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Simple robust testing of regression hypothesis

Kiefer, Nicholas M.; Vogelsang, Timothy J.; Bunzel, Helle - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 3, pp. 695-714

Persistent link: https://www.econbiz.de/10001476522

Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size

Kiefer, Nicholas M.; Vogelsang, Timothy J. - In: Econometric theory 18 (2002) 6, pp. 1350-1366

Persistent link: https://www.econbiz.de/10001716907

Heteroskedasticity-autocorrelation robust standard errors using the Bartlett Kernel without truncation

Kiefer, Nicholas M.; Vogelsang, Timothy J. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 2093-2095

Persistent link: https://www.econbiz.de/10001702262

Simple robust testing of regression hypothesis: a comment

Abadir, Karim Maher; Paruolo, Paolo - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 2097-2099

Persistent link: https://www.econbiz.de/10001702266

A simulation estimator for testing the time homogeneity of credit rating transitions

Kiefer, Nicholas M. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003412838

Robust nonnested testing and the demand for money

Choi, Hwan-Sik; Kiefer, Nicholas M. - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 1, pp. 9-17

Persistent link: https://www.econbiz.de/10003625184

A simulation estimator for testing the time homogeneity of credit rating transitions

Kiefer, Nicholas M.; Larson, C. Erik - In: Journal of empirical finance 14 (2007) 5, pp. 818-835

Persistent link: https://www.econbiz.de/10003610022

Improving robust model selection tests for dynamic models

Choi, Hwan-sik; Kiefer, Nicholas M. - In: The econometrics journal 13 (2010) 2, pp. 177-204

Persistent link: https://www.econbiz.de/10003978505

Improving Robust Model Selection Tests for Dynamic Models

Choi, Hwan-sik; Kiefer, Nicholas M. - 2010

We propose an improved model selection test for dynamic models based on the method of Rivers and Vuong (2002) using a new asymptotic approximation to the sampling distribution of a new test statistic. The model selection test is applicable to dynamic models with very general selection criteria...

Persistent link: https://www.econbiz.de/10014198306