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Robust inference for threshold regression models

Hidalgo, Javier; Lee, Jungyoon; Seo, Myung Hwan - In: Journal of econometrics 210 (2019) 2, pp. 291-309

Persistent link: https://www.econbiz.de/10012303525

Minimax risk in estimating kink threshold and testing continuity

Hidalgo, Javier; Lee, Heejun; Lee, Jungyoon; Seo, Myung Hwan - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 233-259). 2023

Persistent link: https://www.econbiz.de/10014313688

Panel nonparametric regression with fixed effects

Lee, Jungyoon; Robinson, Peter M. - In: Journal of econometrics 188 (2015) 2, pp. 346-362

Persistent link: https://www.econbiz.de/10011503072

Series estimation under cross-sectional dependence

Lee, Jungyoon; Robinson, Peter M. - In: Journal of econometrics 190 (2016) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10011591611

Adaptive inference on pure spatial models

Lee, Jungyoon; Robinson, Peter M. - In: Journal of econometrics 216 (2020) 2, pp. 375-393

Persistent link: https://www.econbiz.de/10012439728

A CUSUM Test for Common Trends in Large Heterogeneous Panels

Hidalgo, Javier; Lee, Jungyoon - In: Essays in honor of Peter C.B. Phillips, (pp. 303-345). 2014

This paper examines a nonparametric CUSUM-type test for common trends in large panel data sets with individual fixed effects. We consider, as in Zhang, Su, and Phillips (2012), a partial linear regression model with unknown functional form for the trend component, although our test does not...

Persistent link: https://www.econbiz.de/10015369570

A goodness-of-fit test for a class of autoregressive conditional duration models

Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141

Persistent link: https://www.econbiz.de/10011591144

Inference and testing breaks in large dynamic panels with strong cross sectional dependence

Hidalgo, Javier; Schafgans, Marcia M. A. - In: Journal of econometrics 196 (2017) 2, pp. 259-274

Persistent link: https://www.econbiz.de/10011818291

Inference without smoothing for large panels with cross-sectional and temporal dependence

Hidalgo, Javier; Schafgans, Marcia M. A. - In: Journal of econometrics 223 (2021) 1, pp. 125-160

Persistent link: https://www.econbiz.de/10012619963

A test for weak stationarity in the spectral domain

Hidalgo, Javier; Souza, Pedro C. L. - In: Econometric theory 35 (2019) 3, pp. 547-600

Persistent link: https://www.econbiz.de/10012146156