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- Statistical inference in regression with heavy-tailed integrated variables
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- Trending time series and macroeconomic activity: Some present and future challenges
- A CUSUM test for cointegration using regression residuals
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- New unit root asymptotics in the presence of deterministic trends.
- Efficient tests for unit roots with prediction errors
- Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox
- Variable selection In regression models using global sensitivity analysis
- Kernel-based inference in time-varying coefficient cointegrating regression
- An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- A modified information criterion for cointegration tests based on a VAR approximation
- (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
- Variable selection in STAR models with neighbourhood effects using genetic algorithms
- scientific article; zbMATH DE number 4176285 (Why is no real title available?)
- Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
- Semiparametric cointegrating rank selection
- Forecasting cointegrated nonstationary time series with time-varying variance
- Bootstrapping Autoregression under Non-stationary Volatility
- scientific article; zbMATH DE number 5548414 (Why is no real title available?)
- ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
- Finite sample performance of the model selection approach in co-integration analysis
- A loss function approach to model specification testing and its relative efficiency
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- IN MEMORY OF JOHN DENIS SARGAN
- J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
- Vision and influence in econometrics: John Denis Sargan
- Quasi-Bayesian model selection
- Determining the cointegration rank in heteroskedastic VAR models of unknown order
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- scientific article; zbMATH DE number 3992753 (Why is no real title available?)
- LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS
- Normality of posterior distribution under misspecification and nonsmoothness, and Bayes factor for Davies' problem
- Identifying latent grouped patterns in cointegrated panels
- Automated estimation of vector error correction models
- Cointegrating rank selection in models with time-varying variance
- Model selection in the presence of nonstationarity
- Optimal estimation under nonstandard conditions
- Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
- Bayesian Analysis of DSGE Models
- Empirical Limits for Time Series Econometric Models
- A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
- AUTOMATED DISCOVERY IN ECONOMETRICS
- CHALLENGES FOR ECONOMETRIC MODEL SELECTION
- AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT
- REAL-TIME ECONOMETRICS
- A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
- Optimal multistep VAR forecast averaging
- On asymptotic risk of selecting models for possibly nonstationary time-series
- Lag length selection in panel autoregression
- Reduced forms and weak instrumentation
- Economic variable selection
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- Comparing dynamic equilibrium models to data: a Bayesian approach
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