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Causal effects of monetary shocks : semiparametric conditional independence tests with a multinominal propensity score

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Persistent link: https://www.econbiz.de/10009268729

Automatic inference for infinite order vector autoregressions

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Efficient IV estimation for autoregressive models with conditional heteroskedasticity

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Bias reduction for dynamic nonlinear panel models with fixed effects

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Estimation with weak instruments : accuracy of higher-order bias and MSE approximations

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Guest editors' introduction part two, special dual issue of econometric theory on Yale 2018 Conference in honor of Peter C.B. Phillips

Andrews, Donald W. K.; Kitamura, Yuichi; Kuersteiner, … - In: Econometric theory 38 (2022) 6, pp. 1069-1072

Persistent link: https://www.econbiz.de/10013539187

Central limit theory for combined cross section and time series with an application to aggregate productivity shocks

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Persistent link: https://www.econbiz.de/10014484602

Guest editors' introduction part one, special dual issue of econometric theory on Yale 2018 Conference in honor of Peter C. B. Phillips

Andrews, Donald W. K.; Kitamura, Yuichi; Kuersteiner, … - In: Econometric theory 38 (2022) 5, pp. 841-844

Persistent link: https://www.econbiz.de/10013469678

Joint time-series and cross-section limit theory under mixingale assumptions

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Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score

Angrist, Joshua D.; Kuersteiner, Guido M. - In: The Review of Economics and Statistics 93 (2011) 3, pp. 725-747

We develop semiparametric tests for conditional independence in time series models of causal effects. Our approach is motivated by empirical studies of monetary policy effects and is semiparametric in the sense that we model the process determining the distribution of treatmentâ€”the policy...

Persistent link: https://www.econbiz.de/10009352354