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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

Finite sample properties of the two-step empirical likelihood estimator

Guggenberger, Patrik; Hahn, Jinyong - In: Econometric reviews 24 (2005) 3, pp. 247-263

Persistent link: https://www.econbiz.de/10003105594

Identification- and Singularity-Robust Inference for Moment Condition Models

Andrews, Donald W. K. - 2018

This paper introduces a new identiﬁcation- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identiﬁcation- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute....

Persistent link: https://www.econbiz.de/10012909479

Identification- and Singularity-Robust Inference for Moment Condition Models

Andrews, Donald W. K. - 2019

Persistent link: https://www.econbiz.de/10012889240

Asymptotic size and a problem with subsampling and with the m out of n bootstrap

Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometric theory 26 (2010) 2, pp. 426-468

Persistent link: https://www.econbiz.de/10003968604

On the size distortion of tests after an overidentifying restrictions pretest

Guggenberger, Patrik; Kumar, Gitanjali - In: Journal of applied econometrics 27 (2012) 7, pp. 1138-1160

Persistent link: https://www.econbiz.de/10009677970

On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression

Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 6, pp. 2649-2666

Persistent link: https://www.econbiz.de/10009689456

A conditional-heteroskedasticity-robust confidence interval for the autoregressive parameter

Andrews, Donald W. K.; Guggenberger, Patrik - In: The review of economics and statistics 96 (2014) 2, pp. 376-381

Persistent link: https://www.econbiz.de/10010392945

Applications of subsampling, hybrid, and size-correction methods

Andrews, Donald W. K.; Guggenberger, Patrik - In: Journal of econometrics 158 (2010) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10008839953