestre JO - Journal of Time Series Analysis PY - 1998 VL - 19 IS - 3 DO - 10.1111/1467-9892.00091 UR - https://doi.org/10.1111/1467-9892.00091 ER - TY - JOUR TI - The positive false discovery rate: a Bayesian interpretation and the q-value AU - John D. Storey JO - The Annals of Statistics PY - 2003 VL - 31 IS - 6 DO - 10.1214/aos/1074290335 UR - https://doi.org/10.1214/aos/1074290335 ER - TY - JOUR TI - Econometric Issues in the Analysis of Regressions with Generated Regressors AU - Adrian Pagan JO - International Economic Review PY - 1984 VL - 25 IS - 1 DO - 10.2307/2648877 UR - https://doi.org/10.2307/2648877 ER - TY - JOUR TI - Efficient Inference in a Random Coefficient Regression Model AU - P. A. V. B. Swamy JO - Econometrica PY - 1970 VL - 38 IS - 2 DO - 10.2307/1913012 UR - https://doi.org/10.2307/1913012 ER - TY - JOUR TI - Women as Policy Makers: Evidence from a Randomized Policy Experiment in India AU - Raghabendra Chattopadhyay AU - Esther Duflo JO - Econometrica PY - 2004 VL - 72 IS - 5 DO - 10.1111/j.1468-0262.2004.00539.x UR - https://doi.org/10.1111/j.1468-0262.2004.00539.x ER - TY - JOUR TI - Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis AU - Lars Peter Hansen AU - Robert J. Hodrick JO - Journal of Political Economy PY - 1980 VL - 88 IS - 5 DO - 10.1086/260910 UR - https://doi.org/10.1086/260910 ER - TY - JOUR TI - Exact and superlative index numbers AU - Walter E. Diewert JO - Journal of Econometrics PY - 1976 VL - 4 IS - 2 DO - 10.1016/0304-4076(76)90009-9 UR - https://doi.org/10.1016/0304-4076(76)90009-9 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 - Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation AU - Bradley Efron JO - Journal of the American Statistical Association PY - 1983 VL - 78 IS - 382 DO - 10.1080/01621459.1983.10477973 UR - https://doi.org/10.1080/01621459.1983.10477973 ER - TY - JOUR TI - What is an Oil Shock? AU - James Douglas Hamilton JO - Journal of Econometrics PY - 2000 VL - 113 IS - 2 DO - 10.1016/s0304-4076(02)00207-5 UR - https://doi.org/10.1016/s0304-4076(02)00207-5 ER - TY - JOUR TI - Estimating dynamic panel data models: a guide for macroeconomists AU - Ruth Judson AU - Ann L. Owen JO - Economics Letters PY - 1999 VL - 65 IS - 1 DO - 10.1016/s0165-1765(99)00130-5 UR - https://doi.org/10.1016/s0165-1765(99)00130-5 ER - TY - JOUR TI - Cointegration and Tests of Present Value Models AU - John Y. Campbell AU - Robert J. Shiller JO - Journal of Political Economy PY - 1987 VL - 95 IS - 5 DO - 10.1086/261502 UR - https://doi.org/10.1086/261502 ER - TY - JOUR TI - Robust regression using iteratively reweighted least-squares AU - Paul W. Holland AU - Roy E. Welsch JO - Communication in Statistics- Theory and Methods PY - 1977 VL - 6 IS - 9 DO - 10.1080/03610927708827533 UR - https://doi.org/10.1080/03610927708827533 ER - TY - JOUR TI - Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models AU - Timo Teräsvirta JO - Journal of the American Statistical Association PY - 1994 VL - 89 IS - 425 DO - 10.1080/01621459.1994.10476462 UR - https://doi.org/10.1080/01621459.1994.10476462 ER - TY - JOUR TI - The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks AU - Christina Romer AU - David Romer JO - American Economic Review PY - 2010 VL - 100 IS - 3 DO - 10.1257/aer.100.3.763 UR - https://doi.org/10.1257/aer.100.3.763 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 - Projection Pursuit Regression AU - Jerome H. Friedman AU - Werner Stuetzle JO - Journal of the American Statistical Association PY - 1981 VL - 76 IS - 376 DO - 10.1080/01621459.1981.10477729 UR - https://doi.org/10.1080/01621459.1981.10477729 ER - TY - JOUR TI - Revisiting Event-Study Designs: Robust and Efficient Estimation AU - Kirill Borusyak AU - Xavier Jaravel AU - Jann Spiess JO - The Review of Economic Studies PY - 2024 VL - 91 IS - 6 DO - 10.1093/restud/rdae007 UR - https://doi.org/10.1093/restud/rdae007 ER - TY - JOUR TI - Stable and Efficient Multiple Smoothing Parameter Estimation for Generalized Additive Models AU - Simon N. Wood JO - Journal of the American Statistical Association PY - 2004 VL - 99 IS - 467 DO - 10.1198/016214504000000980 UR - https://doi.org/10.1198/016214504000000980 ER - TY - JOUR TI - Tests for Linear Trends in Proportions and Frequencies AU - P. Armitage JO - Biometrics PY - 1955 VL - 11 IS - 3 DO - 10.2307/3001775 UR - https://doi.org/10.2307/3001775 ER - TY - JOUR TI - Hypothesis testing when a nuisance parameter is present only under the alternative AU - Robert Bruce Davies JO - Biometrika PY - 1987 VL - 74 IS - 1 DO - 10.1093/biomet/74.1.33 UR - https://doi.org/10.1093/biomet/74.1.33 ER - TY - JOUR TI - Table for Estimating the Goodness of Fit of Empirical Distributions AU - N. Smirnov JO - The Annals of Mathematical Statistics PY - 1948 VL - 19 IS - 2 DO - 10.1214/aoms/1177730256 UR - https://doi.org/10.1214/aoms/1177730256 ER - TY - JOUR TI - Further evidence on breaking trend functions in macroeconomic variables AU - Pierre Perrón JO - Journal of Econometrics PY - 1997 VL - 80 IS - 2 DO - 10.1016/s0304-4076(97)00049-3 UR - https://doi.org/10.1016/s0304-4076(97)00049-3 ER - TY - JOUR TI - The Dip Test of Unimodality AU - John A. Hartigan AU - Pamela M. Hartigan JO - The Annals of Statistics PY - 1985 VL - 13 IS - 1 DO - 10.1214/aos/1176346577 UR - https://doi.org/10.1214/aos/1176346577 ER - TY - JOUR TI - Numerical distribution functions of likelihood ratio tests for cointegration AU - James G. MacKinnon AU - Alfred A. Haug AU - Leo Michelis JO - Journal of Applied Econometrics PY - 1999 VL - 14 IS - 5 DO - 10.1002/(sici)1099-1255(199909/10)14:5<563::aid-jae530>3.0.co;2-r UR - https://doi.org/10.1002/(sici)1099-1255(199909/10)14:5%3C563::aid-jae530%3E3.0.co;2-r ER - TY - JOUR TI - Bayes Estimates for the Linear Model AU - D. V. Lindley AU - A. F. M. Smith JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1972 VL - 34 IS - 1 DO - 10.1111/j.2517-6161.1972.tb00885.x UR - https://doi.org/10.1111/j.2517-6161.1972.tb00885.x ER - TY - JOUR TI - Empirical likelihood ratio confidence intervals for a single functional AU - Art B. Owen JO - Biometrika PY - 1988 VL - 75 IS - 2 DO - 10.1093/biomet/75.2.237 UR - https://doi.org/10.1093/biomet/75.2.237 ER - TY - JOUR TI - Giving According to GARP: An Experimental Test of the Consistency of Preferences for Altruism AU - James Andreoni AU - John H. Miller JO - Econometrica PY - 2002 VL - 70 IS - 2 DO - 10.1111/1468-0262.00302 UR - https://doi.org/10.1111/1468-0262.00302 ER - TY - JOUR TI - Asymptotic Properties of Residual Based Tests for Cointegration AU - P. C. B. Phillips AU - Sam Ouliaris JO - Econometrica PY - 1990 VL - 58 IS - 1 DO - 10.2307/2938339 UR - https://doi.org/10.2307/2938339 ER - TY - JOUR TI - Analysis of time series subject to changes in regime AU - James Douglas Hamilton JO - Journal of Econometrics PY - 1990 VL - 45 IS - 1-2 DO - 10.1016/0304-4076(90)90093-9 UR - https://doi.org/10.1016/0304-4076(90)90093-9 ER - TY - JOUR TI - Multicollinearity in Regression Analysis: The Problem Revisited AU - Donald E. Farrar AU - Robert R. Glauber JO - The Review of Economics and Statistics PY - 1967 VL - 49 IS - 1 DO - 10.2307/1937887 UR - https://doi.org/10.2307/1937887 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 - Quasi-likelihood functions, generalized linear models, and the Gauss—Newton method AU - R. W. M. Wedderburn JO - Biometrika PY - 1974 VL - 61 IS - 3 DO - 10.1093/biomet/61.3.439 UR - https://doi.org/10.1093/biomet/61.3.439 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 - TheRPackagegeepackfor Generalized Estimating Equations AU - Ulrich Halekoh AU - Søren Højsgaard AU - Jun Yan JO - Journal of Statistical Software PY - 2006 VL - 15 IS - 2 DO - 10.18637/jss.v015.i02 UR - https://doi.org/10.18637/jss.v015.i02 ER - TY - JOUR TI - Estimating the Return to Schooling: Progress on Some Persistent Econometric Problems AU - David Card JO - Econometrica PY - 2001 VL - 69 IS - 5 DO - 10.1111/1468-0262.00237 UR - https://doi.org/10.1111/1468-0262.00237 ER - TY - JOUR TI - Improved Methods for Tests of Long‐Run Abnormal Stock Returns AU - John D. Lyon AU - Brad M. Barber AU - Chih‐Ling Tsai JO - The Journal of Finance PY - 1999 VL - 54 IS - 1 DO - 10.1111/0022-1082.00101 UR - https://doi.org/10.1111/0022-1082.00101 ER - TY - JOUR TI - Measurement of Linear Dependence and Feedback between Multiple Time Series AU - John F Geweke JO - Journal of the American Statistical Association PY - 1982 VL - 77 IS - 378 DO - 10.1080/01621459.1982.10477803 UR - https://doi.org/10.1080/01621459.1982.10477803 ER - TY - JOUR TI - Testing for Common Trends AU - James H. Stock AU - Mark W. Watson JO - Journal of the American Statistical Association PY - 1988 VL - 83 IS - 404 DO - 10.1080/01621459.1988.10478707 UR - https://doi.org/10.1080/01621459.1988.10478707 ER - TY - JOUR TI - Long memory processes and fractional integration in econometrics AU - Richard T. Baillie JO - Journal of Econometrics PY - 1996 VL - 73 IS - 1 DO - 10.1016/0304-4076(95)01732-1 UR - https://doi.org/10.1016/0304-4076(95)01732-1 ER - TY - JOUR TI - Recent developments in DEA AU - Lawrence M. Seiford AU - Robert Thrall JO - Journal of Econometrics PY - 1990 VL - 46 IS - 1-2 DO - 10.1016/0304-4076(90)90045-u UR - https://doi.org/10.1016/0304-4076(90)90045-u ER - TY - JOUR TI - Hypothesis Testing with Efficient Method of Moments Estimation AU - Whitney K. Newey AU - Kenneth D. West JO - International Economic Review PY - 1987 VL - 28 IS - 3 DO - 10.2307/2526578 UR - https://doi.org/10.2307/2526578 ER - TY - JOUR TI - An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy AU - Julio J. Rotemberg AU - Michael Woodford JO - NBER Macroeconomics Annual PY - 1997 VL - 12 DO - 10.1086/654340 UR - https://doi.org/10.1086/654340 ER - TY - JOUR TI - A PANIC Attack on Unit Roots and Cointegration AU - Jushan Bai AU - Serena Ng JO - Econometrica PY - 2004 VL - 72 IS - 4 DO - 10.1111/j.1468-0262.2004.00528.x UR - https://doi.org/10.1111/j.1468-0262.2004.00528.x ER - TY - JOUR TI - Interpreting the macroeconomic time series facts AU - Christopher A. Sims JO - European Economic Review PY - 1992 VL - 36 IS - 5 DO - 10.1016/0014-2921(92)90041-t UR - https://doi.org/10.1016/0014-2921(92)90041-t ER - TY - JOUR TI - Forecasting and testing in co-integrated systems AU - Robert F. Engle AU - Byung Sam Yoo JO - Journal of Econometrics PY - 1987 VL - 35 IS - 1 DO - 10.1016/0304-4076(87)90085-6 UR - https://doi.org/10.1016/0304-4076(87)90085-6 ER - TY - JOUR TI - Goodness of fit tests for the multiple logistic regression model AU - David W. Hosmer AU - Stanley Lemesbow JO - Communication in Statistics- Theory and Methods PY - 1980 VL - 9 IS - 10 DO - 10.1080/03610928008827941 UR - https://doi.org/10.1080/03610928008827941 ER - TY - JOUR TI - Autoregressive conditional heteroskedasticity and changes in regime AU - James Douglas Hamilton AU - Raúl Susmel JO - Journal of Econometrics PY - 1994 VL - 64 IS - 1-2 DO - 10.1016/0304-4076(94)90067-1 UR - https://doi.org/10.1016/0304-4076(94)90067-1 ER - TY - JOUR TI - Interval estimation for the difference between independent proportions: comparison of eleven methods AU - Robert Gordon Newcombe JO - Statistics in Medicine PY - 1998 VL - 17 IS - 8 DO - 10.1002/(sici)1097-0258(19980430)17:8<873::aid-sim779>3.0.co;2-i UR - https://doi.org/10.1002/(sici)1097-0258(19980430)17:8%3C873::aid-sim779%3E3.0.co;2-i ER - TY - JOUR TI - Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data AU - Robert F. Engle AU - Jeffrey R. Russell JO - Econometrica PY - 1998 VL - 66 IS - 5 DO - 10.2307/2999632 UR - https://doi.org/10.2307/2999632 ER - TY - JOUR TI - Assessing Proportionality in the Proportional Odds Model for Ordinal Logistic Regression AU - Rollin Brant JO - Biometrics PY - 1990 VL - 46 IS - 4 DO - 10.2307/2532457 UR - https://doi.org/10.2307/2532457 ER - TY - JOUR TI - A COMPARISON OF GOODNESS-OF-FIT TESTS FOR THE LOGISTIC REGRESSION MODEL AU - D. W. Hosmer AU - Trina A. Hosmer AU - Saskia le Cessie AU - Stanley A. Lemeshow JO - Statistics in Medicine PY - 1997 VL - 16 IS - 9 DO - 10.1002/(sici)1097-0258(19970515)16:9<965::aid-sim509>3.0.co;2-o UR - https://doi.org/10.1002/(sici)1097-0258(19970515)16:9%3C965::aid-sim509%3E3.0.co;2-o ER - TY - JOUR TI - Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties AU - James G. MacKinnon AU - Halbert White JO - Journal of Econometrics PY - 1985 VL - 29 IS - 3 DO - 10.1016/0304-4076(85)90158-7 UR - https://doi.org/10.1016/0304-4076(85)90158-7 ER - TY - JOUR TI - Several Tests for Model Specification in the Presence of Alternative Hypotheses AU - Russell Davidson AU - James G. MacKinnon JO - Econometrica PY - 1981 VL - 49 IS - 3 DO - 10.2307/1911522 UR - https://doi.org/10.2307/1911522 ER - TY - JOUR TI - Consistent Nonparametric Regression AU - Charles J. Stone JO - The Annals of Statistics PY - 1977 VL - 5 IS - 4 DO - 10.1214/aos/1176343886 UR - https://doi.org/10.1214/aos/1176343886 ER - TY - JOUR TI - Understanding spurious regressions in econometrics AU - Peter C.B. Phillips JO - Journal of Econometrics PY - 1986 VL - 33 IS - 3 DO - 10.1016/0304-4076(86)90001-1 UR - https://doi.org/10.1016/0304-4076(86)90001-1 ER - TY - JOUR TI - Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach AU - Ben Bernanke AU - Jean L. Boivin AU - Piotr Eliasz JO - The Quarterly Journal of Economics PY - 2005 VL - 120 IS - 1 DO - 10.1162/0033553053327452 UR - https://doi.org/10.1162/0033553053327452 ER - TY - JOUR TI - A comparison of some methodologies for the factor analysis of non‐normal Likert variables AU - Bengt Muthén AU - David Kaplan JO - British Journal of Mathematical and Statistical Psychology PY - 1985 VL - 38 IS - 2 DO - 10.1111/j.2044-8317.1985.tb00832.x UR - https://doi.org/10.1111/j.2044-8317.1985.tb00832.x ER - TY - JOUR TI - Detecting Multicollinearity in Regression Analysis AU - Noora Shrestha JO - American Journal of Applied Mathematics and Statistics PY - 2020 VL - 8 IS - 2 DO - 10.12691/ajams-8-2-1 UR - https://doi.org/10.12691/ajams-8-2-1 ER - TY - JOUR TI - A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression AU - Ronald Raymond Hocking JO - Biometrics PY - 1976 VL - 32 IS - 1 DO - 10.2307/2529336 UR - https://doi.org/10.2307/2529336 ER - TY - JOUR TI - Asymptotically distribution‐free methods for the analysis of covariance structures AU - Michael W. Browne JO - British Journal of Mathematical and Statistical Psychology PY - 1984 VL - 37 IS - 1 DO - 10.1111/j.2044-8317.1984.tb00789.x UR - https://doi.org/10.1111/j.2044-8317.1984.tb00789.x ER - TY - JOUR TI - An analysis of intertemporal and cross-sectional determinants of earnings response coefficients AU - Daniel W. Collins AU - S.P. Kothari JO - Journal of Accounting and Economics PY - 1989 VL - 11 IS - 2-3 DO - 10.1016/0165-4101(89)90004-9 UR - https://doi.org/10.1016/0165-4101(89)90004-9 ER - TY - JOUR TI - A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables AU - Andrew Ang AU - Monika Piazzesi JO - Journal of Monetary Economics PY - 2003 VL - 50 IS - 4 DO - 10.1016/s0304-3932(03)00032-1 UR - https://doi.org/10.1016/s0304-3932(03)00032-1 ER - TY - JOUR TI - Cem: Coarsened Exact Matching in Stata AU - Matthew Blackwell AU - Stefano Maria Iacus AU - Gary King AU - Giuseppe Porro JO - The Stata Journal Promoting communications on statistics and Stata PY - 2009 VL - 9 IS - 4 DO - 10.1177/1536867x0900900402 UR - https://doi.org/10.1177/1536867x0900900402 ER - TY - JOUR TI - Jackknife, Bootstrap and Other Resampling Methods in Regression Analysis AU - C. F. Jeff Wu JO - The Annals of Statistics PY - 1986 VL - 14 IS - 4 DO - 10.1214/aos/1176350142 UR - https://doi.org/10.1214/aos/1176350142 ER - TY - JOUR TI - The Term Structure as a Predictor of Real Economic Activity AU - Arturo Estrella AU - Gikas A. Hardouvelis JO - The Journal of Finance PY - 1991 VL - 46 IS - 2 DO - 10.1111/j.1540-6261.1991.tb02674.x UR - https://doi.org/10.1111/j.1540-6261.1991.tb02674.x ER - TY - JOUR TI - Evidence on the Characteristics of Cross Sectional Variation in Stock Returns AU - Kent Daniel AU - Sheridan D. Titman JO - The Journal of Finance PY - 1997 VL - 52 IS - 1 DO - 10.1111/j.1540-6261.1997.tb03806.x UR - https://doi.org/10.1111/j.1540-6261.1997.tb03806.x ER - TY - JOUR TI - Forecasting seasonals and trends by exponentially weighted moving averages AU - Charles C. Holt JO - International Journal of Forecasting PY - 2004 VL - 20 IS - 1 DO - 10.1016/j.ijforecast.2003.09.015 UR - https://doi.org/10.1016/j.ijforecast.2003.09.015 ER - TY - JOUR TI - Empirical Likelihood and General Estimating Equations AU - Qin Jin AU - Jerry F. Lawless JO - The Annals of Statistics PY - 1994 VL - 22 IS - 1 DO - 10.1214/aos/1176325370 UR - https://doi.org/10.1214/aos/1176325370 ER - TY - JOUR TI - Improving predictive inference under covariate shift by weighting the log-likelihood function AU - Hidetoshi Shimodaira JO - Journal of Statistical Planning and Inference PY - 2000 VL - 90 IS - 2 DO - 10.1016/s0378-3758(00)00115-4 UR - https://doi.org/10.1016/s0378-3758(00)00115-4 ER - TY - JOUR TI - Improved estimation of the covariance matrix of stock returns with an application to portfolio selection AU - Olivier Ledoit AU - Michael Wolf JO - Journal of Empirical Finance PY - 2003 VL - 10 IS - 5 DO - 10.1016/s0927-5398(03)00007-0 UR - https://doi.org/10.1016/s0927-5398(03)00007-0 ER - TY - JOUR TI - Ridge Estimators in Logistic Regression AU - Saskia le Cessie AU - Hans C. van Houwelingen JO - Journal of the Royal Statistical Society Series C (Applied Statistics) PY - 1992 VL - 41 IS - 1 DO - 10.2307/2347628 UR - https://doi.org/10.2307/2347628 ER - TY - JOUR TI - On the Estimation of Beta-Pricing Models AU - Jay A. Shanken JO - Review of Financial Studies PY - 1992 VL - 5 IS - 1 DO - 10.1093/rfs/5.1.1 UR - https://doi.org/10.1093/rfs/5.1.1 ER - TY - JOUR TI - Predictive regressions AU - Robert F. Stambaugh JO - Journal of Financial Economics PY - 1999 VL - 54 IS - 3 DO - 10.1016/s0304-405x(99)00041-0 UR - https://doi.org/10.1016/s0304-405x(99)00041-0 ER - TY - JOUR TI - Identifying Government Spending Shocks: It's all in the Timing* AU - Valerie Ramey JO - The Quarterly Journal of Economics PY - 2011 VL - 126 IS - 1 DO - 10.1093/qje/qjq008 UR - https://doi.org/10.1093/qje/qjq008 ER - TY - JOUR TI - Sequential Tests of Statistical Hypotheses AU - A. Wald JO - The Annals of Mathematical Statistics PY - 1945 VL - 16 IS - 2 DO - 10.1214/aoms/1177731118 UR - https://doi.org/10.1214/aoms/1177731118 ER - TY - JOUR TI - Linear Model Selection by Cross-validation AU - Jun Shao JO - Journal of the American Statistical Association PY - 1993 VL - 88 IS - 422 DO - 10.1080/01621459.1993.10476299 UR - https://doi.org/10.1080/01621459.1993.10476299 ER - TY - JOUR TI - Estimating the components of the bid/ask spread AU - Lawrence R. Glosten AU - LAWRENCE E. HARRIS JO - Journal of Financial Economics PY - 1988 VL - 21 IS - 1 DO - 10.1016/0304-405x(88)90034-7 UR - https://doi.org/10.1016/0304-405x(88)90034-7 ER - TY - JOUR TI - Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK AU - Søren Johansen AU - Katarina Jusélius JO - Journal of Econometrics PY - 1992 VL - 53 IS - 1-3 DO - 10.1016/0304-4076(92)90086-7 UR - https://doi.org/10.1016/0304-4076(92)90086-7 ER - TY - JOUR TI - Inflation forecast targeting: Implementing and monitoring inflation targets AU - Lars E.O. Svensson JO - European Economic Review PY - 1997 VL - 41 IS - 6 DO - 10.1016/s0014-2921(96)00055-4 UR - https://doi.org/10.1016/s0014-2921(96)00055-4 ER - TY - JOUR TI - A Test of Goodness of Fit AU - T. W. Anderson AU - Donald A. Darling JO - Journal of the American Statistical Association PY - 1954 VL - 49 IS - 268 DO - 10.1080/01621459.1954.10501232 UR - https://doi.org/10.1080/01621459.1954.10501232 ER - TY - JOUR TI - High Breakdown-Point and High Efficiency Robust Estimates for Regression AU - Vı́ctor J. Yohai JO - The Annals of Statistics PY - 1987 VL - 15 IS - 2 DO - 10.1214/aos/1176350366 UR - https://doi.org/10.1214/aos/1176350366 ER - TY - JOUR TI - Term Premia and Interest Rate Forecasts in Affine Models AU - Gregory R. Duffee JO - The Journal of Finance PY - 2002 VL - 57 IS - 1 DO - 10.1111/1540-6261.00426 UR - https://doi.org/10.1111/1540-6261.00426 ER - TY - JOUR TI - Random group effects and