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Year of publication
Subject
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test inversion 2 AR(2) 1 AR(2) errors 1 ARCH model 1 ARCH-Modell 1 Coverage Control 1 Estimation 1 Estimation theory 1 GARCH 1 Hodges-Lehmann estimators 1 Locally Best Test 1 Monte Carlo simulation 1 Monte Carlo tests 1 Monte-Carlo-Simulation 1 Regression analysis 1 Regressionsanalyse 1 Schätztheorie 1 Schätzung 1 Statistical test 1 Statistischer Test 1 Test Inversion 1 Volatility 1 Volatilität 1 autocorrélation 1 confidence distributions 1 confidence set 1 exact test 1 generalized bounds test 1 heteroskedasticity 1 induced test 1 least absolute deviation estimators 1 masse monétaire 1 median regression 1 money stock 1 niveau des prix 1 non-normality 1 p-value function 1 price level 1 projection 1 projection method 1
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Online availability
All
Free 3
Type of publication
All
Book / Working Paper 3
Type of publication (narrower categories)
All
Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
All
English 1 French 1 Undetermined 1
Author
All
Dufour, Jean-Marie 2 Coudin, Elise 1 Elliott, Graham 1 Muller, Ulrich K. 1 Neifar, Malika 1
Institution
All
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Department of Economics, University of California-San Diego (UCSD) 1
Published in...
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CIRANO Working Papers 1 Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations 1 University of California at San Diego, Economics Working Paper Series 1
Source
All
RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors
Coudin, Elise; Dufour, Jean-Marie - 2017
Persistent link: https://www.econbiz.de/10011610097
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Confidence Sets for the Date of a Single Break in Linear Time Series Regressions
Elliott, Graham; Muller, Ulrich K. - Department of Economics, University of California-San … - 2004
We consider the problem of constructing confidence sets for the date of a single break in a linear time series regression. We establish analytically and by small sample simulation that he currently standard method in econometrics to construct such intervals has a coverage rate far below nominal...
Persistent link: https://www.econbiz.de/10010536477
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Cover Image
Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes
Dufour, Jean-Marie; Neifar, Malika - Centre Interuniversitaire de Recherche en Analyse des … - 2003
rejected (test inversion). Second, using this confidence set for (varphi), simultaneous confidence sets for the autoregressive …
Persistent link: https://www.econbiz.de/10005100639
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