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Bias-reduced log-periodogram and whittle estimation of the long-memory parameter without variance inflation

Guggenberger, Patrik; Sun, Yixiao - In: Econometric theory 22 (2006) 5, pp. 863-912

Persistent link: https://www.econbiz.de/10003379111

Bias-reduced log-periodogram and Whittle estimation of the long-memory parameter without variance inflation

Guggenberger, Patrik (contributor); Sun, Yixiao (contributor) - 2004

Persistent link: https://www.econbiz.de/10003761467

Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation

Guggenberger, Patrik - 2011

In Andrews and Guggenberger (2003) a bias-reduced log-periodogram estimator d_{LP}(r) for the long-memory parameter (d) in a stationary long-memory time series has been introduced. Compared to the Geweke and Porter-Hudak (1983) estimator d_{GPH}=d_{LP}(0), the estimator d_{LP}(r) for r larger...

Persistent link: https://www.econbiz.de/10012714722

The impact of a Hausman pretest on the asymptotic size of a hypothesis test

Guggenberger, Patrik - In: Econometric theory 26 (2010) 2, pp. 369-382

Persistent link: https://www.econbiz.de/10003968594

The impact of a Hausman pretest on the size of a hypothesis test : the panel data case

Guggenberger, Patrik - In: Journal of econometrics 156 (2010) 2, pp. 337-343

Persistent link: https://www.econbiz.de/10008648810

A note on the relation between local power and robustness to misspecification

Guggenberger, Patrik - In: Economics letters 116 (2012) 2, pp. 133-135

Persistent link: https://www.econbiz.de/10009674534

A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters

Guggenberger, Patrik - In: Economics letters 117 (2012) 3, pp. 901-904

Persistent link: https://www.econbiz.de/10009682542

On the asymptotic size distortion of tests when instruments locally violate the exogeneity assumption

Guggenberger, Patrik - In: Econometric theory 28 (2012) 2, pp. 387-421

Persistent link: https://www.econbiz.de/10009520937

Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator

Guggenberger, Patrik - In: Econometric reviews 27 (2008) 4/6, pp. 526-541

Persistent link: https://www.econbiz.de/10003761331

Spurious regressions with stationary Gegenbauer processes and harmonic processes

Sun, Yixiao - 2003

Persistent link: https://www.econbiz.de/10001753289

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