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RobHayward time-series [6 articles]

Recent papers added to RobHayward library classified by the tag time-series. You can also see everyone's time-series.
  • Testing for a unit root in time series regression
    Biometrika, Vol. 75, No. 2. (1 June 1988), pp. 335-346.
    by Peter C Phillips, Pierre Perron
    posted to econometrics time-series by RobHayward on 2008-05-19 15:18:59 as ** along with 1 person ChristianRauh
  • Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
    Journal of Econometrics, Vol. In Press, Corrected Proof
    by Yongmiao Hong, Haitao Li, Feng Zhao
    posted to forecast fx garch time-series by RobHayward on 2007-03-05 15:49:00 as **
  • Time-series estimation of the effects of natural experiments
    Journal of Econometrics, Vol. 135, No. 1-2. ( 2006), pp. 527-566.
    by Halbert White
    posted to econometrics time-series by RobHayward on 2006-09-29 17:30:51 as ** along with 2 people tkravitz jrodflamenco
  • Spurious correlation of I(0) regressors in models with an I(1) dependent variable
    Economics Letters, Vol. 91, No. 2. (May 2006), pp. 184-189.
    by Chris Stewart
    posted to econometrics time-series by RobHayward on 2006-05-31 06:25:33 as **
  • Stock market dynamics in a regime-switching asymmetric power GARCH model
    International Review of Financial Analysis, Vol. 15, No. 2. (2006), pp. 109-129.
    by Thierry Ane, Loredana Ureche-Rangau
    posted to finance garch time-series by RobHayward on 2006-04-28 08:48:38 as **
  • notes Chapter 1,, Stochastic Models, Estimation, and Control, Volume 1
    (1979)
    by Peter S Maybeck
    posted to econometrics kalman time-series by RobHayward on 2006-04-19 15:26:08 as ***
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