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Exponential tilting with weak instruments : estimation and testing

Caner, Mehmet - In: Oxford bulletin of economics and statistics 72 (2010) 3, pp. 307-325

Persistent link: https://www.econbiz.de/10003968322

Testing, estimation in GMM and cue with nearly-weak identification

Caner, Mehmet - In: Econometric reviews 29 (2010) 3, pp. 330-363

Persistent link: https://www.econbiz.de/10003965141

Pivotal structural change tests in linear simultaneous equations with weak identification

Caner, Mehmet - In: Econometric theory 27 (2011) 2, pp. 413-426

Persistent link: https://www.econbiz.de/10009310707

Tests for cointegration with infinite variance errors

Caner, