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A robust version of the KPSS test based on indicators

Jong, Robert M. de; Amsler, Christine; Schmidt, Peter - In: Journal of Econometrics 137 (2007) 2, pp. 311-333

Persistent link: https://www.econbiz.de/10005285490

Unit root tests with conditional heteroskedasticity

Kim, Kiwhan; Schmidt, Peter - In: Journal of Econometrics 59 (1993) 3, pp. 287-300

Persistent link: https://www.econbiz.de/10005285535

Estimation of a fixed-effect Cobb-Douglas system using panel data

Schmidt, Peter - In: Journal of Econometrics 37 (1988) 3, pp. 361-380

Persistent link: https://www.econbiz.de/10005285541

A Monte Carlo study of estimators of stochastic frontier production functions

Olson, Jerome A.; Schmidt, Peter; Waldman, Donald M. - In: Journal of Econometrics 13 (1980) 1, pp. 67-82

Persistent link: https://www.econbiz.de/10005285574

A minimum distance estimator for long-memory processes

Tieslau, Margie A.; Schmidt, Peter; Baillie, Richard T. - In: Journal of Econometrics 71 (1996) 1-2, pp. 249-264

Persistent link: https://www.econbiz.de/10005285651

Testing the restrictions implied by the rational expectations hypothesis

Hoffman, Dennis L.; Schmidt, Peter - In: Journal of Econometrics 15 (1981) 2, pp. 265-287

Persistent link: https://www.econbiz.de/10005285653

Simple tests of alternative specifications in stochastic frontier models

Schmidt, Peter; Lin, Tsai-Fen - In: Journal of Econometrics 24 (1984) 3, pp. 349-361

Persistent link: https://www.econbiz.de/10005285761

Alternative methods of detrending and the power of unit root tests

Hwang, Jaeyoun; Schmidt, Peter - In: Journal of Econometrics 71 (1996) 1-2, pp. 227-248

Persistent link: https://www.econbiz.de/10005285996

More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares

Im, Kyung So; Schmidt, Peter - In: Journal of Econometrics 144 (2008) 1, pp. 219-233

Under normality, least squares is efficient. However, if the errors are not normal, we can gain efficiency from the assertion that higher moments do not depend on the regressors. In this paper, we show how the assumption that higher moments do not depend on the regressors can be exploited in a...

Persistent link: https://www.econbiz.de/10005286055

GMM redundancy results for general missing data problems

Prokhorov, Artem; Schmidt, Peter - In: Journal of Econometrics 151 (2009) 1, pp. 47-55

We consider questions of efficiency and redundancy in the GMM estimation problem in which we have two sets of moment conditions, where two sets of parameters enter into one set of moment conditions, while only one set of parameters enters into the other. We then apply these results to a...

Persistent link: https://www.econbiz.de/10005022939