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- Cited by 40
SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
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- 06 March 2002, pp. 51-78
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A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
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- 01 August 2004, pp. 701-734
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ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS
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- 17 February 2010, pp. 1332-1362
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INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS
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- 04 September 2018, pp. 816-841
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IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION
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- 12 October 2010, pp. 472-496
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FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
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- 03 January 2013, pp. 838-856
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- Cited by 39
Global and Partial Non-Nested Hypotheses and Asymptotic Local Power
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- 11 February 2009, pp. 69-97
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WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
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- 01 December 2004, pp. 995-1045
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A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models
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- 11 February 2009, pp. 451-477
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THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
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- 09 February 2006, pp. 206-234
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MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
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- 01 February 2009, pp. 117-161
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A Unified Theory of Consistent Estimation for Parametric Models
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- 18 October 2010, pp. 151-178
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Solutions of Linear Rational Expectations Models
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- 18 October 2010, pp. 341-368
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TRYGVE HAAVELMO AND THE EMERGENCE OF CAUSAL CALCULUS
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- 10 June 2014, pp. 152-179
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ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
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- 05 April 2007, pp. 485-500
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- Cited by 38
The ET Interview: Professor J. Tinbergen
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- 11 February 2009, pp. 117-142
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PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
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- 31 May 2011, pp. 1236-1278
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WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
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- 30 July 2012, pp. 289-323
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SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
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- 28 November 2011, pp. 804-837
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LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
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- 07 June 2011, pp. 1279-1319
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