the precision of regression estimates AU - Brent R. Moulton JO - Journal of Econometrics PY - 1986 VL - 32 IS - 3 DO - 10.1016/0304-4076(86)90021-7 UR - https://doi.org/10.1016/0304-4076(86)90021-7 ER - TY - JOUR TI - Global optimization of statistical functions with simulated annealing AU - William L. Goffe AU - Gary D. Ferrier AU - John Rogers JO - Journal of Econometrics PY - 1994 VL - 60 IS - 1-2 DO - 10.1016/0304-4076(94)90038-8 UR - https://doi.org/10.1016/0304-4076(94)90038-8 ER - TY - JOUR TI - Sample Criteria for Testing Outlying Observations AU - Frank E. Grubbs JO - The Annals of Mathematical Statistics PY - 1950 VL - 21 IS - 1 DO - 10.1214/aoms/1177729885 UR - https://doi.org/10.1214/aoms/1177729885 ER - TY - JOUR TI - An Econometric Analysis of Residential Electric Appliance Holdings and Consumption AU - Jeffrey A. Dubin AU - Daniel L. McFadden JO - Econometrica PY - 1984 VL - 52 IS - 2 DO - 10.2307/1911493 UR - https://doi.org/10.2307/1911493 ER - TY - JOUR TI - Electricity price forecasting: A review of the state-of-the-art with a look into the future AU - Rafał Weron JO - International Journal of Forecasting PY - 2014 VL - 30 IS - 4 DO - 10.1016/j.ijforecast.2014.08.008 UR - https://doi.org/10.1016/j.ijforecast.2014.08.008 ER - TY - JOUR TI - Autoregressive Conditional Density Estimation AU - Bruce E. Hansen JO - International Economic Review PY - 1994 VL - 35 IS - 3 DO - 10.2307/2527081 UR - https://doi.org/10.2307/2527081 ER - TY - JOUR TI - A Suggestion for Using Powerful and Informative Tests of Normality AU - Ralph B. D’Agostino AU - Albert J. Belanger AU - Ralph B. D’Agostino JO - The American Statistician PY - 1990 VL - 44 IS - 4 DO - 10.1080/00031305.1990.10475751 UR - https://doi.org/10.1080/00031305.1990.10475751 ER - TY - JOUR TI - Exploratory latent structure analysis using both identifiable and unidentifiable models AU - Leo A. Goodman JO - Biometrika PY - 1974 VL - 61 IS - 2 DO - 10.1093/biomet/61.2.215 UR - https://doi.org/10.1093/biomet/61.2.215 ER - TY - JOUR TI - Finite state markov-chain approximations to univariate and vector autoregressions AU - George E. Tauchen JO - Economics Letters PY - 1986 VL - 20 IS - 2 DO - 10.1016/0165-1765(86)90168-0 UR - https://doi.org/10.1016/0165-1765(86)90168-0 ER - TY - JOUR TI - Estimating the Technology of Cognitive and Noncognitive Skill Formation AU - Flávio Cunha AU - James J. Heckman AU - Susanne M. Schennach JO - Econometrica PY - 2010 VL - 78 IS - 3 DO - 10.3982/ecta6551 UR - https://doi.org/10.3982/ecta6551 ER - TY - JOUR TI - How Active Is Your Fund Manager? A New Measure That Predicts Performance AU - Martijn Cremers AU - Antti Petäjistö JO - Review of Financial Studies PY - 2009 VL - 22 IS - 9 DO - 10.1093/rfs/hhp057 UR - https://doi.org/10.1093/rfs/hhp057 ER - TY - JOUR TI - Estimating Optimal Transformations for Multiple Regression and Correlation AU - Leo Breiman AU - Jerome H. Friedman JO - Journal of the American Statistical Association PY - 1985 VL - 80 IS - 391 DO - 10.1080/01621459.1985.10478157 UR - https://doi.org/10.1080/01621459.1985.10478157 ER - TY - JOUR TI - Bayesian Inference in Econometric Models Using Monte Carlo Integration AU - John F Geweke JO - Econometrica PY - 1989 VL - 57 IS - 6 DO - 10.2307/1913710 UR - https://doi.org/10.2307/1913710 ER - TY - JOUR TI - 25 years of time series forecasting AU - Jan G. De Gooijer AU - Rob J. Hyndman JO - International Journal of Forecasting PY - 2006 VL - 22 IS - 3 DO - 10.1016/j.ijforecast.2006.01.001 UR - https://doi.org/10.1016/j.ijforecast.2006.01.001 ER - TY - JOUR TI - Big Data: New Tricks for Econometrics AU - Hal R. Varian JO - The Journal of Economic Perspectives PY - 2014 VL - 28 IS - 2 DO - 10.1257/jep.28.2.3 UR - https://doi.org/10.1257/jep.28.2.3 ER - TY - JOUR TI - Geographically Weighted Regression AU - Chris Brunsdon AU - Stewart Fotheringham AU - Martin E. Charlton JO - Journal of the Royal Statistical Society Series D (The Statistician) PY - 1998 VL - 47 IS - 3 DO - 10.1111/1467-9884.00145 UR - https://doi.org/10.1111/1467-9884.00145 ER - TY - JOUR TI - Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts AU - Harrison G. Hong AU - Jeffrey D. Kubik JO - The Journal of Finance PY - 2003 VL - 58 IS - 1 DO - 10.1111/1540-6261.00526 UR - https://doi.org/10.1111/1540-6261.00526 ER - TY - JOUR TI - Testing for a unit root in the nonlinear STAR framework AU - George Kapetanios AU - Yongcheol Shin AU - Andy Snell JO - Journal of Econometrics PY - 2002 VL - 112 IS - 2 DO - 10.1016/s0304-4076(02)00202-6 UR - https://doi.org/10.1016/s0304-4076(02)00202-6 ER - TY - JOUR TI - Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions AU - Nikolaos Antonakakis AU - Ioannis Chatziantoniou AU - David Gabauer JO - Journal of risk and financial management PY - 2020 VL - 13 IS - 4 DO - 10.3390/jrfm13040084 UR - https://doi.org/10.3390/jrfm13040084 ER - TY - JOUR TI - Analysis of Semiparametric Regression Models for Repeated Outcomes in the Presence of Missing Data AU - James M. Robins AU - Andrea G. Rotnitzky AU - Lue Ping Zhao JO - Journal of the American Statistical Association PY - 1995 VL - 90 IS - 429 DO - 10.1080/01621459.1995.10476493 UR - https://doi.org/10.1080/01621459.1995.10476493 ER - TY - JOUR TI - Variance Inflation Factor: As a Condition for the Inclusion of Suppressor Variable(s) in Regression Analysis AU - OA Akinwande AU - Hussaini Garba Dikko AU - Samson Agboola JO - Open Journal of Statistics PY - 2015 VL - 05 IS - 07 DO - 10.4236/ojs.2015.57075 UR - https://doi.org/10.4236/ojs.2015.57075 ER - TY - JOUR TI - Implementing a Class of Permutation Tests: The coin Package AU - Torsten Hothorn AU - Kurt Hornik AU - Mark A. van de Wiel AU - Achim Zeileis JO - Journal of Statistical Software PY - 2008 VL - 28 IS - 8 DO - 10.18637/jss.v028.i08 UR - https://doi.org/10.18637/jss.v028.i08 ER - TY - JOUR TI - Does financial development cause economic growth? Time-series evidence from 16 countries AU - Panicos O. Demetriades AU - Khaled Hussein JO - Journal of Development Economics PY - 1996 VL - 51 IS - 2 DO - 10.1016/s0304-3878(96)00421-x UR - https://doi.org/10.1016/s0304-3878(96)00421-x ER - TY - JOUR TI - Using Heteroscedasticity Consistent Standard Errors in the Linear Regression Model AU - J. Scott Long AU - Laurie H. Ervin JO - The American Statistician PY - 2000 VL - 54 IS - 3 DO - 10.1080/00031305.2000.10474549 UR - https://doi.org/10.1080/00031305.2000.10474549 ER - TY - JOUR TI - Simulation and the Asymptotics of Optimization Estimators AU - Ariel Pakes AU - David Pollard JO - Econometrica PY - 1989 VL - 57 IS - 5 DO - 10.2307/1913622 UR - https://doi.org/10.2307/1913622 ER - TY - JOUR TI - Post-'87 crash fears in the S&P 500 futures option market AU - David S. Bates JO - Journal of Econometrics PY - 2000 VL - 94 IS - 1-2 DO - 10.1016/s0304-4076(99)00021-4 UR - https://doi.org/10.1016/s0304-4076(99)00021-4 ER - TY - JOUR TI - Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying AU - Martin Lettau AU - Sydney C. Ludvigson JO - Journal of Political Economy PY - 2001 VL - 109 IS - 6 DO - 10.1086/323282 UR - https://doi.org/10.1086/323282 ER - TY - JOUR TI - Multiple Trend Breaks and the Unit-Root Hypothesis AU - Robin L. Lumsdaine AU - David H. Papell JO - The Review of Economics and Statistics PY - 1997 VL - 79 IS - 2 DO - 10.1162/003465397556791 UR - https://doi.org/10.1162/003465397556791 ER - TY - JOUR TI - Empirical Likelihood Ratio Confidence Regions AU - Art B. Owen JO - The Annals of Statistics PY - 1990 VL - 18 IS - 1 DO - 10.1214/aos/1176347494 UR - https://doi.org/10.1214/aos/1176347494 ER - TY - JOUR TI - Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence AU - John Y. Campbell AU - N. Gregory Mankiw JO - NBER Macroeconomics Annual PY - 1989 VL - 4 DO - 10.1086/654107 UR - https://doi.org/10.1086/654107 ER - TY - JOUR TI - Gaussian Semiparametric Estimation of Long Range Dependence AU - Peter M. Robinson JO - The Annals of Statistics PY - 1995 VL - 23 IS - 5 DO - 10.1214/aos/1176324317 UR - https://doi.org/10.1214/aos/1176324317 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 - Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement AU - Robert J. Hodrick JO - Review of Financial Studies PY - 1992 VL - 5 IS - 3 DO - 10.1093/rfs/5.3.351 UR - https://doi.org/10.1093/rfs/5.3.351 ER - TY - JOUR TI - Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors AU - James H. Stock JO - Econometrica PY - 1987 VL - 55 IS - 5 DO - 10.2307/1911260 UR - https://doi.org/10.2307/1911260 ER - TY - JOUR TI - Seasonal integration and cointegration AU - Svend Hylleberg AU - Robert F. Engle AU - C.W.J. Granger AU - B.S. Yoo JO - Journal of Econometrics PY - 1990 VL - 44 IS - 1-2 DO - 10.1016/0304-4076(90)90080-d UR - https://doi.org/10.1016/0304-4076(90)90080-d ER - TY - JOUR TI - Long memory relationships and the aggregation of dynamic models AU - Clive W. J. Granger JO - Journal of Econometrics PY - 1980 VL - 14 IS - 2 DO - 10.1016/0304-4076(80)90092-5 UR - https://doi.org/10.1016/0304-4076(80)90092-5 ER - TY - JOUR TI - Dynamic linear models with Markov-switching AU - Chang‐Jin Kim JO - Journal of Econometrics PY - 1994 VL - 60 IS - 1-2 DO - 10.1016/0304-4076(94)90036-1 UR - https://doi.org/10.1016/0304-4076(94)90036-1 ER - TY - JOUR TI - The accuracy of extrapolation (time series) methods: Results of a forecasting competition AU - Spyros Makridakis AU - A. P. Andersen AU - Robert F. Carbone AU - Robert A. Fildes AU - Michèle Hibon AU - Rudolf Lewandowski AU - J. Newton AU - Emanuel Parzen AU - Robert L. Winkler JO - Journal of Forecasting PY - 1982 VL - 1 IS - 2 DO - 10.1002/for.3980010202 UR - https://doi.org/10.1002/for.3980010202 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 - Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model AU - M. Hashem Pesaran AU - Til Schuermann AU - Scott M. Weiner JO - Journal of Business and Economic Statistics PY - 2004 VL - 22 IS - 2 DO - 10.1198/073500104000000019 UR - https://doi.org/10.1198/073500104000000019 ER - TY - JOUR TI - THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL AU - Lutz Kilian AU - Daniel Murphy JO - Journal of Applied Econometrics