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isPartOf:"Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques"
subject:"Estimation theory"
~isPartOf:"CREATES research paper"
~person:"Cattaneo, Matias D."
~person:"Nielsen, Morten Ørregaard"
~subject:"Stochastic process"
~subject:"United States"
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Estimation theory
Stochastic process
United States
Schätztheorie
21
Time series analysis
11
Zeitreihenanalyse
11
Bootstrap approach
8
Bootstrap-Verfahren
8
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Induktive Statistik
4
Statistical inference
4
Cluster analysis
3
Clusteranalyse
3
Cointegration
3
Estimation
3
Heteroscedasticity
3
Heteroskedastizität
3
Kointegration
3
Regional cluster
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Regionales Cluster
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Schätzung
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Statistical test
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Statistischer Test
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cluster-robust variance estimator
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nonstationarity
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wild cluster bootstrap
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ARCH model
2
ARCH-Modell
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Asymptotic normality
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
2
Stochastischer Prozess
2
Theorie
2
Theory
2
clustered data
2
conditional heteroskedasticity
2
consistency
2
deterministic trend
2
fractional process
2
generalized polynomial trend
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21
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English
21
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Cattaneo, Matias D.
Nielsen, Morten Ørregaard
Gouriéroux, Christian
13
Robert, Christian P.
12
Teräsvirta, Timo
11
Johansen, Søren
10
Guégan, Dominique
8
Kristensen, Dennis
8
Podolskij, Mark
7
Zakoïan, Jean-Michel
7
Jansson, Michael
6
Kruse, Robinson
6
Monfort, Alain
6
Christensen, Bent Jesper
5
Christensen, Kim
5
Francq, Christian
5
Hounyo, Ulrich
5
Philippe, Anne
5
Varneskov, Rasmus Tangsgaard
5
Andersen, Torben
4
Berred, Alexandre M.
4
Comte, Fabienne
4
Guerre, Emmanuel
4
Hillebrand, Eric
4
Jasiak, Joann
4
Lunde, Asger
4
MacKinnon, James G.
4
Rahbek, Anders
4
Robin, Jean-Marc
4
Santucci de Magistris, Paolo
4
Silvennoinen, Annastiina
4
Taylor, Robert
4
Bennedsen, Mikkel
3
Billio, Monica
3
Broze, Laurence
3
Cavaliere, Giuseppe
3
Crump, Richard K.
3
Darolles, Serge
3
Ghysels, Eric
3
Hardouin, C.
3
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
CREATES research paper
Queen's Economics Department working paper
23
Journal of econometrics
9
Econometric theory
7
CEMMAP working papers / Centre for Microdata Methods and Practice
4
Staff reports / Federal Reserve Bank of New York
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
The econometrics journal
3
Journal of applied econometrics
2
Advances in econometrics
1
Advances in econometrics : a research annual
1
Annual review of economics
1
CAE working paper
1
CREATES Research Paper 2007-11
1
Cross-sectional methods and applications
1
Discussion papers / Department of Economics, University of Copenhagen
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
FRB of NY Staff Report
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
1
Open access policy deposits
1
Recent work / Department of Economics, UC San Diego
1
The review of economic studies : RES
1
UC Berkeley previously published works
1
UC San Diego previously published works
1
Univ. of Copenhagen Dept. of Economics Discussion Paper
1
University of Aarhus Economics Working Paper Series
1
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ECONIS (ZBW)
21
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1
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
2
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
Saved in:
3
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189456
Saved in:
4
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
5
Wild Bootstrap and Asymptotic Inference with Multiway Clustering
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
-
2020
Persistent link: https://www.econbiz.de/10012317779
Saved in:
6
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2020
Persistent link: https://www.econbiz.de/10012317784
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
9
Asymptotic theory and wild bootstrap inference with clustered errors
Djogbenou, Antoine A.
;
MacKinnon, James G.
;
Nielsen, …
-
2019
Persistent link: https://www.econbiz.de/10012063541
Saved in:
10
Bootstrap-based inference for cube root consistent estimators
Cattaneo, Matias D.
;
Jansson, Michael
;
Nagasawa, Kenichi
-
2017
Persistent link: https://www.econbiz.de/10011648638
Saved in:
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