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Detecting mean reversion in real exchange rates from a multiple regime STAR model

Bec, Frédérique (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002574193

Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship

Bec, Frédérique; BenSalem, Mélika; Carrasco, Marine - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 382-395

Persistent link: https://www.econbiz.de/10002372870

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - 2016

Persistent link: https://www.econbiz.de/10011524318

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338

Persistent link: https://www.econbiz.de/10011691438

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - 2016

Persistent link: https://www.econbiz.de/10011582617

Efficient estimation using regularized Jackknife IV estimator

Carrasco, Marine; Doukali, Mohamed - 2021

We consider instrumental variables (IV) regression in a setting with many (possibly weak)instruments. In finite samples, the inclusion of an excessive number of moments may increasethe bias of IV estimators. We propose a Jackknife instrumental variables estimator (RJIVE) combined with...

Persistent link: https://www.econbiz.de/10013314461