PY - 2013 VL - 29 IS - 3 DO - 10.1002/jae.2322 UR - https://doi.org/10.1002/jae.2322 ER - TY - JOUR TI - The Jackknife Estimate of Variance AU - Bradley Efron AU - C. Michael Stein JO - The Annals of Statistics PY - 1981 VL - 9 IS - 3 DO - 10.1214/aos/1176345462 UR - https://doi.org/10.1214/aos/1176345462 ER - TY - JOUR TI - Asymptotic Inference about Predictive Ability AU - Kenneth D. West JO - Econometrica PY - 1996 VL - 64 IS - 5 DO - 10.2307/2171956 UR - https://doi.org/10.2307/2171956 ER - TY - JOUR TI - High Frequency Identification of Monetary Non-Neutrality: The Information Effect AU - Emi Nakamura AU - Jón Steinsson JO - The Quarterly Journal of Economics PY - 2013 VL - 133 IS - 3 DO - 10.1093/qje/qjy004 UR - https://doi.org/10.1093/qje/qjy004 ER - TY - JOUR TI - Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables AU - Leslie G. Godfrey JO - Econometrica PY - 1978 VL - 46 IS - 6 DO - 10.2307/1913829 UR - https://doi.org/10.2307/1913829 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 - PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * AU - Manuel Arellano JO - Oxford Bulletin of Economics and Statistics PY - 1987 VL - 49 IS - 4 DO - 10.1111/j.1468-0084.1987.mp49004006.x UR - https://doi.org/10.1111/j.1468-0084.1987.mp49004006.x ER - TY - JOUR TI - Time series momentum AU - Tobias J. Moskowitz AU - Yao Hua Ooi AU - Lasse Heje Pedersen JO - Journal of Financial Economics PY - 2011 VL - 104 IS - 2 DO - 10.1016/j.jfineco.2011.11.003 UR - https://doi.org/10.1016/j.jfineco.2011.11.003 ER - TY - JOUR TI - Cross-Validation of Regression Models AU - Richard R. Picard AU - R. Dennis Cook JO - Journal of the American Statistical Association PY - 1984 VL - 79 IS - 387 DO - 10.1080/01621459.1984.10478083 UR - https://doi.org/10.1080/01621459.1984.10478083 ER - TY - JOUR TI - The horseshoe estimator for sparse signals AU - C. M. Carvalho AU - Nick Polson AU - James G. Scott JO - Biometrika PY - 2010 VL - 97 IS - 2 DO - 10.1093/biomet/asq017 UR - https://doi.org/10.1093/biomet/asq017 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 - Wald Criteria for Jointly Testing Equality and Inequality Restrictions AU - David A. Kodde AU - Franz C. Palm JO - Econometrica PY - 1986 VL - 54 IS - 5 DO - 10.2307/1912331 UR - https://doi.org/10.2307/1912331 ER - TY - JOUR TI - Transition Modeling and Econometric Convergence Tests AU - Peter C.B. Phillips AU - Donggyu Sul JO - Econometrica PY - 2007 VL - 75 IS - 6 DO - 10.1111/j.1468-0262.2007.00811.x UR - https://doi.org/10.1111/j.1468-0262.2007.00811.x ER - TY - JOUR TI - Simple formulas for standard errors that cluster by both firm and time AU - Samuel Brodsky Thompson JO - Journal of Financial Economics PY - 2010 VL - 99 IS - 1 DO - 10.1016/j.jfineco.2010.08.016 UR - https://doi.org/10.1016/j.jfineco.2010.08.016 ER - TY - JOUR TI - Pseudo Maximum Likelihood Methods: Theory AU - Christian Gouriéroux AU - Alain Monfort AU - Alain Trognon JO - Econometrica PY - 1984 VL - 52 IS - 3 DO - 10.2307/1913471 UR - https://doi.org/10.2307/1913471 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 - A New Estimate of Transaction Costs AU - David A. Lesmond AU - Joseph P. Ogden AU - CHARLES A. TRZCINKA JO - Review of Financial Studies PY - 1999 VL - 12 IS - 5 DO - 10.1093/rfs/12.5.1113 UR - https://doi.org/10.1093/rfs/12.5.1113 ER - TY - JOUR TI - Bayesian Variable Selection in Linear Regression AU - Toby J. Mitchell AU - John J. Beauchamp JO - Journal of the American Statistical Association PY - 1988 VL - 83 IS - 404 DO - 10.1080/01621459.1988.10478694 UR - https://doi.org/10.1080/01621459.1988.10478694 ER - TY - JOUR TI - Growth Forecast Errors and Fiscal Multipliers AU - Olivier Jean Blanchard AU - Daniel Leigh JO - American Economic Review PY - 2013 VL - 103 IS - 001 DO - 10.1257/aer.103.3.117 UR - https://doi.org/10.1257/aer.103.3.117 ER - TY - JOUR TI - Economic Links and Predictable Returns AU - Lauren H. Cohen AU - Andrea Frazzini JO - The Journal of Finance PY - 2008 VL - 63 IS - 4 DO - 10.1111/j.1540-6261.2008.01379.x UR - https://doi.org/10.1111/j.1540-6261.2008.01379.x ER - TY - JOUR TI - Error measures for generalizing about forecasting methods: Empirical comparisons AU - J. Scott Armstrong AU - Fred Collopy JO - International Journal of Forecasting PY - 1992 VL - 8 IS - 1 DO - 10.1016/0169-2070(92)90008-w UR - https://doi.org/10.1016/0169-2070(92)90008-w ER - TY - JOUR TI - Socioeconomic inequalities in health: Measurement, computation, and statistical inference AU - Nanak Kakwani AU - Adam Robert Wagstaff AU - Eddy K.A. van Doorslaer JO - Journal of Econometrics PY - 1997 VL - 77 IS - 1 DO - 10.1016/s0304-4076(96)01807-6 UR - https://doi.org/10.1016/s0304-4076(96)01807-6 ER - TY - JOUR TI - On closed testing procedures with special reference to ordered analysis of variance AU - Ruth Marcus AU - Eric Peritz AU - K. R. Gabriel JO - Biometrika PY - 1976 VL - 63 IS - 3 DO - 10.1093/biomet/63.3.655 UR - https://doi.org/10.1093/biomet/63.3.655 ER - TY - JOUR TI - Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation AU - Ole Eiler Barndorff-Nielsen JO - Journal of Financial Econometrics PY - 2005 VL - 4 IS - 1 DO - 10.1093/jjfinec/nbi022 UR - https://doi.org/10.1093/jjfinec/nbi022 ER - TY - JOUR TI - The Present-Value Relation: Tests Based on Implied Variance Bounds AU - Stephen F. LeRoy AU - Richard Dudley Porter JO - Econometrica PY - 1981 VL - 49 IS - 3 DO - 10.2307/1911512 UR - https://doi.org/10.2307/1911512 ER - TY - JOUR TI - Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation AU - Craig Hiemstra AU - Jonathan D. Jones JO - The Journal of Finance PY - 1994 VL - 49 IS - 5 DO - 10.1111/j.1540-6261.1994.tb04776.x UR - https://doi.org/10.1111/j.1540-6261.1994.tb04776.x ER - TY - JOUR TI - Returns to Scale in U.S. Production: Estimates and Implications AU - Susanto Basu AU - John G. Fernald JO - Journal of Political Economy PY - 1997 VL - 105 IS - 2 DO - 10.1086/262073 UR - https://doi.org/10.1086/262073 ER - TY - JOUR TI - Housing Market Spillovers: Evidence from an Estimated DSGE Model AU - Matteo M. Iacoviello AU - Stefano Neri JO - American Economic Journal Macroeconomics PY - 2010 VL - 2 IS - 2 DO - 10.1257/mac.2.2.125 UR - https://doi.org/10.1257/mac.2.2.125 ER - TY - JOUR TI - Estimating the Returns to Schooling: Some Econometric Problems AU - Zvi Griliches JO - Econometrica PY - 1977 VL - 45 IS - 1 DO - 10.2307/1913285 UR - https://doi.org/10.2307/1913285 ER - TY - JOUR TI - Application of Least Squares Regression to Relationships Containing Auto-Correlated Error Terms AU - Donald B. Cochrane AU - Guy H. Orcutt JO - Journal of the American Statistical Association PY - 1949 VL - 44 IS - 245 DO - 10.1080/01621459.1949.10483290 UR - https://doi.org/10.1080/01621459.1949.10483290 ER - TY - JOUR TI - Parameter Orthogonality and Approximate Conditional Inference AU - David Roxbee Cox AU - Nancy M. Reid JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1987 VL - 49 IS - 1 DO - 10.1111/j.2517-6161.1987.tb01422.x UR - https://doi.org/10.1111/j.2517-6161.1987.tb01422.x ER - TY - JOUR TI - The demand for deductibles in private health insurance AU - Wynand P.M.M. van de Ven AU - Bernard M. S. van Praag JO - Journal of Econometrics PY - 1981 VL - 17 IS - 2 DO - 10.1016/0304-4076(81)90028-2 UR - https://doi.org/10.1016/0304-4076(81)90028-2 ER - TY - JOUR TI - Investing for the Long Run when Returns Are Predictable AU - Nicholas C. Barberis JO - The Journal of Finance PY - 2000 VL - 55 IS - 1 DO - 10.1111/0022-1082.00205 UR - https://doi.org/10.1111/0022-1082.00205 ER - TY - JOUR TI - Nonparametric estimates of standard error: The jackknife, the bootstrap and other methods AU - Bradley Efron JO - Biometrika PY - 1981 VL - 68 IS - 3 DO - 10.1093/biomet/68.3.589 UR - https://doi.org/10.1093/biomet/68.3.589 ER - TY - JOUR TI - A Kenward-Roger Approximation and Parametric Bootstrap Methods for Tests in Linear Mixed Models - The R Package pbkrtest AU - Ulrich Halekoh AU - Søren Højsgaard JO - Journal of Statistical Software PY - 2014 VL - 59 IS - 9 DO - 10.18637/jss.v059.i09 UR - https://doi.org/10.18637/jss.v059.i09 ER - TY - JOUR TI - Testing for Cross-Sectional Dependence in Panel-Data Models AU - Rafael E. De Hoyos AU - Vasilis Sarafidis JO - The Stata Journal Promoting communications on statistics and Stata PY - 2006 VL - 6 IS - 4 DO - 10.1177/1536867x0600600403 UR - https://doi.org/10.1177/1536867x0600600403 ER - TY - JOUR TI - Canonical Cointegrating Regressions AU - Joon‐Young Park JO - Econometrica PY - 1992 VL - 60 IS - 1 DO - 10.2307/2951679 UR - https://doi.org/10.2307/2951679 ER - TY - JOUR TI - Liquidity and stock returns: An alternative test AU - Vinay T. Datar AU - Narayan Y. Naik AU - Robert C. Radcliffe JO - Journal of Financial Markets PY - 1998 VL - 1 IS - 2 DO - 10.1016/s1386-4181(97)00004-9 UR - https://doi.org/10.1016/s1386-4181(97)00004-9 ER - TY - JOUR TI - Improvements on Cross-Validation: The 632+ Bootstrap Method AU - Bradley Efron AU - Robert John Tibshirani JO - Journal of the American Statistical Association PY - 1997 VL - 92 IS - 438 DO - 10.1080/01621459.1997.10474007 UR - https://doi.org/10.1080/01621459.1997.10474007 ER - TY - JOUR TI - Multiple regimes and cross‐country growth behaviour AU - Steven N. Durlauf AU - Paul A. Johnson JO - Journal of Applied Econometrics PY - 1995 VL - 10 IS - 4 DO - 10.1002/jae.3950100404 UR - https://doi.org/10.1002/jae.3950100404 ER - TY - JOUR TI - Smoothing Parameter and Model Selection for General Smooth Models AU - Simon N. Wood AU - Natalya Pya AU - Benjamin Säfken JO - Journal of the American Statistical Association PY - 2016 VL - 111 IS - 516 DO - 10.1080/01621459.2016.1180986 UR - https://doi.org/10.1080/01621459.2016.1180986 ER - TY - JOUR TI - Goodness-of-fit tests for copulas: A review and a power study AU - Christian Genest AU - Bruno Rémillard AU - David Beaudoin JO - Insurance Mathematics and Economics PY - 2007 VL - 44 IS - 2 DO - 10.1016/j.insmatheco.2007.10.005 UR - https://doi.org/10.1016/j.insmatheco.2007.10.005 ER - TY - JOUR TI - Estimation and Inference in Two-Step Econometric Models AU - Kevin Murphy AU - Robert Topel