14 citations · 48 across the 6 of their papers we have counts for
6 papers
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…
Stationarity and ergodicity of vector STAR models
Igor L. Kheifets, Pentti J. Saikkonen
Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed,…
Multivariate Specification Tests Based on a Dynamic Rosenblatt Transform
Igor L. Kheifets
This paper considers parametric model adequacy tests for nonlinear multivariate dynamic models. It is shown that commonly used Kolmogorov-type tests do not take into account cross-…
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…
Specification tests for nonlinear dynamic models
Igor L. Kheifets
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distri…
Model Adequacy Checks for Discrete Choice Dynamic Models
Igor Kheifets, Carlos Velasco
This paper proposes new parametric model adequacy tests for possibly nonlinear and nonstationary time series models with noncontinuous data distribution, which is often the case in…