Econometric Reviews, Volume 21, Issue 4 (2002)

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Econometric Reviews, Volume 21, Issue 4 (2002)

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Original Articles

Article
LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
Jonathan H. Wright
Pages: 397-417
Published online: 06 Feb 2007
AbstractforLOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS | Full Text | References | PDF (553.8 KB)
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Article
FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS
Russell Davidson & James G. MacKinnon
Pages: 419-429
Published online: 06 Feb 2007
AbstractforFAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS | Full Text | References | PDF (479.2 KB)
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Article
ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
Yoosoon Chang & Joon Y. Park
Pages: 431-447
Published online: 06 Feb 2007
AbstractforON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS | Full Text | References | PDF (158.4 KB)
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Article
DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
Ionel Birgean & Lutz Kilian
Pages: 449-476
Published online: 06 Feb 2007
AbstractforDATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY | Full Text | References | PDF (670.2 KB)
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Article
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
Edoardo Otranto & Giampiero M. Gallo
Pages: 477-496
Published online: 06 Feb 2007
First Page PreviewforA NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS | Full Text | References | PDF (187.8 KB)
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