Publication:4328700
From MaRDI portal
zbMath0994.62107MaRDI QIDQ4328700
Publication date: 29 April 2002
cointegration; ordinary least squares; GMM estimation; extremum estimators; ML-estimation; unit-root econometrics
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics
62-02: Research exposition (monographs, survey articles) pertaining to statistics
Related Items
Model selection tests for nonlinear dynamic models, The ARCH(2) model: Pseudo-maximum estimation and asymptotic results under dependent innovations, Multivariate geometric expectiles, IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS, ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF ENDOGENEITY, Parameter instability in quantile regression, Handling of Constraints in Efficient Global Optimization, A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States, Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets, Book Review:Microeconometrics: Methods and ApplicationsandMicroeconometrics Using Stata, Parametric estimation for functional autoregressive processes on the sphere, Using Copulas to Model Time Dependence in Stochastic Frontier Models, Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models, From particle swarm optimization to consensus based optimization: Stochastic modeling and mean-field limit, Quantile regression estimates and the analysis of structural breaks, Similarity-based model for ordered categorical data, Comments on: Model-free model-fitting and predictive distributions, Instrumental variables: an econometrician's perspective, Multivariate trend function testing with mixed stationary and integrated disturbances, Estimation and testing of Euler equation models with time-varying reduced-form coefficients, A joint serial correlation test for linear panel data models, A test of cross section dependence for a linear dynamic panel model with regressors, An algorithm to estimate the two-way fixed effects model, Inverse problems of demand analysis and their applications to computation of positively-homogeneous Konüs-Divisia indices and forecasting, Parametric estimation of hidden stochastic model by contrast minimization and deconvolution, Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles, Linear statistical inference for global and local minimum variance portfolios, A nonlinear panel data model of cross-sectional dependence, An evaluation of financial institutions: impact on consumption and investment using panel data and the theory of risk-bearing, The dynamic power law model, Resurrecting weighted least squares, Underidentification?, Testing for weak identification in possibly nonlinear models, Data-based ranking of realised volatility estimators, A semiparametric method for estimating nonlinear autoregressive model with dependent errors, On the asymptotic optimality of the LIML estimator with possibly many instruments, On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments, A robust-filtering method for noisy non-stationary multivariate time series with econometric applications, The Frisch-Waugh-Lovell theorem for standard errors, Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators, Bounds on generalized linear predictors with incomplete outcome data, Estimation and inference in multivariate Markov chains, Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations, A general approach to Bayesian portfolio optimization, The effect of additive outliers on a fractional unit root test, Cointegration models with non Gaussian GARCH innovations, Confidence intervals for linear unbiased estimators under constrained dependence, Dynamic GSCANO (generalized structured canonical correlation analysis) with applications to the analysis of effective connectivity in functional neuroimaging data, Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors, Discriminating between (in)valid external instruments and (in)valid exclusion restrictions, The Amiti-Weinstein estimator: an equivalence result, Tests for serial correlation of unknown form in dynamic least squares regression with wavelets, Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects, Testing with exponentially tilted empirical likelihood, Alternative tests for correct specification of conditional predictive densities, Variable screening for high dimensional time series, An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity, The block bootstrap test of Hausman's exogeneity in the presence of serial correlation, Analysis of Finnish and Swedish mortality data with stochastic mortality models, Weighted resampling of martingale difference arrays with applications, Portfolio selection in a data-rich environment, Identification and estimation of linear social interaction models, Correlated random effects models with unbalanced panels, Skilled migration and business cycle dynamics, Instrument approval by the Sargan test and its consequences for coefficient estimation, Cotrending: testing for common deterministic trends in varying means model, Local financial access and income inequality in Chile, Practical steps to improve specification testing, Beyond the mean: a flexible framework for studying causal effects using linear models, Parametric estimation of hidden Markov models by least squares type estimation and deconvolution, On the power of conditional independence testing under model-X, Binary interaction methods for high dimensional global optimization and machine learning, Comparing estimation methods of non-stationary errors-in-variables models, Lasso guarantees for \(\beta \)-mixing heavy-tailed time series, A quantitative model for flow-induced bioluminescence in dinoflagellates, Relative variation indexes for multivariate continuous distributions on \([0,\infty)^k\) and extensions, Testing the impossible: identifying exclusion restrictions, Estimation and inference of change points in high-dimensional factor models, The expected time to cross a threshold and its determinants: a simple and flexible framework, Testing inference in heteroskedastic fixed effects models, On partial-sum processes of ARMAX residuals, Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form, Bilinear form test statistics for extremum estimation, Hybrid stochastic local unit roots, Uniform convergence in extended probability of sub-gradients of convex functions, High-stakes testing case study: a latent variable approach for assessing measurement and prediction invariance, A semiparametric panel approach to mortality modeling, Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data, Parametric inference of autoregressive heteroscedastic models with errors in variables, EMU, EU, market integration and consumption smoothing, Prospect theory and market quality, Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues, Dynamic binary outcome models with maximal heterogeneity, Multilevel modeling with correlated effects, Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas, Methods for strengthening a weak instrument in the case of a persistent treatment, Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions, The Asymptotic Covariance Matrix of the Least Squares Estimator in the Stochastic Linear Regression Model: The Case of Elliptically Symmetric Distribution, Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power, A threshold model for the spread, Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
