Pages that link to "Item:Q4319456"
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The following pages link to Automatic Lag Selection in Covariance Matrix Estimation (Q4319456):
Displayed 50 items.
- Endogenous business cycle propagation and the persistence problem: the role of labor-market frictions (Q428015) (← links)
- On variance estimation in a negative binomial time series regression model (Q450867) (← links)
- How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions (Q547102) (← links)
- Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo (Q548543) (← links)
- Size improvement of the KPSS test using sieve bootstraps (Q694931) (← links)
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation (Q866643) (← links)
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560) (← links)
- A GMM procedure for combining volatility forecasts (Q1023635) (← links)
- Approximate \(p\)-values of predictive tests for structural stability (Q1292328) (← links)
- On the power of stationarity tests using optimal bandwidth estimates (Q1350544) (← links)
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator (Q1362034) (← links)
- SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form (Q1391607) (← links)
- Unit root and stationarity tests' wedding (Q1589594) (← links)
- Structural change tests for simulated method of moments. (Q1810680) (← links)
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence (Q1858935) (← links)
- The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment (Q1906299) (← links)
- Efficient bootstrap with weakly dependent processes (Q1927125) (← links)
- Reducing the size distortions of the panel LM test for cointegration (Q1929061) (← links)
- Robust M tests using kernel-based estimators with bandwidth equal to sample size (Q1934126) (← links)
- Improved HAC covariance matrix estimation based on forecast errors (Q1934714) (← links)
- Simulation analysis of threshold autoregressive unit root tests (Q1952675) (← links)
- Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns (Q2455633) (← links)
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications (Q2476609) (← links)
- MODIFIED KPSS TESTS FOR NEAR INTEGRATION (Q2886947) (← links)
- <i>k</i>-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA (Q2909248) (← links)
- Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions (Q2911667) (← links)
- Improving robust model selection tests for dynamic models (Q3004021) (← links)
- Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices (Q3019741) (← links)
- Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment (Q3102865) (← links)
- POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS (Q3108569) (← links)
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models (Q3161673) (← links)
- Comparing ARMA Processes with Roots of Modulus 1 and Polynomial Regression (Q3167826) (← links)
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION (Q3181939) (← links)
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS (Q3377446) (← links)
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments (Q3394106) (← links)
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION (Q3409065) (← links)
- Factor analysis in a model with rational expectations (Q3521274) (← links)
- Simulation experiments on the performance of structural change tests in cointegration (Q3527722) (← links)
- Testing for a unit root under errors with just barely infinite variance (Q3552865) (← links)
- A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION (Q3577699) (← links)
- TESTING FOR LONG MEMORY (Q3632375) (← links)
- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION (Q3632424) (← links)
- WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS (Q3637883) (← links)
- Optimal Predictive Tests (Q4434415) (← links)
- Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison (Q4434416) (← links)
- Estimator Choice and Fisher's Paradox: A Monte Carlo Study (Q4451550) (← links)
- Recent developments in bootstrapping time series (Q4493472) (← links)
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (Q4653563) (← links)
- Bootstrap Methods for Time Series (Q4832060) (← links)
- FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES (Q4933587) (← links)