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Maximum likelihood estimation and uniform inference with sporadic identification failure
Andrews, Donald W.K.; Cheng, Xu - In: Journal of Econometrics 173 (2013) 1, pp. 36-56
not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample …
Persistent link: https://www.econbiz.de/10011052306
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Generic results for establishing the asymptotic size of confidence sets and tests
Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531
Persistent link: https://www.econbiz.de/10012483169
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A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
Andrews, Donald W. K.; Guggenberger, Patrik - In: The Review of Economics and Statistics 96 (2014) 2, pp. 376-381
a modification of Mikusheva's (2007a) modification of Stock's (1991) CI that employs the least squares estimator and a … heteroskedasticity-robust variance estimator. The CI is shown to have correct asymptotic size and to be asymptotically similar (in a …
Persistent link: https://www.econbiz.de/10011009896
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Nonparametric inference based on conditional moment inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - In: Journal of Econometrics 179 (2014) 1, pp. 31-45
nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test … uses a Cramér–von-Mises-type test statistic and employs a generalized moment selection critical value. …
Persistent link: https://www.econbiz.de/10010738119
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A fast resample method for parametric and semiparametric models
Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of Econometrics 179 (2014) 2, pp. 128-133
recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score …
Persistent link: https://www.econbiz.de/10010753478
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Conditional linear combination tests for weakly identified models
Andrews, Isaiah - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 6, pp. 2155-2182
Persistent link: https://www.econbiz.de/10011791221
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Misspecified moment inequality models : inference and diagnostics
Andrews, Donald W. K.; Kwon, Soonwoo - In: The review of economic studies : RES 91 (2024) 1, pp. 45-76
Persistent link: https://www.econbiz.de/10014528566
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Inference based on many conditional moment inequalities
Andrews, Donald W. K.; Shi, Xiaoxia - In: Journal of econometrics 196 (2017) 2, pp. 275-287
Persistent link: https://www.econbiz.de/10011818293
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On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
Wang, Wenjie; Doko Tchatoka, Firmin - In: Journal of econometrics 207 (2018) 1, pp. 188-211
Persistent link: https://www.econbiz.de/10012116230
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Non-parametric stochastic simulations to investigate uncertainty around the OECD indicator model forecasts
Rusticelli, Elena - 2012
The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence...
Persistent link: https://www.econbiz.de/10009690936