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Confidence sets based on thresholding estimators in high-dimensional Gaussian regression models

Schneider, Ulrike - In: Econometric reviews 35 (2016) 8/10, pp. 1412-1455

Persistent link: https://www.econbiz.de/10011592348

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

Wagner, Martin - In: Economics letters 228 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014455149

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

Wagner, Martin - 2023

We consider fully modified least squares estimation for systems of cointegrating polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and their powers as regressors. The errors are allowed to be correlated across equations, over time...

Persistent link: https://www.econbiz.de/10013479635

Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions

Wagner, Martin - In: Empirical economics : a quarterly journal of the … 65 (2023) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10014329033

Integrated modified least squares estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regression

Veldhuis, Sebastian; Wagner, Martin - 2024

Persistent link: https://www.econbiz.de/10015163143

Integrated modified OLS estimation and fixed-b inference for cointegrating regressions

Vogelsang, Timothy J.; Wagner, Martin - In: Journal of econometrics 178 (2014) 2, pp. 741-760

Persistent link: https://www.econbiz.de/10010257671

The determinants of long-run economic growth : a conceptually and computationally simple approach

Hlouskova, Jaroslava; Wagner, Martin - In: Swiss journal of economics and statistics 149 (2013) 4, pp. 445-492

Persistent link: https://www.econbiz.de/10010244758

Growth regressions, principal components and frequentist model averaging

Wagner, Martin; Hlouskova, Jaroslava - 2009

Persistent link: https://www.econbiz.de/10003839749

Growth regressions, principal components augmented regressions and frequentist model averaging

Wagner, Martin; Hlouskova, Jaroslava - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 6, pp. 642-662

Persistent link: https://www.econbiz.de/10011432301

Cointegrating polynomial regressions : fully modified OLS estimation and inference

Wagner, Martin; Hong, Seung Hyun - In: Econometric theory 32 (2016) 5, pp. 1289-1315

Persistent link: https://www.econbiz.de/10011661753