JO - Journal of Business and Economic Statistics PY - 2002 VL - 20 IS - 1 DO - 10.1198/073500102753410417 UR - https://doi.org/10.1198/073500102753410417 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 - What are the effects of fiscal policy shocks? AU - Andrew Mountford AU - Harald Uhlig JO - Journal of Applied Econometrics PY - 2009 VL - 24 IS - 6 DO - 10.1002/jae.1079 UR - https://doi.org/10.1002/jae.1079 ER - TY - JOUR TI - Estimation of Common Long-Memory Components in Cointegrated Systems AU - Jesús Gonzalo AU - Clive W. J. Granger JO - Journal of Business and Economic Statistics PY - 1995 VL - 13 IS - 1 DO - 10.1080/07350015.1995.10524576 UR - https://doi.org/10.1080/07350015.1995.10524576 ER - TY - JOUR TI - Testing linearity against smooth transition autoregressive models AU - Ritva A. Luukkonen AU - Pentti Saikkonen AU - Timo Teräsvirta JO - Biometrika PY - 1988 VL - 75 IS - 3 DO - 10.1093/biomet/75.3.491 UR - https://doi.org/10.1093/biomet/75.3.491 ER - TY - JOUR TI - Asymptotic Properties of Non-Linear Least Squares Estimators AU - Robert I. Jennrich JO - The Annals of Mathematical Statistics PY - 1969 VL - 40 IS - 2 DO - 10.1214/aoms/1177697731 UR - https://doi.org/10.1214/aoms/1177697731 ER - TY - JOUR TI - Underwriting relationships, analysts' earnings forecasts and investment recommendations AU - Hsiou‐Wei William Lin AU - Maureen F. McNichols JO - Journal of Accounting and Economics PY - 1998 VL - 25 IS - 1 DO - 10.1016/s0165-4101(98)00016-0 UR - https://doi.org/10.1016/s0165-4101(98)00016-0 ER - TY - JOUR TI - Alternative Tests of Independence between Stochastic Regressors and Disturbances AU - De-Min Wu JO - Econometrica PY - 1973 VL - 41 IS - 4 DO - 10.2307/1914093 UR - https://doi.org/10.2307/1914093 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 - Threshold Autoregression, Limit Cycles and Cyclical Data AU - Hưng Tâm Tống AU - K. S. Lim JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1980 VL - 42 IS - 3 DO - 10.1111/j.2517-6161.1980.tb01126.x UR - https://doi.org/10.1111/j.2517-6161.1980.tb01126.x ER - TY - JOUR TI - Econometric Computing with HC and HAC Covariance Matrix Estimators AU - Achim Zeileis JO - Journal of Statistical Software PY - 2004 VL - 11 IS - 10 DO - 10.18637/jss.v011.i10 UR - https://doi.org/10.18637/jss.v011.i10 ER - TY - JOUR TI - Estimation of Variance and Covariance Components AU - Charles Henderson JO - Biometrics PY - 1953 VL - 9 IS - 2 DO - 10.2307/3001853 UR - https://doi.org/10.2307/3001853 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 - THE POWER OF COINTEGRATION TESTS AU - Jeroen Kremers AU - Neil R. Ericsson AU - Juan J. Dolado JO - Oxford Bulletin of Economics and Statistics PY - 1992 VL - 54 IS - 3 DO - 10.1111/j.1468-0084.1992.tb00005.x UR - https://doi.org/10.1111/j.1468-0084.1992.tb00005.x ER - TY - JOUR TI - Estimating the social return to higher education: evidence from longitudinal and repeated cross-sectional data AU - Enrico Moretti JO - Journal of Econometrics PY - 2003 VL - 121 IS - 1-2 DO - 10.1016/j.jeconom.2003.10.015 UR - https://doi.org/10.1016/j.jeconom.2003.10.015 ER - TY - JOUR TI - Bayesian Analysis of DSGE Models AU - Sungbae An AU - Frank Schorfheide JO - Econometric Reviews PY - 2007 VL - 26 IS - 2-4 DO - 10.1080/07474930701220071 UR - https://doi.org/10.1080/07474930701220071 ER - TY - JOUR TI - Bayesian Model Averaging for Linear Regression Models AU - Adrian E. Raftery AU - David Madigan AU - Jennifer A. Hoeting JO - Journal of the American Statistical Association PY - 1997 VL - 92 IS - 437 DO - 10.1080/01621459.1997.10473615 UR - https://doi.org/10.1080/01621459.1997.10473615 ER - TY - JOUR TI - Logistic Regression Diagnostics AU - Daryl Pregibon JO - The Annals of Statistics PY - 1981 VL - 9 IS - 4 DO - 10.1214/aos/1176345513 UR - https://doi.org/10.1214/aos/1176345513 ER - TY - JOUR TI - Conducting Interrupted Time-series Analysis for Single- and Multiple-group Comparisons AU - Ariel Linden JO - The Stata Journal Promoting communications on statistics and Stata PY - 2015 VL - 15 IS - 2 DO - 10.1177/1536867x1501500208 UR - https://doi.org/10.1177/1536867x1501500208 ER - TY - JOUR TI - Likelihood of a model and information criteria AU - Hirotugu Akaike JO - Journal of Econometrics PY - 1981 VL - 16 IS - 1 DO - 10.1016/0304-4076(81)90071-3 UR - https://doi.org/10.1016/0304-4076(81)90071-3 ER - TY - JOUR TI - Forecasting inflation AU - James H. Stock AU - Mark W. Watson JO - Journal of Monetary Economics PY - 1999 VL - 44 IS - 2 DO - 10.1016/s0304-3932(99)00027-6 UR - https://doi.org/10.1016/s0304-3932(99)00027-6 ER - TY - JOUR TI - Contingency Tables Involving Small Numbers and the χ2 Test AU - Frank Yates JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1934 VL - 1 IS - 2 DO - 10.2307/2983604 UR - https://doi.org/10.2307/2983604 ER - TY - JOUR TI - Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence AU - Peter C.B. Phillips AU - Donggyu Sul JO - RePEc: Research Papers in Economics PY - 2002 DO - 10.1111/1368-423x.00108 UR - https://doi.org/10.1111/1368-423x.00108 ER - TY - JOUR TI - Asymptotically Efficient Estimation of Cointegration Regressions AU - Pentti Saikkonen JO - Econometric Theory PY - 1991 VL - 7 IS - 1 DO - 10.1017/s0266466600004217 UR - https://doi.org/10.1017/s0266466600004217 ER - TY - JOUR TI - The Probability Approach in Econometrics AU - Trygve Haavelmo JO - Econometrica PY - 1944 VL - 12 DO - 10.2307/1906935 UR - https://doi.org/10.2307/1906935 ER - TY - JOUR TI - Additive Regression and Other Nonparametric Models AU - Charles J. Stone JO - The Annals of Statistics PY - 1985 VL - 13 IS - 2 DO - 10.1214/aos/1176349548 UR - https://doi.org/10.1214/aos/1176349548 ER - TY - JOUR TI - Estimates of Location Based on Rank Tests AU - J. L. Hodges AU - Erich L. Lehmann JO - The Annals of Mathematical Statistics PY - 1963 VL - 34 IS - 2 DO - 10.1214/aoms/1177704172 UR - https://doi.org/10.1214/aoms/1177704172 ER - TY - JOUR TI - Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 AU - Michael John Brennan AU - Tarun Chordia AU - Avanidhar Subrahmanyam JO - Journal of Financial Economics PY - 1998 VL - 49 IS - 3 DO - 10.1016/s0304-405x(98)00028-2 UR - https://doi.org/10.1016/s0304-405x(98)00028-2 ER - TY - JOUR TI - Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion AU - Clifford M. Hurvich AU - Jeffrey S. Simonoff AU - Chih‐Ling Tsai JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1998 VL - 60 IS - 2 DO - 10.1111/1467-9868.00125 UR - https://doi.org/10.1111/1467-9868.00125 ER - TY - JOUR TI - Statistical predictor identification AU - Hirotugu Akaike JO - Annals of the Institute of Statistical Mathematics PY - 1970 VL - 22 IS - 1 DO - 10.1007/bf02506337 UR - https://doi.org/10.1007/bf02506337 ER - TY - JOUR TI - Selection of important variables and determination of functional form for continuous predictors in multivariable model building AU - Willi Sauerbrei AU - Patrick J Royston AU - Harald Binder JO - Statistics in Medicine PY - 2007 VL - 26 IS - 30 DO - 10.1002/sim.3148 UR - https://doi.org/10.1002/sim.3148 ER - TY - JOUR TI - Cluster-Sample Methods in Applied Econometrics AU - Jeffrey M. Wooldridge JO - American Economic Review PY - 2003 VL - 93 IS - 2 DO - 10.1257/000282803321946930 UR - https://doi.org/10.1257/000282803321946930 ER - TY - JOUR TI - Generalized Least Squares for Trend Estimation of Summarized Dose–response Data AU - Nicola Orsini AU - Rino Bellocco AU - Sander Greenland JO - The Stata Journal Promoting communications on statistics and Stata PY - 2006 VL - 6 IS - 1 DO - 10.1177/1536867x0600600103 UR - https://doi.org/10.1177/1536867x0600600103 ER - TY - JOUR TI - Log-Periodogram Regression of Time Series with Long Range Dependence AU - Peter M. Robinson JO - The Annals of Statistics PY - 1995 VL - 23 IS - 3 DO - 10.1214/aos/1176324636 UR - https://doi.org/10.1214/aos/1176324636 ER - TY - JOUR TI - A Test for Superior Predictive Ability AU - Peter Reinhard Hansen JO - Journal of Business and Economic Statistics PY - 2005 VL - 23 IS - 4 DO - 10.1198/073500105000000063 UR - https://doi.org/10.1198/073500105000000063 ER - TY - JOUR TI - Minimum Wage Effects Across State Borders: Estimates Using Contiguous Counties AU - Arindrajit Dubé AU - T. William Lester AU - Michael R. Reich JO - The Review of Economics and Statistics PY - 2010 VL - 92 IS - 4 DO - 10.1162/rest_a_00039 UR - https://doi.org/10.1162/rest_a_00039 ER - TY - JOUR TI - A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices AU - Shane A. Corwin AU - Paul Harvey Schultz JO - The Journal of Finance PY - 2012 VL - 67 IS - 2 DO - 10.1111/j.1540-6261.2012.01729.x UR - https://doi.org/10.1111/j.1540-6261.2012.01729.x ER - TY - JOUR TI - Why do we Sometimes get Nonsense-Correlations between Time-Series?