Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):.
223 Key Publications
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de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393.
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Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):.
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D'Innocenzo, E., Lucas, A., Opschoor, A. and Zhang, X. (2024). Heterogeneity and dynamics in network models Journal of Applied Econometrics, 39(1):150--173.
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Lange, R. and Teulings, C.(. (2024). Irreversible investment under predictable growth: Why land stays vacant when housing demand is booming Journal of Economic Theory, 215:.
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Reuvers, H. and Wijler, E. (2024). Sparse generalized Yule–Walker estimation for large spatio-temporal autoregressions with an application to NO2 satellite data Journal of Econometrics, 239(1):.
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Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):.
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Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1):1--22.
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Billio, M., Casarin, R. and Iacopini, M. (2024). Bayesian Markov-Switching Tensor Regression for Time-Varying Networks Journal of the American Statistical Association, 119(545):109--121.
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Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2):.
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He, Y., Jaidee, S. and Gao, J. (2023). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, 234(1):151--177.
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Leng, X., Chen, H. and Wang, W. (2023). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, 233(1):1--21.
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Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112.
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Lumsdaine, R., Okui, R. and Wang, W. (2023). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, 233(1):45--65.
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Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2, Part B):1--18.
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Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 41(4):1173--1187.
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Almeida, C., Fan, J., Freire, G. and Tang, F. (2023). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 41(3):995--1009.
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Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):.
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Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):.
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He, Y. (2023). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, :.