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Asymptotic refinements of nonparametric bootstrap for quasi-likelihood ratio tests for classes of extremum estimators

Camponovo, Lorenzo - In: The econometrics journal 19 (2016) 1, pp. 33-54

Persistent link: https://www.econbiz.de/10011487564

Bootstrap inference for penalized GMM estimators with oracle properties

Camponovo, Lorenzo - In: Econometric reviews 39 (2020) 4, pp. 362-372

Persistent link: https://www.econbiz.de/10012181428

Differencies transformations and inference in predictive regression models

Camponovo, Lorenzo - In: Econometric theory 31 (2015) 6, pp. 1331-1358

Persistent link: https://www.econbiz.de/10011545547

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Relative error accurate statistic based on nonparametric likelihood

Camponovo, Lorenzo; Matsushita, Yukitoshi; Otsu, Taisuke - In: Econometric theory 37 (2021) 6, pp. 1214-1237

Persistent link: https://www.econbiz.de/10012704810

Empirical likelihood for high frequency data

Camponovo, Lorenzo; Matsushita, Yukitoshi; Otsu, Taisuke - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 621-632

Persistent link: https://www.econbiz.de/10012262500

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387

Persistent link: https://www.econbiz.de/10011987504

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

The finite sample performance of inference methods for propensity score matching and weighting estimators

Bodory, Hugo; Camponovo, Lorenzo; Huber, Martin; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 183-200

Persistent link: https://www.econbiz.de/10012179542

Robustness of Bootstrap in Instrumental Variable Regression

Camponovo, Lorenzo; Otsu, Taisuke - In: Econometric Reviews 34 (2015) 3, pp. 352-393

This paper studies robustness of bootstrap inference methods for instrumental variable (IV) regression models. We consider test statistics for parameter hypotheses based on the IV estimator and generalized method of trimmed moments (GMTM) estimator introduced by Čí&zcaron;ek (2008, 2009), and compare...

Persistent link: https://www.econbiz.de/10010975495