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Bias-reduced log-periodogram and whittle estimation of the long-memory parameter without variance inflation

Guggenberger, Patrik; Sun, Yixiao - In: Econometric theory 22 (2006) 5, pp. 863-912

Persistent link: https://www.econbiz.de/10003379111

Bias-reduced log-periodogram and Whittle estimation of the long-memory parameter without variance inflation

Guggenberger, Patrik (contributor); Sun, Yixiao (contributor) - 2004

Persistent link: https://www.econbiz.de/10003761467

Estimation of the long-run average relationship in nonstationary panel time series

Sun, Yixiao - 2003

Persistent link: https://www.econbiz.de/10001753311

Robust trend inference with series variance estimator and testing-optimal smoothing parameter

Sun, Yixiao - In: Journal of econometrics 164 (2011) 2, pp. 345-366

Persistent link: https://www.econbiz.de/10009301901

A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator

Sun, Yixiao - In: The econometrics journal 16 (2013) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009722516

Estimation of the long-run average relationship in nonstationary panel time series

Sun, Yixiao - In: Econometric theory 20 (2004) 6, pp. 1227-1260

Persistent link: https://www.econbiz.de/10002424947

Some extensions of asymptotic F and t theory in nonstationary regressions

Sun, Yixiao - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 319-347). 2023

Persistent link: https://www.econbiz.de/10014313748

A bias-reduced log-periodogram regression estimator for the long-memory parameter

Andrews, Donald W. K.; Guggenberger, Patrik - 2000 - Rev.: May 2000

Persistent link: https://www.econbiz.de/10001512674

Econometric essays on generalized empirical likelihood, long-memory time series, and volatility

Guggenberger, Patrik - 2003

Persistent link: https://www.econbiz.de/10003628322

Estimation of the Long-Run Average Relationship in Nonstationary Panel Time Series

Sun, Yixiao - 2003

This paper proposes a new class of estimators of the long-run average relationship when there is no individual time series cointegration. Using panel data with large cross section (n) and time series dimensions (T), the estimators are based on the long-run average variance estimate using...

Persistent link: https://www.econbiz.de/10014084423