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A bias-reduced log-periodogram regression estimator for the long-memory parameter

Andrews, Donald W. K.; Guggenberger, Patrik - 2000 - Rev.: May 2000

Persistent link: https://www.econbiz.de/10001512674

A bias-reduced log-periodogram regression estimator for the long-memory parameter

Andrews, Donald W. K.; Guggenberger, Patrik - 2000

Persistent link: https://www.econbiz.de/10001492115

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/10001750449

Validity of Subsampling and 'Plug-In Asymptotic' Inference for Parameters Defined by Moment Inequalities

Andrews, Donald W. K.; Guggenberger, Patrik - 2007

This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and plug-in asymptotic tests...

Persistent link: https://www.econbiz.de/10014225158