--A Study in Sampling and the Nature of Time-Series AU - George Udny Yule JO - Journal Of The Royal Statistical Society PY - 1926 VL - 89 IS - 1 DO - 10.2307/2341482 UR - https://doi.org/10.2307/2341482 ER - TY - JOUR TI - Security Analysts' Career Concerns and Herding of Earnings Forecasts AU - Harrison G. Hong AU - Jeffrey D. Kubik AU - Amit Solomon JO - The RAND Journal of Economics PY - 2000 VL - 31 IS - 1 DO - 10.2307/2601032 UR - https://doi.org/10.2307/2601032 ER - TY - JOUR TI - Forecasting and conditional projection using realistic prior distributions AU - Thomas Doan AU - Robert B. Litterman AU - Christopher A. Sims JO - Econometric Reviews PY - 1984 VL - 3 IS - 1 DO - 10.1080/07474938408800053 UR - https://doi.org/10.1080/07474938408800053 ER - TY - JOUR TI - The relationship between energy consumption, energy prices and economic growth: time series evidence from Asian developing countries AU - John Asafu‐Adjaye JO - Energy Economics PY - 2000 VL - 22 IS - 6 DO - 10.1016/s0140-9883(00)00050-5 UR - https://doi.org/10.1016/s0140-9883(00)00050-5 ER - TY - JOUR TI - Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle AU - Chang‐Jin Kim AU - Charles R. Nelson JO - The Review of Economics and Statistics PY - 1999 VL - 81 IS - 4 DO - 10.1162/003465399558472 UR - https://doi.org/10.1162/003465399558472 ER - TY - JOUR TI - Semiparametric least squares (SLS) and weighted SLS estimation of single-index models AU - Hidehiko Ichimura JO - Journal of Econometrics PY - 1993 VL - 58 IS - 1-2 DO - 10.1016/0304-4076(93)90114-k UR - https://doi.org/10.1016/0304-4076(93)90114-k ER - TY - JOUR TI - zoo : S3 Infrastructure for Regular and Irregular Time Series AU - Achim Zeileis AU - Gabor Grothendieck JO - Journal of Statistical Software PY - 2005 VL - 14 IS - 6 DO - 10.18637/jss.v014.i06 UR - https://doi.org/10.18637/jss.v014.i06 ER - TY - JOUR TI - Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies AU - Torben Gustav Andersen AU - Tim Bollerslev JO - The Journal of Finance PY - 1998 VL - 53 IS - 1 DO - 10.1111/0022-1082.85732 UR - https://doi.org/10.1111/0022-1082.85732 ER - TY - JOUR TI - FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION AU - Yin‐Wong Cheung AU - Kon S. Lai JO - Oxford Bulletin of Economics and Statistics PY - 1993 VL - 55 IS - 3 DO - 10.1111/j.1468-0084.1993.mp55003003.x UR - https://doi.org/10.1111/j.1468-0084.1993.mp55003003.x ER - TY - JOUR TI - International Business Cycles: World, Region, and Country-Specific Factors AU - M. Ayhan Köse AU - Christopher Mark Otrok AU - Charles H. Whiteman JO - American Economic Review PY - 2003 VL - 93 IS - 4 DO - 10.1257/000282803769206278 UR - https://doi.org/10.1257/000282803769206278 ER - TY - JOUR TI - The Estimation of Choice Probabilities from Choice Based Samples AU - Charles F. Manski AU - Steven R. Lerman JO - Econometrica PY - 1977 VL - 45 IS - 8 DO - 10.2307/1914121 UR - https://doi.org/10.2307/1914121 ER - TY - JOUR TI - NOTES ON BIAS IN ESTIMATION AU - M. H. Quenouille JO - Biometrika PY - 1956 VL - 43 IS - 3-4 DO - 10.1093/biomet/43.3-4.353 UR - https://doi.org/10.1093/biomet/43.3-4.353 ER - TY - JOUR TI - A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion AU - Robert E. Kass AU - Larry Wasserman JO - Journal of the American Statistical Association PY - 1995 VL - 90 IS - 431 DO - 10.1080/01621459.1995.10476592 UR - https://doi.org/10.1080/01621459.1995.10476592 ER - TY - JOUR TI - A semiparametric estimation procedure of dependence parameters in multivariate families of distributions AU - Christian Genest AU - Kilani Ghoudi AU - Louis‐Paul Rivest JO - Biometrika PY - 1995 VL - 82 IS - 3 DO - 10.1093/biomet/82.3.543 UR - https://doi.org/10.1093/biomet/82.3.543 ER - TY - JOUR TI - An R-squared measure of goodness of fit for some common nonlinear regression models AU - A. Colin Cameron AU - Frank A. G. Windmeijer JO - Journal of Econometrics PY - 1997 VL - 77 IS - 2 DO - 10.1016/s0304-4076(96)01818-0 UR - https://doi.org/10.1016/s0304-4076(96)01818-0 ER - TY - JOUR TI - Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates AU - Walter Enders AU - C.W.J. Granger JO - Journal of Business and Economic Statistics PY - 1998 VL - 16 IS - 3 DO - 10.1080/07350015.1998.10524769 UR - https://doi.org/10.1080/07350015.1998.10524769 ER - TY - JOUR TI - Finite-Sample Properties of Some Alternative GMM Estimators AU - Lars Peter Hansen AU - J.B. Heaton AU - Amir Yaron JO - Journal of Business and Economic Statistics PY - 1996 VL - 14 IS - 3 DO - 10.1080/07350015.1996.10524656 UR - https://doi.org/10.1080/07350015.1996.10524656 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 - Does peer ability affect student achievement? AU - Eric Alan Hanushek AU - John F. Kain AU - Jacob M. Markman AU - Steven G. Rivkin JO - Journal of Applied Econometrics PY - 2003 VL - 18 IS - 5 DO - 10.1002/jae.741 UR - https://doi.org/10.1002/jae.741 ER - TY - JOUR TI - Making and Evaluating Point Forecasts AU - Tilmann Gneiting JO - Journal of the American Statistical Association PY - 2011 VL - 106 IS - 494 DO - 10.1198/jasa.2011.r10138 UR - https://doi.org/10.1198/jasa.2011.r10138 ER - TY - JOUR TI - Detrending, stylized facts and the business cycle AU - Andrew C. Harvey AU - Albert Jaeger JO - Journal of Applied Econometrics PY - 1993 VL - 8 IS - 3 DO - 10.1002/jae.3950080302 UR - https://doi.org/10.1002/jae.3950080302 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 - Efficient Intra-Household Allocations: A General Characterization and Empirical Tests AU - Martin Browning AU - Pierre André Chiappori JO - Econometrica PY - 1998 VL - 66 IS - 6 DO - 10.2307/2999616 UR - https://doi.org/10.2307/2999616 ER - TY - JOUR TI - Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series AU - Gregory C. Chow AU - An‐loh Lin JO - The Review of Economics and Statistics PY - 1971 VL - 53 IS - 4 DO - 10.2307/1928739 UR - https://doi.org/10.2307/1928739 ER - TY - JOUR TI - Tests of equal forecast accuracy and encompassing for nested models AU - Todd E. Clark AU - Michael W. McCracken JO - Journal of Econometrics PY - 2001 VL - 105 IS - 1 DO - 10.1016/s0304-4076(01)00071-9 UR - https://doi.org/10.1016/s0304-4076(01)00071-9 ER - TY - JOUR TI - SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS AU - Dick van Dijk AU - Timo Teräsvirta AU - Philip Hans Franses JO - Econometric Reviews PY - 2002 VL - 21 IS - 1 DO - 10.1081/etc-120008723 UR - https://doi.org/10.1081/etc-120008723 ER - TY - JOUR TI - Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables AU - James Durbin JO - Econometrica PY - 1970 VL - 38 IS - 3 DO - 10.2307/1909547 UR - https://doi.org/10.2307/1909547 ER - TY - JOUR TI - Long memory and regime switching AU - Francis X. Diebold AU - Atsushi Inoue JO - Journal of Econometrics PY - 2001 VL - 105 IS - 1 DO - 10.1016/s0304-4076(01)00073-2 UR - https://doi.org/10.1016/s0304-4076(01)00073-2 ER - TY - JOUR TI - Combination forecasts of output growth in a seven‐country data set AU - James H. Stock AU - Mark W. Watson JO - Journal of Forecasting PY - 2004 VL - 23 IS - 6 DO - 10.1002/for.928 UR - https://doi.org/10.1002/for.928 ER - TY - JOUR TI - Design-adaptive Nonparametric Regression AU - Jianqing Fan JO - Journal of the American Statistical Association PY - 1992 VL - 87 IS - 420 DO - 10.1080/01621459.1992.10476255 UR - https://doi.org/10.1080/01621459.1992.10476255 ER - TY - JOUR TI - Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data AU - Joel Hasbrouck JO - The Journal of Finance PY - 2009 VL - 64 IS - 3 DO - 10.1111/j.1540-6261.2009.01469.x UR - https://doi.org/10.1111/j.1540-6261.2009.01469.x ER - TY - JOUR TI - Best Subsets Logistic Regression AU - David W. Hosmer AU - Borko D. Jovanovic AU - Stanley A. Lemeshow JO - Biometrics PY - 1989 VL - 45 IS - 4 DO - 10.2307/2531779 UR - https://doi.org/10.2307/2531779 ER - TY - JOUR TI - Improved methods of combining forecasts AU - Clive W. J. Granger AU - Ramu Ramanathan JO - Journal of Forecasting PY - 1984 VL - 3 IS - 2 DO - 10.1002/for.3980030207 UR - https://doi.org/10.1002/for.3980030207 ER - TY - JOUR TI - Large Bayesian vector auto regressions AU - Marta Bańbura AU - Domenico Giannone AU - Lucrezia Reichlin JO - Journal of Applied Econometrics PY - 2009 VL - 25 IS - 1 DO - 10.1002/jae.1137 UR - https://doi.org/10.1002/jae.1137 ER - TY - JOUR TI - The Mann-Whitney U: A Test for Assessing Whether Two Independent Samples Come from the Same Distribution AU - Nadim Nachar JO - Tutorials in Quantitative Methods for Psychology PY - 2008 VL - 4 IS - 1 DO - 10.20982/tqmp.04.1.p013 UR - https://doi.org/10.20982/tqmp.04.1.p013 ER - TY - JOUR TI - The Nonparametric Approach to Demand Analysis AU - Hal R. Varian JO - Econometrica PY - 1982 VL - 50 IS - 4 DO - 10.2307/1912771 UR - https://doi.org/10.2307/1912771 ER - TY - JOUR TI - Asymptotic Theory for Principal Component Analysis AU - T. W. Anderson JO - The Annals of Mathematical Statistics PY - 1963 VL - 34 IS - 1 DO - 10.1214/aoms/1177704248 UR - https://doi.org/10.1214/aoms/1177704248 ER - TY - JOUR TI - Vector Autoregressions AU - James H. Stock AU - Mark W. Watson JO - The Journal of Economic Perspectives PY - 2001 VL - 15 IS - 4 DO - 10.1257/jep.15.4.101 UR - https://doi.org/10.1257/jep.15.4.101 ER - TY - JOUR TI - Heuristics of instability and stabilization in model selection AU - Leo Breiman JO - The Annals of Statistics PY - 1996 VL - 24 IS - 6 DO - 10.1214/aos/1032181158 UR - https://doi.org/10.1214/aos/1032181158 ER - TY - JOUR TI - Production frontiers with cross-sectional and time-series variation in efficiency levels AU - Christopher Mark Cornwell AU - Peter Schmidt AU - Robin C. Sickles JO - Journal of Econometrics PY - 1990 VL - 46 IS - 1-2 DO - 10.1016/0304-4076(90)90054-w UR - https://doi.org/10.1016/0304-4076(90)90054-w ER - TY - JOUR TI - Accounting valuation, market expectation, and cross-sectional stock returns AU - Richard M. Frankel AU - Charles M.C. Lee JO - Journal of Accounting and Economics PY - 1998 VL - 25 IS - 3 DO - 10.1016/s0165-4101(98)00026-3 UR - https://doi.org/10.1016/s0165-4101(98)00026-3 ER - TY - JOUR TI - Investor Sentiment Aligned: A Powerful Predictor of Stock Returns AU - Dashan Huang AU - Fuwei Jiang AU - Jun Tu AU - Guofu Zhou JO - Review of Financial Studies PY - 2014 VL - 28 IS - 3 DO - 10.1093/rfs/hhu080 UR - https://doi.org/10.1093/rfs/hhu080 ER - TY - JOUR TI - A simple method of sample size calculation for linear and logistic regression AU - F. Hsieh AU - Daniel A. Bloch AU - Michael D. Larsen JO - Statistics in Medicine PY - 1998 VL - 17 IS - 14 DO - 10.1002/(sici)1097-0258(19980730)17:14<1623::aid-sim871>3.0.co;2-s UR - https://doi.org/10.1002/(sici)1097-0258(19980730)17:14%3C1623::aid-sim871%3E3.0.co;2-s ER - TY - JOUR TI - Cointegration and Threshold Adjustment AU - Walter Enders AU - Pierre L. Siklos JO - Journal of Business and Economic Statistics PY - 2001 VL - 19 IS - 2 DO - 10.1198/073500101316970395 UR - https://doi.org/10.1198/073500101316970395 ER - TY - JOUR TI - Convergence in international output AU - Andrew B. Bernard AU - Steven N. Durlauf JO - Journal of Applied Econometrics PY - 1995 VL - 10 IS - 2 DO - 10.1002/jae.3950100202 UR - https://doi.org/10.1002/jae.3950100202 ER - TY - JOUR TI - Mixtures of g Priors for Bayesian Variable Selection AU - Feng Liang AU - Rui Paulo AU - Germán Molina AU - Merlise A. Clyde AU - Jim O Berger JO - Journal of the American Statistical Association PY - 2008 VL - 103 IS - 481 DO - 10.1198/016214507000001337 UR - https://doi.org/10.1198/016214507000001337 