scientific article; zbMATH DE number 1911817
From MaRDI portal
Publication:4807340
zbMATH Open1039.62080MaRDI QIDQ4807340FDOQ4807340
Authors: Michael Jansson 
Publication date: 18 May 2003
Title of this publication is not available (Why is that?)
Recommendations
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Estimation of autocovariance matrices for high dimensional linear processes
- On the multidimension asymptotic distribution of covariance estimates of linear stationary processes
- Estimation of autocovariance matrices for infinite dimensional vector linear process
- CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS
Cited In (43)
- HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
- Point optimal tests of the null hypothesis of cointegration
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
- A simple, robust and powerful test of the trend hypothesis
- Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
- Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
- Parameter estimation and inference with spatial lags and cointegration
- Consistency of kernel variance estimators for sums of semiparametric linear processes
- A smoothed least squares estimator for threshold regression models
- Generalized empirical likelihood tests in time series models with potential identification failure
- HAC estimation and strong linearity testing in weak ARMA models
- Testing for shifts in mean with monotonic power against multiple structural changes
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
- Tests for changing mean with monotonic power
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- Covariances estimation for long-memory processes
- Alternative HAC covariance matrix estimators with improved finite sample properties
- Estimation of autocovariance matrices for infinite dimensional vector linear process
- Nonparametric rank tests for non-stationary panels
- HAC Covariance Matrix Estimation in Quantile Regression
- Two simple tests of the trend hypothesis under time-varying variance
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions
- SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Variance inequalities for quadratic forms with applications
- A new consistency proof for HAC variance estimators
- A test of the null of integer integration against the alternative of fractional integration
- Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
- Title not available (Why is that?)
- Inference in predictive quantile regressions
- On the estimation of structured covariance matrices
- Robust inference on infinite and growing dimensional time-series regression
- Long-run covariance matrices for fractionally integrated processes
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
- Detecting changes in functional linear models
- GEL statistics under weak identification
- Powerful tests for structural changes in volatility
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 Q4807340)
