Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.
27 Key Publications
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Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2). -
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
Ikefuji, M., Magnus, JanR. and Yamagata, T. (2024). Revealing priors from posteriors with an application to inflation forecasting in the UK Econometrics Journal, 27(1):151--170.
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de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Creal, D., Koopman, S.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14. -
Hemerik, J., Solari, A. and Goeman, JelleJ. (2024). Flexible control of the median of the false discovery proportion Biometrika, 111(4):1129--1150.