Topics in Advanced Econometrics
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ARMAARMAXasymptotic normalitycointegrationestimationexamplesmaximum likelihood theorynonlinear least squares estimatorsnonlinear regression modelsnonparametric kernel regression functionsnonparametric time series regressionnonrobustnessstrong and weak laws of large numberstestingtests of model misspecificationtime series modelsunit root theoryweak and strong consistency
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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- Kernel autocorrelogram for time-deformed processes
- Nonparametric cointegration analysis
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- Comparison of a large number of regression curves
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- The Bierens test under data dependence
- A strong law of large numbers for triangular mixingale arrays
- A semiparametric panel data model for markets in disequilibrium
- Nonparametric adaptive inference of birth and death models in a large population limit
- On the Gompertz-Makeham law: a useful mortality model to deal with human mortality
- On the mean-parameterized Bell-Touchard regression model for count data
- Inference and model selection in general causal time series with exogenous covariates
- On a heavy-tailed parametric quantile regression model for limited range response variables
- Explaining individual predictions when features are dependent: more accurate approximations to Shapley values
- On partial-sum processes of ARMAX residuals
- Limit theory for panel data models with cross sectional dependence and sequential exogeneity
- Conditional least squares and copulae in claims reserving for a single line of business
- Subsampling vector autoregressive tests of linear constraints
- Econometrics of first-price auctions with entry and binding reservation prices
- Research on chest radiography recognition model based on deep learning
- Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
- Central limit theorems and uniform laws of large numbers for arrays of random fields
- Modeling nonlinear time series with local mixtures of generalized linear models
- A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
- Myopic loss aversion and margin of safety: the risk of value investing
- Fourier analysis of irregularly spaced data on R^d
- The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis
- SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS
- On the regularization of singular c-optimal designs
- Gradient algorithms for quadratic optimization with fast convergence rates
- A diagnostic statistic for functional-coefficient autoregressive models
- scientific article; zbMATH DE number 515945 (Why is no real title available?)
- A Review of Nonparametric Time Series Analysis
- Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
- Time-varying cointegration
- A test of linearity against functional coefficient autoregressive models
- Higher-order asymptotic refinements in the multivariate Dirichlet regression model
- Nonlinear least squares estimation of the periodic EXPAR(1) model
- Expert information and nonparametric Bayesian inference of rare events
- Econometrics in Theory and Practice
- Regression towards the mode
- Bootstrap tests for time varying cointegration
- Multiscale extensions for enhancing coarse grid computations
- Multivariate zero-inflated Bell distribution and its inference and applications
- Panel Stochastic Frontier Model With Endogenous Inputs and Correlated Random Components
- Distributed penalizing function criterion for local polynomial estimation in nonparametric regression with massive data
- Digital twins: McKean-Pontryagin control for partially observed physical twins
- Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
- Inferring welfare maximizing treatment assignment under budget constraints
- A class of Rényi information estimators for multidimensional densities
- Variable selection in neural network regression models with dependent data: a subsampling approach
- Some restriction tests in a new class of regression models for proportions
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