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Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10009767269

Identification robust inference in cointegrating regressions

Khalaf, Lynda; Urga, Giovanni - In: Journal of econometrics 182 (2014) 2, pp. 385-396

Persistent link: https://www.econbiz.de/10010497745

Instrumental variables estimation of stationary and nonstationary cointegrating regressions

Robinson, Peter M. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003327205

Instrumental variables estimation of stationary and non-stationary cointegrating regressions

Robinson, Peter M.; Gerolimetto, Margherita - In: The econometrics journal 9 (2006) 2, pp. 291-306

Persistent link: https://www.econbiz.de/10003352040

Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions

Gerolimetto, M. - 2008

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least squares estimation of cointegrating regressions between nonstationary and/or long memory stationary variables where the...

Persistent link: https://www.econbiz.de/10012770906

Applied Statistics and Econometrics : Basic Topics and Tools with Gretl and R

Kivedal, Bjørnar Karlsen - 2024

1. Introduction 2 -- Start using Gretl and R 3 -- Basic Material 4 -- Hypothesis testing 5 -- Simple linear regression … 6 -- Multiple regression 7 -- Regression using dummy variables 8 -- Non linear models 9 -- Time series analysis 10 …-technical approach, the book covers topics including simple regression and hypothesis testing, multiple regression with control variables …