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- Cited by 22
Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994
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- 11 February 2009, pp. 133-142
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Preliminary-Test Estimation of the Error Variance in Linear Regression
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- 11 February 2009, pp. 299-304
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OPTIMAL INFERENCE WITH MANY INSTRUMENTS
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- 06 March 2002, pp. 140-168
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EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
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- 15 March 2016, pp. 439-478
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MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I: IntegralOperator Algebra and Representation Theory
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- 01 August 1999, pp. 435-468
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FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS
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- 06 July 2012, pp. 68-88
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A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS
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- 01 December 2009, pp. 1851-1868
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Laws of Large Numbers for Dependent Heterogeneous Processes
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- 11 February 2009, pp. 347-358
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The Limiting Distribution of the t Ratio Under a Unit Root
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- 11 February 2009, pp. 775-793
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NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS
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- 01 February 2009, pp. 1-42
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Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations
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- 18 October 2010, pp. 159-170
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NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
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- 01 August 2000, pp. 465-501
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A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
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- 26 October 2009, pp. 647-681
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ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES
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- 20 August 2013, pp. 252-284
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The Cumulant Generating Function Estimation Method: Implementation and Asymptotic Efficiency
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- 11 February 2009, pp. 170-184
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CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
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- 01 June 2009, pp. 764-792
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A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
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- 01 December 2009, pp. 1515-1544
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TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
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- 22 March 2010, pp. 1761-1806
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ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
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- 08 June 2004, pp. 627-635
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A Survey on the Invariant Polynomials with Matrix Arguments in Relation to Econometric Distribution Theory
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- 18 October 2010, pp. 232-248
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