ER - TY - JOUR TI - A new metric of absolute percentage error for intermittent demand forecasts AU - Sung‐Il Kim AU - Heeyoung Kim JO - International Journal of Forecasting PY - 2016 VL - 32 IS - 3 DO - 10.1016/j.ijforecast.2015.12.003 UR - https://doi.org/10.1016/j.ijforecast.2015.12.003 ER - TY - JOUR TI - Forecasting With Bayesian Vector Autoregressions—Five Years of Experience AU - Robert B. Litterman JO - Journal of Business and Economic Statistics PY - 1986 VL - 4 IS - 1 DO - 10.1080/07350015.1986.10509491 UR - https://doi.org/10.1080/07350015.1986.10509491 ER - TY - JOUR TI - Variable Importance Assessment in Regression: Linear Regression versus Random Forest AU - Ulrike Grömping JO - The American Statistician PY - 2009 VL - 63 IS - 4 DO - 10.1198/tast.2009.08199 UR - https://doi.org/10.1198/tast.2009.08199 ER - TY - JOUR TI - Five alternative methods of estimating long-run equilibrium relationships AU - Jesús Gonzalo JO - Journal of Econometrics PY - 1994 VL - 60 IS - 1-2 DO - 10.1016/0304-4076(94)90044-2 UR - https://doi.org/10.1016/0304-4076(94)90044-2 ER - TY - JOUR TI - Efficient Estimation of a System of Regression Equations when Disturbances are Both Serially and Contemporaneously Correlated AU - Richard W. Parks JO - Journal of the American Statistical Association PY - 1967 VL - 62 IS - 318 DO - 10.1080/01621459.1967.10482923 UR - https://doi.org/10.1080/01621459.1967.10482923 ER - TY - JOUR TI - Energy consumption and GDP: causality relationship in G-7 countries and emerging markets AU - Uğur Soytaş AU - Ramazan Sarı JO - Energy Economics PY - 2002 VL - 25 IS - 1 DO - 10.1016/s0140-9883(02)00009-9 UR - https://doi.org/10.1016/s0140-9883(02)00009-9 ER - TY - JOUR TI - Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes AU - Richard E. Quandt JO - Journal of the American Statistical Association PY - 1960 VL - 55 IS - 290 DO - 10.1080/01621459.1960.10482067 UR - https://doi.org/10.1080/01621459.1960.10482067 ER - TY - JOUR TI - Stock Market Volatility and Macroeconomic Fundamentals AU - Robert F. Engle AU - Éric Ghysels AU - Bumjean Sohn JO - The Review of Economics and Statistics PY - 2012 VL - 95 IS - 3 DO - 10.1162/rest_a_00300 UR - https://doi.org/10.1162/rest_a_00300 ER - TY - JOUR TI - Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation AU - Andrew W. Lo AU - Harry Mamaysky AU - Jiang Wang JO - The Journal of Finance PY - 2000 VL - 55 IS - 4 DO - 10.1111/0022-1082.00265 UR - https://doi.org/10.1111/0022-1082.00265 ER - TY - JOUR TI - Nonstationarity and Level Shifts With an Application to Purchasing Power Parity AU - Pierre Perrón AU - Timothy J. Vogelsang JO - Journal of Business and Economic Statistics PY - 1992 VL - 10 IS - 3 DO - 10.1080/07350015.1992.10509907 UR - https://doi.org/10.1080/07350015.1992.10509907 ER - TY - JOUR TI - Some Aspects of the Spline Smoothing Approach to Non-Parametric Regression Curve Fitting AU - B. W. Silverman JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1985 VL - 47 IS - 1 DO - 10.1111/j.2517-6161.1985.tb01327.x UR - https://doi.org/10.1111/j.2517-6161.1985.tb01327.x ER - TY - JOUR TI - Permutation tests for multi-factorial analysis of variance AU - Marti Jane Anderson AU - Cajo J. F. ter Braak JO - Journal of Statistical Computation and Simulation PY - 2003 VL - 73 IS - 2 DO - 10.1080/00949650215733 UR - https://doi.org/10.1080/00949650215733 ER - TY - JOUR TI - An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator AU - Donald W. K. Andrews AU - J. Christopher Monahan JO - Econometrica PY - 1992 VL - 60 IS - 4 DO - 10.2307/2951574 UR - https://doi.org/10.2307/2951574 ER - TY - JOUR TI - Persistence in Variance, Structural Change, and the GARCH Model AU - Christopher G. Lamoureux AU - William D. Lastrapes JO - Journal of Business and Economic Statistics PY - 1990 VL - 8 IS - 2 DO - 10.1080/07350015.1990.10509794 UR - https://doi.org/10.1080/07350015.1990.10509794 ER - TY - JOUR TI - Macro Factors in Bond Risk Premia AU - Sydney C. Ludvigson AU - Serena Ng JO - Review of Financial Studies PY - 2009 VL - 22 IS - 12 DO - 10.1093/rfs/hhp081 UR - https://doi.org/10.1093/rfs/hhp081 ER - TY - JOUR TI - A Survey of Exact Inference for Contingency Tables AU - Alan Agresti JO - Statistical Science PY - 1992 VL - 7 IS - 1 DO - 10.1214/ss/1177011454 UR - https://doi.org/10.1214/ss/1177011454 ER - TY - JOUR TI - On the existence of maximum likelihood estimates in logistic regression models AU - A. ALBERT AU - J. A. Anderson JO - Biometrika PY - 1984 VL - 71 IS - 1 DO - 10.1093/biomet/71.1.1 UR - https://doi.org/10.1093/biomet/71.1.1 ER - TY - JOUR TI - Model Uncertainty, Data Mining and Statistical Inference AU - Chris Chatfield JO - Journal of the Royal Statistical Society Series A (Statistics in Society) PY - 1995 VL - 158 IS - 3 DO - 10.2307/2983440 UR - https://doi.org/10.2307/2983440 ER - TY - JOUR TI - Optimal Inference in Cointegrated Systems AU - Peter C.B. Phillips JO - Econometrica PY - 1991 VL - 59 IS - 2 DO - 10.2307/2938258 UR - https://doi.org/10.2307/2938258 ER - TY - JOUR TI - The $\chi^2$ Test of Goodness of Fit AU - William G. Cochran JO - The Annals of Mathematical Statistics PY - 1952 VL - 23 IS - 3 DO - 10.1214/aoms/1177729380 UR - https://doi.org/10.1214/aoms/1177729380 ER - TY - JOUR TI - Reference Posterior Distributions for Bayesian Inference AU - José M. Bernardo JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1979 VL - 41 IS - 2 DO - 10.1111/j.2517-6161.1979.tb01066.x UR - https://doi.org/10.1111/j.2517-6161.1979.tb01066.x ER - TY - JOUR TI - Forecasting Output and Inflation: The Role of Asset Prices AU - James H. Stock AU - Mark W. Watson JO - Journal of Economic Literature PY - 2003 VL - 41 IS - 3 DO - 10.1257/002205103322436197 UR - https://doi.org/10.1257/002205103322436197 ER - TY - JOUR TI - Testing for a Unit Root in a Time Series With a Changing Mean AU - Pierre Perrón JO - Journal of Business and Economic Statistics PY - 1990 VL - 8 IS - 2 DO - 10.1080/07350015.1990.10509786 UR - https://doi.org/10.1080/07350015.1990.10509786 ER - TY - JOUR TI - A Generalized Production Frontier Approach for Estimating Determinants of Inefficiency in U.S. Dairy Farms AU - Subal C. Kumbhakar AU - Soumendra N. Ghosh AU - J. Thomas McGuckin JO - Journal of Business and Economic Statistics PY - 1991 VL - 9 IS - 3 DO - 10.1080/07350015.1991.10509853 UR - https://doi.org/10.1080/07350015.1991.10509853 ER - TY - JOUR TI - A Comparative Study of Various Tests for Normality AU - Samuel S. Shapiro AU - M. B. Wilk AU - H. J. Chen JO - Journal of the American Statistical Association PY - 1968 VL - 63 IS - 324 DO - 10.1080/01621459.1968.10480932 UR - https://doi.org/10.1080/01621459.1968.10480932 ER - TY - JOUR TI - On decomposing the causes of health sector inequalities with an application to malnutrition inequalities in Vietnam AU - Adam Robert Wagstaff AU - Eddy K.A. van Doorslaer AU - Naoko Watanabe JO - Journal of Econometrics PY - 2002 VL - 112 IS - 1 DO - 10.1016/s0304-4076(02)00161-6 UR - https://doi.org/10.1016/s0304-4076(02)00161-6 ER - TY - JOUR TI - Spike and slab variable selection: Frequentist and Bayesian strategies AU - Hemant Ishwaran AU - J. Sunil Rao JO - The Annals of Statistics PY - 2005 VL - 33 IS - 2 DO - 10.1214/009053604000001147 UR - https://doi.org/10.1214/009053604000001147 ER - TY - JOUR TI - TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 AU - Peter C.B. Phillips AU - Shuping Shi AU - Jun Boo Yu JO - International Economic Review PY - 2015 VL - 56 IS - 4 DO - 10.1111/iere.12132 UR - https://doi.org/10.1111/iere.12132 ER - TY - JOUR TI - Interpreting Tests of the Convergence Hypothesis AU - Andrew B. Bernard AU - Steven N. Durlauf JO - Journal of Econometrics PY - 1994 VL - 71 IS - 1-2 DO - 10.1016/0304-4076(94)01699-2 UR - https://doi.org/10.1016/0304-4076(94)01699-2 ER - TY - JOUR TI - An Omnibus Test for Univariate and Multivariate Normality* AU - Jurgen A. Doornik AU - Henrik Steen Hansen JO - Oxford Bulletin of Economics and Statistics PY - 2008 VL - 70 IS - s1 DO - 10.1111/j.1468-0084.2008.00537.x UR - https://doi.org/10.1111/j.1468-0084.2008.00537.x ER - TY - JOUR TI - An Approximate Analysis of Variance Test for Normality AU - Samuel S. Shapiro AU - R. S. Francia JO - Journal of the American Statistical Association PY - 1972 VL - 67 IS - 337 DO - 10.1080/01621459.1972.10481232 UR - https://doi.org/10.1080/01621459.1972.10481232 ER - TY - JOUR TI - A Cross-Sectional Test of an Investment-Based Asset Pricing Model AU - John H. Cochrane JO - Journal of Political Economy PY - 1996 VL - 104 IS - 3 DO - 10.1086/262034 UR - https://doi.org/10.1086/262034 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 - Choosing between Logistic Regression and Discriminant Analysis AU - S. James Press AU - Sandra Jo Wilson JO - Journal of the American Statistical Association PY - 1978 VL - 73 IS - 364 DO - 10.1080/01621459.1978.10480080 UR - https://doi.org/10.1080/01621459.1978.10480080 ER - TY - JOUR TI - A state space framework for automatic forecasting using exponential smoothing methods AU - Rob J. Hyndman AU - Anne B. Koehler AU - Ralph D. Snyder AU - Simone D. Grose JO - International Journal of Forecasting PY - 2002 VL - 18 IS - 3 DO - 10.1016/s0169-2070(01)00110-8 UR - https://doi.org/10.1016/s0169-2070(01)00110-8 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 - Asymmetric Least Squares Estimation and Testing AU - Whitney K. Newey AU - James Lawrence Powell JO - Econometrica PY - 1987 VL - 55 IS - 4 DO - 10.2307/1911031 UR - https://doi.org/10.2307/1911031 ER - TY - JOUR TI - strucchange : An R Package for Testing for Structural Change in Linear Regression Models AU - Achim Zeileis AU - Friedrich Leisch AU - Kurt Hornik AU - Christian Kleiber JO - Journal of Statistical Software PY - 2002 VL - 7 IS - 2 DO - 10.18637/jss.v007.i02 UR - https://doi.org/10.18637/jss.v007.i02 ER - TY - JOUR TI - The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test AU - Richard H. Thaler AU - Amos Tversky AU - Daniel J. Kahneman AU - Alan Schwartz JO - The Quarterly Journal of Economics PY - 1997 VL - 112 IS - 2 DO - 10.1162/003355397555226 UR - https://doi.org/10.1162/003355397555226 ER - TY - JOUR TI - The World Price of Covariance Risk AU - Campbell R. Harvey JO - The Journal of Finance PY - 1991 VL - 46 IS - 1 DO - 10.1111/j.1540-6261.1991.tb03747.x UR - https://doi.org/10.1111/j.1540-6261.1991.tb03747.x ER - TY - JOUR TI - An econometric model of serial correlation and illiquidity in hedge fund returns AU - Mila Getmansky AU - Andrew W. Lo AU - Igor Makarov JO - Journal of Financial Economics PY - 2004 VL - 74 IS - 3 DO - 10.1016/j.jfineco.2004.04.001 UR - https://doi.org/10.1016/j.jfineco.2004.04.001 ER - TY - JOUR TI - Rationality and Analysts' Forecast Bias AU - Terence M. Lim JO - The Journal of Finance PY - 2001 VL - 56 IS - 1 DO - 10.1111/0022-1082.00329 UR - https://doi.org/10.1111/0022-1082.00329 ER - TY - JOUR TI - Maximum likelihood estimation of stationary univariate fractionally integrated time series models AU - Fallaw Sowell JO - Journal of Econometrics PY - 1992 VL - 53 IS - 1-3 DO - 10.1016/0304-4076(92)90084-5 UR - https://doi.org/10.1016/0304-4076(92)90084-5 ER - TY - JOUR TI - Benchmark priors for Bayesian model averaging AU - Carmen Fernández AU - Eduardo Ley AU - Mark F. J. Steel JO - Journal of Econometrics PY - 2001 VL - 100 IS - 2 DO - 10.1016/s0304-4076(00)00076-2 UR - https://doi.org/10.1016/s0304-4076(00)00076-2 ER - TY - JOUR TI - Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing AU - Alysha Madhu De Livera AU - Rob J. Hyndman AU - Ralph D. Snyder JO - Journal of the American Statistical Association PY - 2011 VL - 106 IS - 496 DO - 10.1198/jasa.2011.tm09771 UR - https://doi.org/10.1198/jasa.2011.tm09771 ER - TY - JOUR TI - Multivariate Locally Weighted Least Squares Regression AU - David Ruppert AU - MATTHEW P. WAND JO - The Annals of Statistics PY - 1994 VL - 22 IS - 3 DO - 10.1214/aos/1176325632 UR - https://doi.org/10.1214/aos/1176325632 ER - TY - JOUR TI - The Fitting of Time-Series Models AU - James Durbin JO - Revue de l Institut International de Statistique / Review of the International Statistical Institute PY - 1960 VL - 28 IS - 3 DO - 10.2307/1401322 UR - https://doi.org/10.2307/1401322 ER - TY - JOUR TI - Choosing factors AU - Eugene F. Fama AU - Kenneth R. French JO - Journal of Financial Economics PY - 2018 VL - 128 IS - 2 DO - 10.1016/j.jfineco.2018.02.012 UR - https://doi.org/10.1016/j.jfineco.2018.02.012 ER - TY - JOUR TI - Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap AU - Ryan Sullivan AU - Allan Timmermann AU - Halbert White JO - The Journal of Finance PY - 1999 VL - 54 IS - 5 DO - 10.1111/0022-1082.00163 UR - https://doi.org/10.1111/0022-1082.00163 ER - TY - JOUR TI - Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond AU - Tao Hong AU - Pierre Pinson AU - Fan Shu AU - Hamidreza Zareipour AU - Alberto Troccoli AU - Rob J. Hyndman JO - International Journal of Forecasting PY - 2016 VL - 32 IS - 3 DO - 10.1016/j.ijforecast.2016.02.001 UR - https://doi.org/10.1016/j.ijforecast.2016.02.001 ER - TY - JOUR TI - The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes AU - Richard E. Quandt JO - Journal of the American Statistical Association PY - 1958 VL - 53 IS - 284 DO - 10.1080/01621459.1958.10501484 UR - https://doi.org/10.1080/01621459.1958.10501484 ER - TY - JOUR TI - Nonconcave penalized likelihood with a diverging number of parameters AU - Jianqing Fan AU - Heng Peng JO - The Annals of Statistics PY - 2004 VL - 32 IS - 3 DO - 10.1214/009053604000000256 UR - https://doi.org/10.1214/009053604000000256 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 - Analysts' forecasts as earnings expectations AU - Patricia C. O’Brien JO - Journal of Accounting and Economics PY - 1988 VL - 10 IS - 1 DO - 10.1016/0165-4101(88)90023-7 UR - https://doi.org/10.1016/0165-4101(88)90023-7 ER - TY - JOUR TI - Inverse probability weighted estimation for general missing data problems AU - Jeffrey M. Wooldridge JO - Journal of Econometrics PY - 2007 VL - 141 IS - 2 DO - 10.1016/j.jeconom.2007.02.002 UR - https://doi.org/10.1016/j.jeconom.2007.02.002 ER - TY - JOUR TI - Further Results on Tests of Separate Families of Hypotheses AU - David Roxbee Cox JO - Journal of the Royal Statistical Society Series B (Statistical Methodology) PY - 1962 VL - 24 IS - 2 DO - 10.1111/j.2517-6161.1962.tb00468.x UR - https://doi.org/10.1111/j.2517-6161.1962.tb00468.x ER - TY - JOUR TI - An Empirical Test of the Impact of Managerial Self‐Interest on Corporate Capital Structure AU - Irwin Friend AU - Larry H.P. Lang JO - The Journal of Finance PY - 1988 VL - 43 IS - 2 DO - 10.1111/j.1540-6261.1988.tb03938.x UR - https://doi.org/10.1111/j.1540-6261.1988.tb03938.x ER - TY - JOUR TI - Measuring cost efficiency in banking AU - Gary D. Ferrier AU - C. A. Knox Lovell JO - Journal of Econometrics PY - 1990 VL - 46 IS - 1-2 DO - 10.1016/0304-4076(90)90057-z UR - https://doi.org/10.1016/0304-4076(90)90057-z ER - TY - JOUR TI - Nonparametric frontier estimation: a robust approach AU - Catherine Cazals AU - Jean‐Pierre Florens AU - Léopold Simar JO - Journal of Econometrics PY - 2002 VL - 106 IS - 1 DO - 10.1016/s0304-4076(01)00080-x UR - https://doi.org/10.1016/s0304-4076(01)00080-x ER - TY - JOUR TI - Bootstrapping Regression Models AU - Darcy A. Freedman JO - The Annals of Statistics PY - 1981 VL - 9 IS - 6 DO - 10.1214/aos/1176345638 UR - https://doi.org/10.1214/aos/1176345638 ER - TY - JOUR TI - Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior AU - Jeffery S. Abarbanell AU - Victor L. Bernard JO - The Journal of Finance PY - 1992 VL - 47 IS - 3 DO - 10.1111/j.1540-6261.1992.tb04010.x UR - https://doi.org/10.1111/j.1540-6261.1992.tb04010.x ER - TY - JOUR TI - Stepwise Multiple Testing as Formalized Data Snooping AU - Joseph P. Romano AU - Michael Wolf JO - Econometrica PY - 2005 VL - 73 IS - 4 DO - 10.1111/j.1468-0262.2005.00615.x UR - https://doi.org/10.1111/j.1468-0262.2005.00615.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 - Which Moments to Match? AU - A. Ronald Gallant AU - George E. Tauchen JO - Econometric Theory PY - 1996 VL - 12 IS - 4 DO - 10.1017/s0266466600006976 UR - https://doi.org/10.1017/s0266466600006976 ER - TY - JOUR TI - Testing for Localization Using Micro-Geographic Data AU - Gilles Duranton AU - Henry G. Overman JO - The Review of Economic Studies PY - 2005 VL - 72 IS - 4 DO - 10.1111/0034-6527.00362 UR - https://doi.org/10.1111/0034-6527.00362 ER - TY - JOUR TI - DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND AU - Søren Johansen JO - Oxford Bulletin of Economics and Statistics PY - 1992 VL - 54 IS - 3 DO - 10.1111/j.1468-0084.1992.tb00008.x UR - https://doi.org/10.1111/j.1468-0084.1992.tb00008.x ER - TY - JOUR TI - GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS AU - Drew Creal AU - Siem Jan Koopman AU - André Lucas JO - Journal of Applied Econometrics PY - 2012 VL - 28 IS - 5 DO - 10.1002/jae.1279 UR - https://doi.org/10.1002/jae.1279 ER - TY - JOUR TI - MIDAS Regressions: Further Results and New Directions AU - Éric Ghysels AU - Arthur Sinko AU - Rossen I. Valkanov JO - Econometric Reviews PY - 2007 VL - 26 IS - 1 DO - 10.1080/07474930600972467 UR - https://doi.org/10.1080/07474930600972467 ER - TY - JOUR TI - Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas AU - Pietro Balestra AU - Marc Nerlove JO - Econometrica PY - 1966 VL - 34 IS - 3 DO - 10.2307/1909771 UR - https://doi.org/10.2307/1909771 ER - TY - JOUR TI - Predictable Risk and Returns in Emerging Markets AU - Campbell R. Harvey JO - Review of Financial Studies PY - 1995 VL - 8 IS - 3 DO - 10.1093/rfs/8.3.773 UR - https://doi.org/10.1093/rfs/8.3.773 ER - TY - JOUR TI - Bayes-Stein Estimation for Portfolio Analysis AU - Philippe Jorion JO - Journal of Financial and Quantitative Analysis PY - 1986 VL - 21 IS - 3 DO - 10.2307/2331042 UR - https://doi.org/10.2307/2331042 ER - TY - JOUR TI - Adjusting for Nonignorable Drop-Out Using Semiparametric Nonresponse Models AU - Daniel O. Scharfstein AU - Andrea G. Rotnitzky AU - James M. Robins JO - Journal of the American Statistical Association PY - 1999 VL - 94 IS - 448 DO - 10.1080/01621459.1999.10473862 UR - https://doi.org/10.1080/01621459.1999.10473862 ER - TY - JOUR TI - Bayesian Methods for Dynamic Multivariate Models AU - Christopher A. Sims AU - Tao A. Zha JO - International Economic Review PY - 1998 VL - 39 IS - 4 DO - 10.2307/2527347 UR - https://doi.org/10.2307/2527347 ER - TY - JOUR TI - Penalized Regressions: The Bridge versus the Lasso AU - Wenjiang J. Fu JO - Journal of Computational and Graphical Statistics PY - 1998 VL - 7 IS - 3 DO - 10.1080/10618600.1998.10474784 UR - https://doi.org/10.1080/10618600.1998.10474784 ER - TY - JOUR TI - A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model AU - Badi H. Baltagi AU - Qu Feng AU - Chihwa D. Kao JO - Journal of Econometrics PY - 2012 VL - 170 IS - 1 DO - 10.1016/j.jeconom.2012.04.004 UR - https://doi.org/10.1016/j.jeconom.2012.04.004 ER - TY - JOUR TI - Multivariate Matching Methods That Are Monotonic Imbalance Bounding AU - Stefano Maria Iacus AU - Gary King AU - Giuseppe Porro JO - Journal of the American Statistical Association PY - 2011 VL - 106 IS - 493 DO - 10.1198/jasa.2011.tm09599 UR - https://doi.org/10.1198/jasa.2011.tm09599 ER - TY - JOUR TI - Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis AU - Robert L. Kosowski AU - Allan Timmermann AU - Russ R. Wermers AU - Halbert White JO - The Journal of Finance PY - 2006 VL - 61 IS - 6 DO - 10.1111/j.1540-6261.2006.01015.x UR - https://doi.org/10.1111/j.1540-6261.2006.01015.x ER - TY - JOUR TI - Exploring the relationship between R&D and productivity in French manufacturing firms AU - Bronwyn H. Hall AU - Jacques Mairesse JO - Journal of Econometrics PY - 1995 VL - 65 IS - 1 DO - 10.1016/0304-4076(94)01604-x UR - https://doi.org/10.1016/0304-4076(94)01604-x ER - TY - JOUR TI - The macroeconomy and the yield curve: a dynamic latent factor approach AU - Francis X. Diebold AU - Glenn D. Rudebusch AU - S. Borağan Aruoba JO - Journal of Econometrics PY - 2005 VL - 131 IS - 1-2 DO - 10.1016/j.jeconom.2005.01.011 UR - https://doi.org/10.1016/j.jeconom.2005.01.011 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 -