Uniform Inference in Autoregressive Models
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- Confidence intervals for autoregressive coefficients near one
- Toward a unified interval estimation of autoregressions
- Approximate confidence sets for a stationary \(AR(p)\) process
- Asymptotic theory and unified confidence region for an autoregressive model
- Large-sample inference in the general AR(1) model
Cited in
(67)- Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
- An empirical likelihood-based unified test for the integer-valued AR(1) models
- Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
- Likelihood inference in some finite mixture models
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Robust confidence intervals for autoregressive coefficients near one
- Robust inference for threshold regression models
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
- Modeling long cycles
- Controlling the size of autocorrelation robust tests
- Point optimal testing with roots that are functionally local to unity
- Hybrid stochastic local unit roots
- Asymptotic theory for near integrated processes driven by tempered linear processes
- Bonferroni-based size-correction for nonstandard testing problems
- INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
- A uniform-in-P Edgeworth expansion under weak Cramér conditions
- Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
- Identifying the volatility risk price through the leverage effect
- Uniform inference for cointegrated vector autoregressive processes
- ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
- A unified unit root test regardless of intercept
- UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL
- Ridge regularized estimation of VAR models for inference
- Robust subsampling
- Large-sample inference in the general AR(1) model
- Hybrid and Size-Corrected Subsampling Methods
- Unified Inference for Panel Autoregressive Models With Unobserved Grouped Heterogeneity
- Differencing transformations and inference in predictive regression models
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Uniform inference in linear mixed models
- Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.
- The Grid Bootstrap for Continuous Time Models
- Efficient and Robust Estimation of the Generalized LATE Model
- ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
- Generic results for establishing the asymptotic size of confidence sets and tests
- Quantilograms under strong dependence
- Bootstraps for dynamic panel threshold models
- Towards a unified asymptotic theory for autoregression
- Second order expansion of the T-statistic in AR(1) models
- Uniformity and the delta method
- Testing multiple inequality hypotheses: a smoothed indicator approach
- Inference for VARs identified with sign restrictions
- On nonparametric inference in the regression discontinuity design
- Estimating deterministic trends with an integrated or stationary noise component
- An empirical likelihood-based Portmanteau test for the autoregressive model regardless of its properties
- The uniform validity of impulse response inference in autoregressions
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Asymptotic theory and unified confidence region for an autoregressive model
- On the uniform asymptotic validity of subsampling and the bootstrap
- Latent local-to-unity models
- Toward a unified interval estimation of autoregressions
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
- The restricted likelihood ratio test for autoregressive processes
- Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Limit theory for an AR(1) model with intercept and a possible infinite variance
- Inference in a stationary/nonstationary autoregressive time-varying-parameter model
- Central limit theory for combined cross section and time series with an application to aggregate productivity shocks
- An improved bootstrap test of stochastic dominance
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
- Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
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