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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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Handbook of econometrics
Griliches, Zvi (contributor);  … - 1983
Persistent link: https://www.econbiz.de/10000343267
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
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Handbook of econometrics ; Vol. 5
Heckman, James J. (contributor) - 2001 - 1. ed.
Persistent link: https://www.econbiz.de/10001627129
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Handbook of econometrics ; Vol. 6A
Heckman, James J. (contributor) - 2007 - 1. ed.
Persistent link: https://www.econbiz.de/10003601499
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Handbook of econometrics ; Vol. 6B
Heckman, James J. (contributor) - 2007 - 1. ed.
Persistent link: https://www.econbiz.de/10003601507
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Handbook of econometrics ; Volume 7A
Durlauf, Steven N. (ed.); Hansen, Lars Peter (ed.);  … - 2020
within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world … data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods …
Persistent link: https://www.econbiz.de/10012392229