Clifford Hurvich

21 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0003-2945-4455

Stern School of Business, New York University, New York, NY, 10012

Publications

• Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models — Journal of the American Statistical Association 2013
• Multiple-Predictor Regressions: Hypothesis Testing — The Review of Financial Studies 2009
• Corrigendum to “Estimating Long Memory in Volatility” — Econometrica 2008
• Semiparametric estimation of fractional cointegrating subspaces — The Annals of Statistics 2006
• On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series — Journal of the American Statistical Association 2006
• Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend — Journal of the American Statistical Association 2005
• Estimating Long Memory in Volatility — Econometrica 2005
• Predictive Regressions: A Reduced-Bias Estimation Method — Journal of Financial and Quantitative Analysis 2004
• Semiparametric Estimation of Multivariate Fractional Cointegration — Journal of the American Statistical Association 2003
• A crossvalidatory AIC for hard wavelet thresholding in spatially adaptive function estimation — Biometrika 1998
• Score tests for heteroscedasticity in wavelet regression — Biometrika 1998
• Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 1998
• Relative rates of convergence for efficient model selection criteria in linear regression — Biometrika 1995
• High Breakdown Methods of Time Series Analysis — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 1993
• Bias of the corrected AIC criterion for underfitted regression and time series models — Biometrika 1991
• A Frequency Domain Selection Criterion for Regression with Autocorrelated Errors — Journal of the American Statistical Association 1990
• Improved estimators of Kullback–Leibler information for autoregressive model selection in small samples — Biometrika 1990
• Regression and time series model selection in small samples — Biometrika 1989
• A mean squared error criterion for time series data windows — Biometrika 1988
• A Frequency-Domain Median Time Series — Journal of the American Statistical Association 1987
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods — Journal of the American Statistical Association 1985