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- Cited by 35
THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE
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- 15 September 2014, pp. 647-667
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SOME EXTENSIONS OF A LEMMA OF KOTLARSKI
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- 14 March 2012, pp. 925-932
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CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS
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- 01 September 2015, pp. 243-259
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ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
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- 01 April 2009, pp. 336-363
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STATIONARITY AND MEMORY OF ARCH(∞) MODELS
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- 05 March 2004, pp. 147-160
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- Cited by 35
Asymptotic Expansions in Nonstationary Vector Autoregressions
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- 11 February 2009, pp. 45-68
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- Cited by 34
PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
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- 12 December 2005, pp. 69-97
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TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE
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- 22 April 2008, pp. 1044-1062
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- Cited by 34
Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value
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- 11 February 2009, pp. 481-499
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ESTIMATING WEAK GARCH REPRESENTATIONS
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- 05 October 2000, pp. 692-728
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MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
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- 07 August 2013, pp. 1196-1237
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- Cited by 33
Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable
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- 11 February 2009, pp. 387-408
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- Cited by 33
MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
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- 29 November 2013, pp. 509-535
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- Cited by 33
THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
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- 26 February 2008, pp. 809-822
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- Cited by 33
Testing, Encompassing, and Simulating Dynamic Econometric Models
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- 11 February 2009, pp. 195-228
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Near Observational Equivalence and Theoretical size Problems with Unit Root Tests
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- 11 February 2009, pp. 724-731
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- Cited by 33
PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?
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- 06 December 2006, pp. 1-36
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- Cited by 33
LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION
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- 01 December 2009, pp. 1466-1497
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ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY
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- 01 February 2009, pp. 43-62
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- Cited by 33
The Estimation of Continuous Parameter Long-Memory Time Series Models
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- 11 February 2009, pp. 374-390
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