Similar Search Results

Identification of regression models with a misclassified and endogenous binary regressor

Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Econometric theory 38 (2022) 6, pp. 1117-1139

Persistent link: https://www.econbiz.de/10013539307

Covariance-based orthogonality tests for regressors with unknown persistence

Maynard, Alex (contributor); Shimotsu, Katsumi (contributor) - 2007

Persistent link: https://www.econbiz.de/10003427641

Improvement in finite sample properties of the Hansen-Jagannathan distance test

Ren, Yun (contributor); Shimotsu, Katsumi (contributor) - 2007

Persistent link: https://www.econbiz.de/10003596163

Improvement in finite sample properties of the HansenJagannathan distance test

Ren, Yun; Shimotsu, Katsumi - In: Journal of empirical finance 16 (2009) 2, pp. 483-506

Persistent link: https://www.econbiz.de/10003856829

Covariance-based orthogonality tests for regressors with unknown persistence

Maynard, Alex; Shimotsu, Katsumi - In: Econometric theory 25 (2009) 1, pp. 63-116

Persistent link: https://www.econbiz.de/10003816218

Pooled log periodogram regression

Shimotsu, Katsumi; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001499557

Pooled Log Periodogram Regression

Shimotsu, Katsumi; Phillips, Peter C. B. - 2004

Estimation of the memory parameter in time series with long range dependence is considered. A pooled log periodogram regression estimator is proposed that utilizes a set of mL periodogram ordinates with L rather than m ordinates as in the conventional log periodogram estimator. Consistency and...

Persistent link: https://www.econbiz.de/10014117510