1 citations · 1 across the 4 of their papers we have counts for
4 papers
Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary
Heino Bohn Nielsen, Anders Rahbek
We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constr…
High-dimensional cointegration and Kuramoto systems
Jacob Stærk-Østergaard, Anders Rahbek, Susanne Ditlevsen
This paper presents a novel estimator for a non-standard restriction to both symmetry and low rank in the context of high dimensional cointegrated processes. Furthermore, we discus…
The Econometrics of Financial Duration Modeling
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the cla…
The validity of bootstrap testing in the threshold framework
Simone Giannerini, Greta Goracci, Anders Rahbek
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend t…