ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES

DOI10.1017/S0266466612000035MaRDI QIDQ3168421zbMATH OpenOpenAlexFDO

Authors Yuriy Gorodnichenko, Anna Mikusheva, Serena Ng

Publication date 31 October 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466612000035

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A GMM interpretation of the paradox in the inverse probability weighting estimation of the average treatment effect on the treated
• An MCMC approach to classical estimation.
• Asymptotics for linear processes
• Dynamic identification of dynamic stochastic general equilibrium models
• GMM redundancy results for general missing data problems
• Handbook of econometrics. Vol. 4
• Normal estimators for cointegrating relationships
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• The asymptotic effect of substituting estimators for parameters in certain types of statistics
• Uniform asymptotic normality in stationary and unit root autoregression
• Uniform Inference in Autoregressive Models

Cited in

(5)

• Testing for episodic predictability in stock returns
• Asymptotic variance of test statistics in the ML and QML frameworks
• Instrumental variable and variable addition based inference in predictive regressions
• Finite underidentification
• Reprint of: Finite underidentification

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