scientific article; zbMATH DE number 6811479

MaRDI QIDQ4593677zbMATH OpenFDO

Authors Saren Johansen, Bent Nielsen

Publication date 22 November 2017

zbMATH Keywords

robust regressionindicator saturation estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cited in

(17)

• Granger causality, exogeneity, cointegration, and economic policy analysis
• Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
• Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
• Discussion: The forward search: theory and data analysis
• Forecasting by factors, by variables, by both or neither?
• Model selection in under-specified equations facing breaks
• A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
• Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator
• Misspecification testing: non-invariance of expectations models of inflation
• Unpredictability in economic analysis, econometric modeling and forecasting
• Heteroscedasticity testing after outlier removal
• Asymptotic analysis of iterated 1-step Huber-skip M-estimators with varying cut-offs
• Model selection when there are multiple breaks
• On adding over-identifying instrumental variables to simultaneous equations
• Analysis of the forward search using some new results for martingales and empirical processes
• Sir Clive W. J. Granger model selection
• Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change

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 Q4593677)