Stochastic Limit Theory
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Publication:4393441
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Cited in
(only showing first 100 items - show all)- Robust estimation for ARMA models
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Break detection in the covariance structure of multivariate time series models
- Panel data analysis with heterogeneous dynamics
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Ensemble binary segmentation for irregularly spaced data with change-points
- Testing for structural change in conditional models
- Partially adaptive estimation of autoregressive processes via a normal mixture
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Multiple break detection in the correlation structure of random variables
- Neighbourhood GMM estimation of dynamic panel data models
- A residual-based multivariate constant correlation test
- Dating multiple change points in the correlation matrix
- A test of the long memory hypothesis based on self-similarity
- On asymptotic normality of certain linear rank statistics
- Alternative tests for correct specification of conditional predictive densities
- Testing for common breaks in a multiple equations system
- Variable screening for high dimensional time series
- Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
- Structural change tests for simulated method of moments.
- A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach
- Gaussian approximation theorems for urn models and their applications
- On a class of minimum contrast estimators for fractional stochastic processes and fields
- A central limit theorem for strong near-epoch dependent random variables
- Are ``nearly exogenous instruments reliable?
- Online expectation maximization based algorithms for inference in hidden Markov models
- Limit theorems for network dependent random variables
- Spectral analysis of multifractional LRD functional time series
- Mixing sequences, and mixingales in quantum probability spaces
- Quantifying the data-dredging bias in structural break tests
- Estimating a gradual parameter change in an AR(1)-process
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Robust estimation and inference of spatial panel data models with fixed effects
- Heterogeneous panel data models with cross-sectional dependence
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- Regression discontinuity designs, white noise models, and minimax
- Infinitely stochastic micro reserving
- Diversification benefits in the cryptocurrency market under mild explosivity
- Simultaneous confidence bands for functional data using the Gaussian kinematic formula
- Asymptotic properties of conditional least-squares estimators for array time series
- Nonparametric M-estimation for functional stationary ergodic data
- A likelihood ratio test for spatial model selection
- A new consistency proof for HAC variance estimators
- Clustering time series by linear dependency
- Unit root tests for cross-sectionally dependent panels: the influence of observed factors
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- Cycle symmetry, limit theorems, and fluctuation theorems for diffusion processes on the circle
- Inferences in panel data with interactive effects using large covariance matrices
- Spurious regression due to neglected of non-stationary volatility
- Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
- Depth-averaged modelling of turbulent shallow water flow with wet-dry fronts
- Modeling statistical dependence of Markov chains via copula models
- Leave-one-out cross-validation is risk consistent for Lasso
- Conditional least squares and copulae in claims reserving for a single line of business
- A uniform law for convergence to the local times of linear fractional stable motions
- Semiparametric tests of conditional moment restrictions under weak or partial identification
- Testing serial independence with functional data
- Quasi score-driven models
- A new test for checking the equality of the correlation structures of two time series
- Optimal semiparametric inference for the tail index based on ratios of the largest extremes
- Parametric and semi-parametric efficient tests for parameter instability
- Tests for linearity in star models: SupWald and LM-type tests
- Monitoring changes in RCA models
- Weak convergence and its application
- On the autopersistence functions and the autopersistence graphs of binary autoregressive time series
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- Testing for parameter constancy in non-Gaussian time series
- On asymptotic normality of the local polynomial regression estimator with stochastic bandwidths
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
- Weak convergence of stochastic processes. With applications to statistical limit theorems
- Cointegration rank testing under conditional heteroskedasticity
- Weak and strong cross-section dependence and estimation of large panels
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Short-memory linear processes and econometric applications.
- Mixing conditions, central limit theorems, and invariance principles: A survey of the literature with some new results on heteroscedastic sequences
- Thick Pen Transformation for Time Series
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Nonparametric estimation for dependent data
- Parameter estimation in nonlinear AR-GARCH models
- Predicting Panel Data Binary Choice with the Gibbs Posterior
- Bootstrap in nonstationary autoregression.
- Estimation of variances in a heteroscedastic RCA(1) model.
- Linearity tests and stationarity
- Unit Root Tests under Time-Varying Variances
- Nonparametric density forecast based on time- and state-domain
- PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
- Testing for a unit root in a stationary ESTAR process
- Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
- Myopic loss aversion and margin of safety: the risk of value investing
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Inference in Autoregression under Heteroskedasticity
- Testing for a unit root in noncausal autoregressive models
- Bootstrapping Autoregression under Non-stationary Volatility
- A bootstrap procedure for panel data sets with many cross-sectional units
- Dynamic Copula-Based Markov Time Series
- General trimmed estimation: robust approach to nonlinear and limited dependent variable models
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