Similar Search Results - EconBiz

Simultaneous specification testing of mean and variance structures in nonlinear time series regression

Chen, Song Xi; Gao, Jiti - In: Econometric theory 27 (2011) 4, pp. 792-843

Persistent link: https://www.econbiz.de/10009311732

Choices between OLS with robust inference and feasible GLS in time series regressions

Baillie, Richard; Kim, Kun Ho - In: Economics letters 171 (2018), pp. 218-221

Persistent link: https://www.econbiz.de/10012021807

Linear regression with weak exogeneity

Mikusheva, Anna; Sølvsten, Mikkel - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 367-403

inconsistent. The bias arises in settings with many regressors because the normalized OLS design matrix remains asymptotically … random and correlates with the regression error when only weak (but not strict) exogeneity holds. This bias' magnitude … increases with the number of regressors and their average autocorrelation. We propose an innovative approach to bias correction …

Persistent link: https://www.econbiz.de/10015423082

Bias reduction of long memory parameter estimators via the pre-filtered Sieve bootstrap

Poskitt, Donald Stephen; Martin, Gael M.; Grose, Simone D. - 2014 - Rev. Ed.

Persistent link: https://www.econbiz.de/10010349989

Bootstrapping structural VARs : avoiding a potential bias in confidence intervals for impulse response functions

Phillips, Kerk Layne; Spencer, David E. - In: Journal of macroeconomics 33 (2011) 4, pp. 582-594

Persistent link: https://www.econbiz.de/10009530453

Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach

Shintani, Mototsugu; Guo, Zi-yi - 2015

Persistent link: https://www.econbiz.de/10011448651

Finite sample performance of principal components estimators for dynamic factor models : asymptotic vs. bootstrap approximations

Shintani, Mototsugu; Guo, Zi-Yi - 2011 - This version: January 2011

the bias is larger for a more persistent factor. In such a case, bootstrap procedures are effective in reducing the bias …

Persistent link: https://www.econbiz.de/10011723905

Bias correction of persistence measures in fractionally integrated models

Grose, Simone D.; Martin, Gael M.; Poskitt, Donald Stephen - 2014 - Revised 13, 29

Persistent link: https://www.econbiz.de/10011780804

Bias correctoin of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap

Poskitt, Donald Stephen; Martin, M.; Grose, Simone D. - In: Econometric theory 33 (2017) 3, pp. 578-609

Persistent link: https://www.econbiz.de/10011810039

Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach

Shintani, Mototsugu; Guo, Zi-Yi - In: Econometric reviews 37 (2018) 1/5, pp. 360-379

Persistent link: https://www.econbiz.de/10012039266

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