Uniform Inference in Autoregressive Models
From MaRDI portal
Publication:5441829
DOI10.1111/j.1468-0262.2007.00798.xzbMath1133.91046OpenAlexW2044594680MaRDI QIDQ5441829
Publication date: 15 February 2008
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2007.00798.x
Related Items
TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS ⋮ ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES ⋮ Estimating deterministic trends with an integrated or stationary noise component ⋮ Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators ⋮ INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY ⋮ An improved bootstrap test of stochastic dominance ⋮ CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES ⋮ DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS ⋮ Bonferroni-based size-correction for nonstandard testing problems ⋮ The restricted likelihood ratio test for autoregressive processes ⋮ The uniform validity of impulse response inference in autoregressions ⋮ IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS ⋮ ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS ⋮ A unified unit root test regardless of intercept ⋮ Latent local-to-unity models ⋮ Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations ⋮ QUANTILOGRAMS UNDER STRONG DEPENDENCE ⋮ Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence ⋮ ASYMPTOTIC THEORY FOR KERNEL ESTIMATORS UNDER MODERATE DEVIATIONS FROM A UNIT ROOT, WITH AN APPLICATION TO THE ASYMPTOTIC SIZE OF NONPARAMETRIC TESTS ⋮ Inference for VARs identified with sign restrictions ⋮ Likelihood inference in some finite mixture models ⋮ Point optimal testing with roots that are functionally local to unity ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root ⋮ Controlling the size of autocorrelation robust tests ⋮ ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP ⋮ ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN ⋮ Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity ⋮ Robust inference for threshold regression models ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility ⋮ Testing multiple inequality hypotheses: a smoothed indicator approach ⋮ Predictive quantile regression with persistent covariates: IVX-QR approach ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ Robust subsampling ⋮ Hybrid stochastic local unit roots ⋮ On the uniform asymptotic validity of subsampling and the bootstrap ⋮ Asymptotic theory for near integrated processes driven by tempered linear processes ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ Uniformity and the delta method ⋮ Hybrid and Size-Corrected Subsampling Methods ⋮ Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ A uniform-in-P Edgeworth expansion under weak Cramér conditions ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model ⋮ SECOND ORDER EXPANSION OF THE T-STATISTIC IN AR(1) MODELS ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
This page was built for publication: Uniform Inference in Autoregressive Models
