Statistical inference in regression with heavy-tailed integrated variables-Reference-Cited by-同舟云学术

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Statistical inference in regression with heavy-tailed integrated variables

Published:2001-11 Issue:9-11 Volume:34 Page:1145-1158
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Mittnik S.,Paulauskas V.,Rachev S.T.

Publisher

Elsevier BV

Subject

Computer Science Applications,Modeling and Simulation

Reference43 articles.

1. Some properties of time series data and their use in econometric model specification;Granger;Journal of Econometrics,1981

2. Co-integration and error corrections: Representation, estimation and testing;Engle;Econometrica,1987

3. Forecasting and testing in cointegrated systems;Engle;Journal of Econometrics,1987

4. Testing for common trends;Stock;Journal of the American Statistical Association,1988

5. Statistical inference in regressions with integrated process;Park;Econometric Theory,1988

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS;Econometric Theory;2012-07-06

2. COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”;Econometric Theory;2011-03-03

3. A Note on Unit Root Tests with Infinite Variance Noise;Econometric Reviews;2009-01-30

4. MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS;Econometric Theory;2008-01-22

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