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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper
Schreiber, Sven - 2014 - This version: February 2014
The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...
Persistent link: https://www.econbiz.de/10010489880
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On the construction of confidence intervals for ratios of expectations
Derumigny, Alexis; Girard, Lucas; Guyonvarch, Yannick - 2019
Persistent link: https://www.econbiz.de/10012237309
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Inference on directionally differentiable functions
Fang, Zheng; Santos, Andres - In: The review of economic studies : RES 86 (2019) 1, pp. 377-412
Persistent link: https://www.econbiz.de/10012109368
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Statistical inference for Mt/G/Infinity queueing systems under incomplete observations
Li, Dongmin; Hu, Qingpei; Wang, Lujia; Yu, Dan - In: European journal of operational research : EJOR 279 (2019) 3, pp. 882-901
Persistent link: https://www.econbiz.de/10012102795
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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
Schreiber, Sven - In: Econometric reviews 38 (2019) 3, pp. 279-300
Persistent link: https://www.econbiz.de/10012181279
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Uniform inference for value functions
Firpo, Sergio; Galvao, Antonio Fialho <Jr.>; Parker, Thomas - 2022
Persistent link: https://www.econbiz.de/10013499397
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Uniform inference for value functions
Firpo, Sergio; Galvao, Antonio Fialho <Jr.>; Parker, Thomas - In: Journal of econometrics 235 (2023) 2, pp. 1680-1699
Persistent link: https://www.econbiz.de/10014471422
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Panel data analysis with heterogeneous dynamics
Okui, Ryo; Yanagi, Takahide - In: Journal of econometrics 212 (2019) 2, pp. 451-475
Persistent link: https://www.econbiz.de/10012304063
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A FAST method for nested estimation
Liang, Guo; Zhang, Kun; Luo, Jun - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 6, pp. 1481-1500
Persistent link: https://www.econbiz.de/10015164594
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Fast and reliable jackknife and bootstrap methods for cluster-robust inference
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022
bootstrap, which involve the new CRVEs, jackknife-based bootstrap data-generating processes, or both. Extensive simulation …
Persistent link: https://www.econbiz.de/10013172440