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The effect of sampling error on the time series behavior of consumption data

Gregory, Allan W.; Wirjanto, Tony - In: Journal of Econometrics 55 (1993) 1-2, pp. 267-273

Persistent link: https://www.econbiz.de/10005285799

Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence

Gregory, Allan W.; Lamarche, Jean-Francois; Smith, Gregor W. - In: Journal of Econometrics 107 (2002) 1-2, pp. 213-233

Persistent link: https://www.econbiz.de/10005239024

Testing for structural breaks in cointegrated relationships

Gregory, Allan W.; Nason, James M.; Watt, David G. - In: Journal of Econometrics 71 (1996) 1-2, pp. 321-341

Persistent link: https://www.econbiz.de/10005192562

Residual-based tests for cointegration in models with regime shifts

Gregory, Allan W.; Hansen, Bruce E. - In: Journal of Econometrics 70 (1996) 1, pp. 99-126

Persistent link: https://www.econbiz.de/10005192851

Empirical likelihood block bootstrapping

Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of Econometrics 161 (2011) 2, pp. 110-121

Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...

Persistent link: https://www.econbiz.de/10008866527