Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters

DOI10.1111/1468-0262.00318MaRDI QIDQ5474987zbMATH OpenOpenAlexFDO

Authors Benedikt M. Pötscher

Publication date 16 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-0262.00318

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited in

(26)

• A test of the long memory hypothesis based on self-similarity
• Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence
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• Some properties of tests for parameters that can be arbitrarily close to being unidentified
• Fast computation and practical use of amplitudes at non-Fourier frequencies
• On size and power of heteroskedasticity and autocorrelation robust tests
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• A simple, robust and powerful test of the trend hypothesis
• A theory of robust long-run variance estimation
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• On the irrelevance of impossibility theorems: the case of the long-run variance
• SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION
• Detecting long-range dependence with truncated ratios of periodogram ordinates
• Robust inference in nonstationary time series models
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Some impossibility results for inference with cluster dependence with large clusters
• Structural VAR models in the frequency domain
• Spatial correlation robust inference
• Optimal HAR inference
• Median regularity and honest inference
• The ET interview: Benedikt M. Pötscher
• On the uniform asymptotic validity of subsampling and the bootstrap

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