Pages that link to "Item:Q4013241"

The following pages link to Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes (Q4013241):

Displaying 50 items.

• M-estimation with incomplete and dependent multivariate data (Q128879) (← links)
• Variance inequalities for quadratic forms with applications (Q259859) (← links)
• Short run and long run causality in time series: inference (Q291702) (← links)
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes (Q295697) (← links)
• On variance estimation in a negative binomial time series regression model (Q450867) (← links)
• A test of the null of integer integration against the alternative of fractional integration (Q494391) (← links)
• Sieve semiparametric two-step GMM under weak dependence (Q496156) (← links)
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo (Q548543) (← links)
• HAC estimation and strong linearity testing in weak ARMA models (Q860337) (← links)
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation (Q866643) (← links)
• Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
• System estimators of cointegrating matrix in absence of normalising information (Q1298418) (← links)
• The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series (Q1298473) (← links)
• Test for partial parameter instability in regressions with \(I(1)\) processes (Q1305645) (← links)
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions (Q1377328) (← links)
• Alternative HAC covariance matrix estimators with improved finite sample properties (Q1662087) (← links)
• Bounded integrated processes and unit root tests (Q1766955) (← links)
• The large sample behaviour of the generalized method of moments estimator in misspecified models (Q1810674) (← links)
• Robust out-of-sample inference (Q1841187) (← links)
• Nonlinear minimization estimators in the presence of cointegrating relations. (Q1858971) (← links)
• Residual-based tests for cointegration in models with regime shifts (Q1906289) (← links)
• Improved HAC covariance matrix estimation based on forecast errors (Q1934714) (← links)
• Covariance matrix estimation for estimators of mixing weak ARMA models (Q1970859) (← links)
• Estimation of longrun variance of continuous time stochastic process using discrete sample (Q2000826) (← links)
• Uniform nonparametric inference for time series (Q2227073) (← links)
• Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator (Q2270348) (← links)
• A new consistency proof for HAC variance estimators (Q2292789) (← links)
• Spurious regression due to neglected of non-stationary volatility (Q2403404) (← links)
• A semiparametric model for heterogeneous panel data with fixed effects (Q2516308) (← links)
• Unit root quantile autoregression testing using covariates (Q2630077) (← links)
• ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS (Q2801990) (← links)
• A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS (Q2886972) (← links)
• <i>k</i>-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA (Q2909248) (← links)
• Improving robust model selection tests for dynamic models (Q3004021) (← links)
• Cointegrating regressions with messy regressors and an application to mixed-frequency series (Q3103181) (← links)
• POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS (Q3108569) (← links)
• LIMITED TIME SERIES WITH A UNIT ROOT (Q3375345) (← links)
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS (Q3377445) (← links)
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS (Q3377446) (← links)
• FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS (Q3408518) (← links)
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes (Q3505333) (← links)
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (Q4933584) (← links)
• Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence (Q4976481) (← links)
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (Q5199496) (← links)
• A Quantile‐based Test for Symmetry of Weakly Dependent Processes (Q5256821) (← links)
• ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES (Q5314887) (← links)
• Oracle M‐Estimation for Time Series Models (Q5346585) (← links)
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (Q5411516) (← links)
• NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA (Q5697628) (← links)
• Invariant tests based on<i>M</i>-estimators, estimating functions, and the generalized method of moments (Q5864460) (← links)