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Search: subject:"long run variance"
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Estimation theory
31
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15
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14
long-run variance
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long run variance
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long run variance estimation
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Long-run variance estimation
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Robust standard error
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Structural break
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Estimation
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Sun, Yixiao
24
Phillips, Peter C.B.
13
Barndorff-Nielsen, Ole E.
11
Shephard, Neil
11
Jin, Sainan
10
Hansen, Peter Reinhard
8
Lunde, Asger
8
Liao, Zhipeng
6
Phillips, Peter C. B.
6
Chen, Xiaohong
5
Iacone, Fabrizio
4
Harvey, David I.
3
Jönsson, Kristian
3
Kruse, Robinson
3
Leschinski, Christian
3
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3
Will, Michael
3
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2
Choi, Chi-Young
2
Coroneo, Laura
2
Hualde, Javier
2
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2
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2
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2
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2
Müller, Ulrich K.
2
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2
Shao, Xiaofeng
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
Carrion-i-Silvestre, Josep
1
Catania, Leopoldo
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11
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1
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1
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Cowles Foundation Discussion Papers
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Journal of econometrics
6
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5
Economics letters
4
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3
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3
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2
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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
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Econometric Society 2004 North American Winter Meetings
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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
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Empirical Economics
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Essays in honor of Joon Y. Park : econometric theory
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Global COE Hi-Stat Discussion Paper Series
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Hannover Economic Papers (HEP)
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International Journal of Financial Studies
1
International Journal of Financial Studies : open access journal
1
International journal of forecasting
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Journal of applied econometrics
1
Journal of empirical finance
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Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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RePEc
46
ECONIS (ZBW)
37
EconStor
7
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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:
2
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:
3
Testing for equal predictive accuracy with strong dependence
Coroneo, Laura
;
Iacone, Fabrizio
-
2021
Persistent link: https://www.econbiz.de/10012817692
Saved in:
4
On multicointegration
Phillips, Peter C. B.
;
Kheifets, Igor
-
2021
Persistent link: https://www.econbiz.de/10012807766
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5
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:
6
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:
7
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:
8
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
9
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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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
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