Narrow search
Showing 1 - 5 of 5
Cover Image
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
Ma, Jun; Nelson, Charles R. - Department of Economics, University of Washington - 2008
Persistent link: https://www.econbiz.de/10005432379
Cover Image
The Beveridge-Nelson Decomposition in Retrospect and Prospect
Nelson, Charles R. - Department of Economics, University of Washington - 2006
Persistent link: https://www.econbiz.de/10005432427
Cover Image
Valid Confidence Regions and Inference in the Presence of Weak Instruments
Zivot, Eric; Nelson, Charles R.; Startz, Richard - Department of Economics, University of Washington - 1996
We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals perform poorly in that the probability they reject the null is far greater than their nominal size. In the worst case, Wald-based confidence intervals...
Persistent link: https://www.econbiz.de/10005432429
Cover Image
Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?
Kim, Chang-Jin; Kim, Yunmi; Nelson, Charles R. - Department of Economics, University of Washington - 2008
Persistent link: https://www.econbiz.de/10005198656
Cover Image
Valid Confidence Regions and Inference in the Presence of Weak Instruments
Zivot, Eric; Nelson, Charles R.; Startz, Richard - Department of Economics, University of Washington - 1996
We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals perform poorly in that the probability they reject the null is far greater than their nominal size. In the worst case, Wald-based confidence intervals...
Persistent link: https://www.econbiz.de/10005623958