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Search: subject:"Long-run variance"
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Estimation theory
35
Schätztheorie
35
Time series analysis
26
Zeitreihenanalyse
26
Long-run variance
17
Statistical test
16
Statistischer Test
16
long-run variance
12
Asymptotic expansion
10
HAC estimator
9
Long run variance estimator
9
Market frictions
8
Quadratic variation
8
Realised variance
8
Autocorrelation
7
Autokorrelation
7
Long run variance
7
Volatility
7
Volatilität
7
long run variance
7
Cointegration
6
Bias
5
F distribution
5
F-distribution
5
Forecasting model
5
Kointegration
5
Multicointegration
5
Prognoseverfahren
5
long run variance estimation
5
HAR inference
4
Heteroscedasticity
4
Heteroskedastizität
4
Long run variance matrix
4
Long-run variance estimation
4
Misspecification
4
Regression analysis
4
Regressionsanalyse
4
Robust standard error
4
Structural break
4
Strukturbruch
4
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Online availability
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Free
57
Undetermined
25
Type of publication
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Book / Working Paper
59
Article
36
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Article in journal
27
Aufsatz in Zeitschrift
27
Working Paper
18
Graue Literatur
14
Non-commercial literature
14
Arbeitspapier
13
Article
2
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1
Book section
1
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Language
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English
69
Undetermined
25
Hungarian
1
Author
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Sun, Yixiao
25
Phillips, Peter C.B.
13
Barndorff-Nielsen, Ole E.
11
Shephard, Neil
11
Jin, Sainan
10
Hansen, Peter Reinhard
8
Lunde, Asger
8
Phillips, Peter C. B.
8
Liao, Zhipeng
6
Chen, Xiaohong
5
Casini, Alessandro
4
Iacone, Fabrizio
4
Kheifets, Igor L.
4
Harvey, David I.
3
Jönsson, Kristian
3
Kruse, Robinson
3
Leschinski, Christian
3
Vogelsang, Timothy J.
3
Will, Michael
3
Choi, Chi-Young
2
Coroneo, Laura
2
Hualde, Javier
2
Kara, Alper
2
Leybourne, Stephen J.
2
Liu, Ruobing
2
Müller, Ulrich K.
2
Perron, Pierre
2
Ruan, Chuan-Yang
2
Shao, Xiaofeng
2
Stock, James H.
2
Sul, Donggyu
2
Taylor, A. M. Robert
2
Tunç, Gül Ipek
2
Wagner, Martin
2
Wilhelm, Daniel
2
Wu, Jilin
2
Yang, Jianhui
2
Zhang, Xianyang
2
Belotti, Federico
1
Carrion i Silvestre, Josep Lluís
1
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Cowles Foundation for Research in Economics, Yale University
11
Department of Economics, University of California-San Diego (UCSD)
5
Department of Economics, Oxford University
3
School of Management, Yale University
3
Economics Group, Nuffield College, University of Oxford
2
Finance Research Centre, Oxford University
2
Granger Centre for Time Series Econometrics, School of Economics
2
HAL
2
Nationalekonomiska Institutionen, Ekonomihögskolan
2
Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Econometric Society
1
Graduate School of Economics, Hitotsubashi University
1
Institute of Economic Research, Hitotsubashi University
1
School of Economics and Management, University of Aarhus
1
School of Economics and Political Science, Universität St. Gallen
1
University of California, San Diego / Department of Economics
1
Vanderbilt University Department of Economics
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Cowles Foundation Discussion Papers
11
Journal of econometrics
10
University of California at San Diego, Economics Working Paper Series
5
Economics letters
4
Cowles Foundation discussion paper
3
Discussion papers in economics
3
Economics Series Working Papers / Department of Economics, Oxford University
3
Journal of Econometrics
3
Yale School of Management Working Papers
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Discussion Papers / Granger Centre for Time Series Econometrics, School of Economics
2
Economics Letters
2
Economics Papers / Economics Group, Nuffield College, University of Oxford
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
OFRC Working Papers Series
2
Post-Print / HAL
2
Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan
2
cemmap working paper
2
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
1
CREATES Research Papers
1
Discussion Papers / Graduate School of Economics, Hitotsubashi University
1
Discussion paper / LSE Financial Markets Group
1
Discussion papers / Graduate School of Economics, Hitotsubashi University
1
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
1
ERC working papers in economics
1
Econometric Society 2004 North American Winter Meetings
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Empirical Economics
1
Essays in honor of Joon Y. Park : econometric theory
1
Global COE Hi-Stat Discussion Paper Series
1
Hannover Economic Papers (HEP)
1
International Journal of Financial Studies
1
International Journal of Financial Studies : open access journal
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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Source
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RePEc
46
ECONIS (ZBW)
42
EconStor
7
Showing
1
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10
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95
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1
Estimation and inference in a possibly multicointegrated system with a fixed number of instruments
Sun, Yixiao
;
Phillips, Peter C. B.
;
Kheifets, Igor L.
-
2024
Persistent link: https://www.econbiz.de/10015077063
Saved in:
2
Robust inference on infinite and growing dimensional time-series regression
Gupta, Abhimanyu
;
Seo, Myung Hwan
- In:
Econometrica : journal of the Econometric Society, an …
91
(
2023
)
4
,
pp. 1333-1361
Persistent link: https://www.econbiz.de/10014365440
Saved in:
3
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
Casini, Alessandro
-
2022
Persistent link: https://www.econbiz.de/10013255861
Saved in:
4
The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity
Casini, Alessandro
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10015073915
Saved in:
5
Prewhitened
long-run
variance
estimation robust to nonstationarity
Casini, Alessandro
;
Perron, Pierre
- In:
Journal of econometrics
242
(
2024
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10015075216
Saved in:
6
Is Newey-West optimal among first-order kernels?
Kolokotrones, Thomas
;
Stock, James H.
;
Walker, …
- In:
Journal of econometrics
240
(
2024
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10015075094
Saved in:
7
Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes
Kara, Alper
;
Yıldırım, Dilem
;
Tunç, Gül Ipek
-
2021
Persistent link: https://www.econbiz.de/10013550334
Saved in:
8
Market efficiency in non-renewable resource markets : evidence from stationarity tests with structural changes
Kara, Alper
;
Yildirim, Dilem
;
Tunç, Gül Ipek
- In:
Mineral economics : raw materials report
36
(
2023
)
2
,
pp. 279-290
Persistent link: https://www.econbiz.de/10014251404
Saved in:
9
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
Saved in:
10
Some impossibility results for inference with cluster dependence with large clusters
Kojevnikov, Denis
;
Song, Kyungchul
- In:
Journal of econometrics
237
(
2023
)
2,1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471511
Saved in:
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