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- Cited by 38
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
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- Published online by Cambridge University Press:
- 28 November 2011, pp. 804-837
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- Cited by 38
WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
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- 30 July 2012, pp. 289-323
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- Cited by 38
MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
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- 04 April 2008, pp. 988-1009
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- Cited by 37
Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications
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- 11 February 2009, pp. 263-282
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ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS
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- 26 August 2014, pp. 362-393
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- Cited by 37
GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS
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- 09 July 2008, pp. 1500-1529
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The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model
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- 18 October 2010, pp. 241-255
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- Cited by 37
MINIMIZING AVERAGE RISK IN REGRESSION MODELS
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- 15 January 2008, pp. 493-527
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- Cited by 37
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
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- 07 February 2001, pp. 29-69
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SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
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- 23 June 2015, pp. 1376-1433
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- Cited by 37
EFFECT OF A SHIFT IN THE TREND FUNCTION ON DICKEY–FULLER UNIT ROOT TESTS
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- 01 June 1998, pp. 355-363
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- Cited by 37
PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA
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- 07 October 2009, pp. 863-881
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GEL CRITERIA FOR MOMENT CONDITION MODELS
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- 19 September 2011, pp. 1192-1235
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- Cited by 36
STOCHASTIC UNIT ROOT MODELS
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- 03 November 2006, pp. 1052-1090
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- Cited by 36
Ols Bias in a Nonstationary Autoregression
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- 11 February 2009, pp. 81-93
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- Cited by 36
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
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- 13 March 2015, pp. 581-646
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- Cited by 36
OPTIMAL MINIMAX RATES FOR NONPARAMETRIC SPECIFICATION TESTING IN REGRESSION MODELS
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- 17 July 2002, pp. 1139-1171
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- Cited by 35
SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION
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- 19 July 2005, pp. 838-863
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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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- Cited by 35
SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES
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- 04 June 2015, pp. 1140-1177
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