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07/04/2023
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Engle and Russell (1998, Econometrica, 66:1127–1162) apply results from ...
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08/14/2022
High-dimensional cointegration and Kuramoto systems
This paper presents a novel estimator for a non-standard restriction to ...
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12/31/2021
The validity of bootstrap testing in the threshold framework
We consider bootstrap-based testing for threshold effects in non-linear ...
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07/13/2021
MinP Score Tests with an Inequality Constrained Parameter Space
Score tests have the advantage of requiring estimation alone of the mode...
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05/28/2021