scientific article; zbMATH DE number 1735137
From MaRDI portal
Publication:4328700
cointegrationextremum estimatorsGMM estimationML-estimationordinary least squaresunit-root econometrics
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Recommendations
Cited in
(only showing first 100 items - show all)- 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
- Instrumental variables: an econometrician's perspective
- 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
- 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
- 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
- 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
- Dynamic Econometrics
- Linear statistical inference for global and local minimum variance portfolios
- scientific article; zbMATH DE number 1773707 (Why is no real title available?)
- 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
- 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
- scientific article; zbMATH DE number 1862807 (Why is no real title available?)
- The dynamic power law model
- Panel Data Econometrics
- Parameter instability in quantile regression
- Handling of Constraints in Efficient Global Optimization
- Econometrics
- 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
- Resurrecting weighted least squares
- 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
- scientific article; zbMATH DE number 7096038 (Why is no real title available?)
- Quantile regression estimates and the analysis of structural breaks
- Underidentification?
- Testing for weak identification in possibly nonlinear models
- Data-based ranking of realised volatility estimators
- scientific article; zbMATH DE number 2188315 (Why is no real title available?)
- Finite Sample Econometrics
- Similarity-based model for ordered categorical data
- Econometrics
- Comments on: Model-free model-fitting and predictive distributions
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4328700)