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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
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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
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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
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Identification- and Singularity-Robust Inference for Moment Condition Models
Andrews, Donald W. K. - 2019
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/10012889240
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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
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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
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Asymptotics for stationary very nearly unit root processes
Andrews, Donald W. K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003462544
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Applications of subsampling, hybrid, and size-correction methods
Andrews, Donald W. K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003462609
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Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities
Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometric theory 25 (2009) 3, pp. 669-709
Persistent link: https://www.econbiz.de/10003864159
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Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometric theory 33 (2017) 5, pp. 1046-1080
Persistent link: https://www.econbiz.de/10011810250