Pages that link to "Item:Q4013240"
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The following pages link to An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (Q4013240):
Displayed 50 items.
- Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations (Q257461) (← links)
- The fragility of the KPSS stationarity test (Q257549) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- Point optimal tests of the null hypothesis of cointegration (Q261891) (← links)
- Testing for common deterministic trend slopes (Q262744) (← links)
- Size and power of tests of stationarity in highly autocorrelated time series (Q265023) (← links)
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series (Q269393) (← links)
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors (Q274912) (← links)
- Bootstrapping GMM estimators for time series (Q275250) (← links)
- HAC estimation in a spatial framework (Q280271) (← links)
- Confidence sets for the date of a single break in linear time series regressions (Q289210) (← links)
- A theory of robust long-run variance estimation (Q289220) (← links)
- Robust estimation for structural spurious regressions and a Hausman-type cointegration test (Q290961) (← links)
- Short run and long run causality in time series: inference (Q291702) (← links)
- Time series properties of ARCH processes with persistent covariates (Q299219) (← links)
- Quality control for structural credit risk models (Q299230) (← links)
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors (Q302107) (← links)
- Two estimators of the long-run variance: beyond short memory (Q302164) (← links)
- Are spectral estimators useful for long-run restrictions in SVARs? (Q318860) (← links)
- Improving the bandwidth-free inference methods by prewhitening (Q394095) (← links)
- On variance estimation in a negative binomial time series regression model (Q450867) (← links)
- Cointegration testing under structural change: reducing size distortions and improving power of residual based tests (Q520400) (← links)
- Robustifying multivariate trend tests to nonstationary volatility (Q527989) (← links)
- GEL statistics under weak identification (Q528051) (← links)
- Empirical likelihood block bootstrapping (Q530588) (← links)
- Testing instantaneous linear Granger causality in presence of nonlinear dynamics (Q650870) (← links)
- What do interest rates reveal about the functioning of real business cycle models ? (Q671549) (← links)
- Inference of time-varying regression models (Q693729) (← links)
- A MIDAS approach to modeling first and second moment dynamics (Q726588) (← links)
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
- The Frisch-Waugh-Lovell theorem for standard errors (Q826687) (← links)
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation (Q866643) (← links)
- Phillips-Perron-type unit root tests in the nonlinear ESTAR framework (Q878303) (← links)
- Semi-strong linearity testing in linear models with dependent but uncorrelated errors (Q893971) (← links)
- Control of the false discovery rate under dependence using the bootstrap and subsampling (Q1019475) (← links)
- Monitoring shifts in mean: asymptotic normality of stopping times (Q1019482) (← links)
- What do `residuals' from first-order conditions reveal about DGE models? (Q1027393) (← links)
- Testing the stability of the functional autoregressive process (Q1049540) (← links)
- A consistent test for the null of stationarity against the alternative of a unit root (Q1195085) (← links)
- A cointegration approach to estimating preference parameters (Q1265791) (← links)
- System estimators of cointegrating matrix in absence of normalising information (Q1298418) (← links)
- The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series (Q1298473) (← links)
- Test for partial parameter instability in regressions with \(I(1)\) processes (Q1305645) (← links)
- Testing the null of stationarity for multiple time series (Q1305677) (← links)
- On the power of stationarity tests using optimal bandwidth estimates (Q1350544) (← links)
- Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type (Q1351232) (← links)
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator (Q1362034) (← links)
- Subsampling for heteroskedastic time series (Q1372916) (← links)
- Predictive tests for structural change with unknown breakpoint (Q1377327) (← links)
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions (Q1377328) (← links)