14 papers
Robust Estimation in Network Vector Autoregression with Nonstationary Regressors
Christis Katsouris
This article studies identification and estimation for the network vector autoregressive model with nonstationary regressors. In particular, network dependence is characterized by…
Optimal Estimation Methodologies for Panel Data Regression Models
Christis Katsouris
This survey study discusses main aspects to optimal estimation methodologies for panel data regression models. In particular, we present current methodological developments for mod…
Unified Inference for Dynamic Quantile Predictive Regression
Christis Katsouris
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressions which is useful when examining quantile predictability in stock returns under…
High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods
Christis Katsouris
These lecture notes provide an overview of existing methodologies and recent developments for estimation and inference with high dimensional time series regression models. First, w…
Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models
Christis Katsouris
In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the prese…
Quantile Time Series Regression Models Revisited
Christis Katsouris
This article discusses recent developments in the literature of quantile time series models in the cases of stationary and nonstationary underline stochastic processes.