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A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322
Persistent link: https://www.econbiz.de/10011818361
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Dynamic conditional angular correlation
Jarjour, Riad; Chan, Kung-sik - In: Journal of econometrics 216 (2020) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10012439656
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Robust covariance estimation for approximate factor models
Fan, Jianqing; Wang, Weichen; Zhong, Yiqiao - In: Journal of econometrics 208 (2019) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10012139773
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Adaptive robust large volatility matrix estimation based on high-frequency financial data
Shin, Minseok; Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 237 (2023) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014471480
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Inference on impulse response functions in structural VAR models
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
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Robust inference with GMM estimators
Ronchetti, Elvezio; Trojani, Fabio - In: Journal of econometrics 101 (2001) 1, pp. 37-69
Persistent link: https://www.econbiz.de/10001545114
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Over-identified doubly robust identification and estimation
Lewbel, Arthur; Choi, Jin-young; Zhou, Zhuzhu - In: Journal of econometrics 235 (2023) 1, pp. 25-42
Persistent link: https://www.econbiz.de/10014434376
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A new robust inference for predictive quantile regression
Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai - In: Journal of econometrics 234 (2023) 1, pp. 227-250
Persistent link: https://www.econbiz.de/10014364804
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Robust methods for detecting multiple level breaks in autocorrelated time series
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 157 (2010) 2, pp. 342-358
Persistent link: https://www.econbiz.de/10008662998
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Likelihood-based estimation in a panel setting : robustness, redundancy and validity of copulas
Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 153 (2009) 1, pp. 93-104
Persistent link: https://www.econbiz.de/10003892661