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Autoregressive wild bootstrap inference for nonparametric trends

Friedrich, Marina; Smeekes, Stephan; Urbain, Jean-Pierre - In: Journal of econometrics 214 (2020) 1, pp. 81-109

Persistent link: https://www.econbiz.de/10012438108

Bootstrap estimation of the efficient frontier

Font, Begoña - In: Computational Management Science : CMS 13 (2016) 4, pp. 541-570

Persistent link: https://www.econbiz.de/10011669608

A unified unit root test regardless of intercept

Yang, Bingduo; Liu, Xiaohui; Long, Wei; Peng, Liang - In: Econometric reviews 42 (2023) 6, pp. 540-555

Persistent link: https://www.econbiz.de/10014305575

Robust time series models with trend and seasonal components

Caivano, Michele; Harvey, Andrew C.; Luati, Alessandra - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120

We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...

Persistent link: https://www.econbiz.de/10011458780

The sample median as an estimator of population mean true willingness to pay under valuation uncertainty : a synthesis and analysis of the literature

Boman, Mattias - In: Applied economics 54 (2022) 55, pp. 6393-6405

Persistent link: https://www.econbiz.de/10013411377

Robust estimation and inference in panels with interactive fixed effects

Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...

Persistent link: https://www.econbiz.de/10014480692

Interval estimation for a measure of tail dependence

Liu, Aiai; Hou, Yanxi; Peng, Liang - In: Insurance / Mathematics & economics 64 (2015), pp. 294-305

Persistent link: https://www.econbiz.de/10011398079

Risk of Bayesian infernece in misspecified models, and the sandwich covariance matrix

Müller, Ulrich K. - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 5, pp. 1805-1849

Persistent link: https://www.econbiz.de/10010230633

Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness

Armstrong, Timothy - 2019

mean of the outcome variable, we derive estimators and conﬁdence intervals (CIs) that are optimal inﬁnite samples when the … conditional mean. We also derive the minimum smoothness conditions on the conditional mean that are necessary for √n …-inference. When the conditional mean is restricted to be Lipschitz with a large enough bound on the Lipschitz constant, the optimal …

Persistent link: https://www.econbiz.de/10012895669

Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness

Armstrong, Timothy - 2018

) under the assumption of normal errors when the conditional mean of the outcome variable is constrained only by nonparametric … smoothness and/or shape restrictions. When the conditional mean is restricted to be Lipschitz with a large enough bound on the …

Persistent link: https://www.econbiz.de/10012931665

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