Linear regression with weak exogeneity
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Cites work
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
- A central limit theorem for generalized quadratic forms
- Alternative bias approximations in first-order dynamic reduced form models
- Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
- Biases in Dynamic Models with Fixed Effects
- Exogeneity
- Generating univariate fractional integration within a large VAR(1)
- GMM inference when the number of moment conditions in large
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3244317 (Why is no real title available?)
- In-Sample Inference and Forecasting in Misspecified Factor Models
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
- Leave‐Out Estimation of Variance Components
- Linear regression with weak exogeneity
- Local projection inference is simpler and more robust than you think
- Long memory via networking
- Martingale Central Limit Theorems
- Multiple Time Series Analysis and the Final Form of Econometric Models
- Robust estimation with many instruments
- Robust inference on infinite and growing dimensional time-series regression
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- The exact moments of the least squares estimator for the autoregressive model
- The General Equivalence of Granger and Sims Causality
- The second-order bias and mean squared error of estimators in time-series models
- Time series analysis and simultaneous equation econometric models
- We modeled long memory with just one lag!
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