14 citations · 19 across the 2 of their papers we have counts for
2 papers
econ.EM2021★ 14 cited
Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems
Igor L. Kheifets, Peter C. B. Phillips
Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces additional cointegrati…
math.ST2017★ 5 cited
New goodness-of-fit diagnostics for conditional discrete response models
Igor Kheifets, Carlos Velasco
This paper proposes new specification tests for conditional models with discrete responses, which are key to apply efficient maximum likelihood methods, to obtain consistent estima…