A mixture‐distribution factor model for multivariate outliers
From MaRDI portal
Publication:5433625
DOI10.1111/j.1368-423X.2007.00224.xzbMath1126.62081MaRDI QIDQ5433625
Publication date: 9 January 2008
Published in: The Econometrics Journal (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
Johansen‐type cointegration tests with a Fourier function ⋮ Tests for cointegration with structural breaks based on subsamples ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
Cites Work
- Unnamed Item
- Unnamed Item
- Measurement errors and outliers in seasonal unit root testing
- Asymptotics for likelihood ratio tests under loss of identifiability
- The surprise element: Jumps in interest rates.
- Compound Poisson process approximation.
- BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
- Outliers in multivariate time series
- Hypothesis Testing in Mixture Regression Models
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
- A mixture‐distribution factor model for multivariate outliers
This page was built for publication: A mixture‐distribution factor model for multivariate outliers