Expectations hypotheses tests at Long Horizons
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Recommendations
- Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
- On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
- Instrumental variables estimation with many weak instruments using regularized JIVE
- Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
- Jackknife instrumental variable estimation with heteroskedasticity
Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Bootstrapping Autoregressive Processes with Possible Unit Roots
- Efficient Tests for an Autoregressive Unit Root
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Structural changes in the cointegrated vector autoregressive model
- Towards a unified asymptotic theory for autoregression
Cited in
(4)- Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
- On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
- An expository note on the existence of moments of Fuller and HFUL estimators
- Location properties of point estimators in linear instrumental variables and related models
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