Pages that link to "Item:Q156125"
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The following pages link to Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (Q156125):
Displaying 50 items.
- Lasso Inference for High-Dimensional Time Series (Q95760) (← links)
- Statistical tests for multiple forecast comparison (Q105896) (← links)
- Stationary vine copula models for multivariate time series (Q111321) (← links)
- Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations (Q111926) (← links)
- GMM estimation with cross sectional dependence (Q113633) (← links)
- A simple test on structural change in long-memory time series (Q135940) (← links)
- cointReg (Q156103) (← links)
- The fragility of the KPSS stationarity test (Q257549) (← links)
- Variance inequalities for quadratic forms with applications (Q259859) (← links)
- Testing for cointegration using partially linear models (Q261908) (← links)
- Testing for common deterministic trend slopes (Q262744) (← links)
- Size and power of tests of stationarity in highly autocorrelated time series (Q265023) (← links)
- Structural breaks with deterministic and stochastic trends (Q265106) (← links)
- A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing (Q265279) (← links)
- Maximum likelihood and the bootstrap for nonlinear dynamic models (Q269240) (← links)
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series (Q269393) (← links)
- Multivariate trend function testing with mixed stationary and integrated disturbances (Q272058) (← links)
- Estimation of copula-based semiparametric time series models (Q274894) (← links)
- Generalized reduced rank tests using the singular value decomposition (Q274909) (← links)
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors (Q274912) (← links)
- Bootstrapping GMM estimators for time series (Q275250) (← links)
- Matrix exponential GARCH (Q278044) (← links)
- Estimating restricted structural change models (Q278183) (← links)
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases (Q278490) (← links)
- Information in generalized method of moments estimation and entropy-based moment selection (Q280214) (← links)
- Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics (Q280239) (← links)
- HAC estimation in a spatial framework (Q280271) (← links)
- Smoothed quantile regression for panel data (Q284303) (← links)
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework (Q284309) (← links)
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
- Incidental trends and the power of panel unit root tests (Q289163) (← links)
- Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large (Q289174) (← links)
- A smoothed least squares estimator for threshold regression models (Q289180) (← links)
- Confidence sets for the date of a single break in linear time series regressions (Q289210) (← links)
- A theory of robust long-run variance estimation (Q289220) (← links)
- Adaptive consistent unit-root tests based on autoregressive threshold model (Q290942) (← links)
- Generalized empirical likelihood tests in time series models with potential identification failure (Q290944) (← links)
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change (Q290950) (← links)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- Long-run risk-return trade-offs (Q291124) (← links)
- Short run and long run causality in time series: inference (Q291702) (← links)
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (Q291848) (← links)
- A regime switching long memory model for electricity prices (Q291856) (← links)
- Interval forecasts and parameter uncertainty (Q291858) (← links)
- Discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions'', by Li Pan and Dimitris Politis (Q301351) (← links)
- Tests for changing mean with monotonic power (Q301955) (← links)
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope (Q302096) (← links)
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors (Q302107) (← links)
- Quantile cointegrating regression (Q302196) (← links)
- Almost sure hypothesis testing and a resolution of the Jeffreys-Lindley paradox (Q302434) (← links)
