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Efficient estimation and inference in cointegrating regressions with structural change

Kurozumi, Eiji (contributor); Arai, Yoichi (contributor) - 2005

Persistent link: https://www.econbiz.de/10002879618

Model selection criteria for the leads-and-lags cointegrating regression

Choi, In; Kurozumi, Eiji - In: Journal of econometrics 169 (2012) 2, pp. 224-238

Persistent link: https://www.econbiz.de/10009671315

Estimation and inference in predictive regressions

Kurozumi, Eiji; Aono, Kohei - In: Hitotsubashi journal of economics 54 (2013) 2, pp. 231-250

Persistent link: https://www.econbiz.de/10010343650

Lag augmentation in regression models with possibly integrated regressors

Yamamoto, Taku; Kurozumi, Eiji - In: Hitotsubashi journal of economics 46 (2005) 2, pp. 159-175

Persistent link: https://www.econbiz.de/10003292655

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Kurozumi, Eiji; Hayakawa, Kazuhiko - In: Journal of econometrics 149 (2009) 2, pp. 118-135

Persistent link: https://www.econbiz.de/10003833777

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Kurozumi, Eiji (contributor); Hayakawa, Kazuhiko (contributor) - 2006

Persistent link: https://www.econbiz.de/10003397116

The role of "leads" in the dynamic OLS estimation of cointegrating regression models

Hayakawa, Kazuhiko (contributor); Kurozumi, Eiji (contributor) - 2006

Persistent link: https://www.econbiz.de/10003397121

Regression discontinuity designs, white noise models, and minimax

Tuvaandorj, Purevdorj - In: Journal of econometrics 218 (2020) 2, pp. 587-608

Persistent link: https://www.econbiz.de/10012483172

A robust permutation test for subvector inference in linear regressions

D'Haultfœuille, Xavier; Tuvaandorj, Purevdorj - In: Quantitative economics : QE ; journal of the … 15 (2024) 1, pp. 27-87

We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...

Persistent link: https://www.econbiz.de/10014496927