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VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
Andrews, Donald W.K.; Guggenberger, Patrik - In: Econometric theory 25 (2009) 3, pp. 669-709
Persistent link: https://www.econbiz.de/10008257717
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Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
Andrews, Donald W.K.; Guggenberger, Patrik - In: Journal of econometrics 169 (2012) 2, pp. 196-211
Persistent link: https://www.econbiz.de/10009987058
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Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
Andrews, Donald W.K.; Guggenberger, Patrik - In: Journal of econometrics 152 (2009) 1, pp. 19-27
Persistent link: https://www.econbiz.de/10008301020
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Applications of subsampling, hybrid, and size-correction methods
Andrews, Donald W.K.; Guggenberger, Patrik - In: Journal of econometrics 158 (2010) 2, pp. 285-306
Persistent link: https://www.econbiz.de/10008455143
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Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
Andrews, Donald W.K.; Guggenberger, Patrik - In: Journal of econometrics 152 (2009) 1, pp. 19-28
Persistent link: https://www.econbiz.de/10008883218
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AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
Andrews, Donald W.K.; Guggenberger, Patrik - In: Econometric theory 26 (2010) 2, pp. 406-426
Persistent link: https://www.econbiz.de/10008388024
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A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
Andrews, Donald W.K.; Guggenberger, Patrik - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 675-712
Persistent link: https://www.econbiz.de/10006763305
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Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
Guggenberger, Patrik; Hahn, Jinyong - In: Econometric reviews 24 (2005) 3, pp. 247-264
Persistent link: https://www.econbiz.de/10006874795
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Specification testing under moment inequalities
Guggenberger, Patrik; Hahn, Jinyong; Kim, Kyooil - In: Economics letters 99 (2008) 2, pp. 375-378
Persistent link: https://www.econbiz.de/10008050593
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ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
Guggenberger, Patrik - In: Econometric theory 28 (2012) 2, pp. 387-422
Persistent link: https://www.econbiz.de/10009847387