Details about Dietmar Bauer

Access statistics for papers by Dietmar Bauer.

Last updated 2017-03-10. Update your information in the RePEc Author Service.

Short-id: pba1445

Working Papers

2010

1. Persistence-robust Granger causality testing
   Working Papers, University of Guelph, Department of Economics and Finance View citations (3)

2005

2. Autoregressive Approximations of Multiple Frequency I(1) Processes
   Economics Working Papers, European University Institute View citations (3)
   Also in Economics Series, Institute for Advanced Studies (2005) View citations (7)

2004

3. Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
   See also Journal Article USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS, Econometric Theory, Cambridge University Press (2008) View citations (1) (2008)

2000

4. Estimating Cointegrated Systems Using Subspace Algorithms
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (7)
   See also Journal Article Estimating cointegrated systems using subspace algorithms, Journal of Econometrics, Elsevier (2002) View citations (17) (2002)

1999

5. Variances of Population Projections: Comparison of Two Approaches
   Working Papers, International Institute for Applied Systems Analysis

Journal Articles

2012

1. A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES
   Econometric Theory, 2012, 28, (6), 1313-1349 View citations (15)
2. Persistence-robust surplus-lag Granger causality testing
   Journal of Econometrics, 2012, 169, (2), 293-300 View citations (31)

2009

3. ALMOST SURE BOUNDS ON THE ESTIMATION ERROR FOR OLS ESTIMATORS WHEN THE REGRESSORS INCLUDE CERTAIN MFI(1) PROCESSES
   Econometric Theory, 2009, 25, (2), 571-582 View citations (4)
4. Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
   Journal of Multivariate Analysis, 2009, 100, (3), 397-421
5. Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure
   Computational Statistics & Data Analysis, 2009, 53, (6), 1954-1973 View citations (2)

2008

6. USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
   Econometric Theory, 2008, 24, (4), 1063-1092 View citations (1)
   See also Working Paper Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations, Cowles Foundation Discussion Papers (2004) View citations (1) (2004)

2005

7. Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs
   Journal of Time Series Analysis, 2005, 26, (5), 631-668 View citations (8)
8. ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
   Econometric Theory, 2005, 21, (1), 181-211 View citations (12)

2002

9. Estimating cointegrated systems using subspace algorithms
   Journal of Econometrics, 2002, 111, (1), 47-84 View citations (17)
   See also Working Paper Estimating Cointegrated Systems Using Subspace Algorithms, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (7) (2000)