, continuing to contribute to variance reduction in IV estimation. However, simulations show that OLS is generally superior to IV … estimation in terms of MSE, even in the presence of endogeneity. Estimation precision is also reduced when the regressor is …

estimation limit theory that encompasses stochastically nonstationary time series and should be of wide applicability …

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … to offer an alternative development of the asymptotic theory for non-parametric estimation of a non-linear cointegrating …

Estimation of the memory parameter (d) is considered for models of nonstationary fractionally integrated time series …

nonparametric estimation where the focus is the nonparametric quantity itself and the choice rule balances asymptotic variance with … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is … typically substantially larger than the optimal bandwidth for point estimation of the standard errors. The new approach to …