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Unit root testing in heteroskedastic panels using the Cauchy estimator

Demetrescu, Matei; Hanck, Christoph - 2010 - Preliminary version: February 27, 2010

Persistent link: https://www.econbiz.de/10008904998

The exact bias of s 2 in linear panel regressions with spatial autocorrelation

Hanck, Christoph; Krämer, Walter - In: Economics letters 110 (2011) 1, pp. 67-70

Persistent link: https://www.econbiz.de/10009241559

Fixed-b inference in the presence of time-varying volatility

Demetrescum, Matei; Hanck, Christoph; Kruse, Robinson - 2016

Persistent link: https://www.econbiz.de/10011409125

Unit root testing in heteroscedastic panels using the Cauchy estimator

Demetrescu, Matei; Hanck, Christoph - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 256-264

Persistent link: https://www.econbiz.de/10009657345

Robust inference for near-unit root processes with time-varying error variances

Demetrescu, Matei; Hanck, Christoph - In: Econometric reviews 35 (2016) 5/7, pp. 751-781

Persistent link: https://www.econbiz.de/10011589896

Multiple testing for no cointegration under nonstationary volatility

Demetrescu, Matei; Hanck, Christoph - In: Oxford bulletin of economics and statistics 80 (2018) 3, pp. 485-513

Persistent link: https://www.econbiz.de/10011969530

Robust inference under time-varying volatility : a real-time evaluation of professional forecasters

Demetrescu, Matei; Hanck, Christoph; Kruse-Becher, Robinson - In: Journal of applied econometrics 37 (2022) 5, pp. 1010-1030

Persistent link: https://www.econbiz.de/10013464645

OLS-based estimation of the disturbance variance under spatial autocorrelation

Krämer, Walter (contributor); Hanck, Christoph (contributor) - 2006

We investigate the OLS-based estimator s 2 of the disturbance variance in the standard linear regression model with cross section data when the disturbances are homoskedastic, but spatially correlated. For the most popular model of spatially autoregressive disturbances, we show that s 2 can be...

Persistent link: https://www.econbiz.de/10003394588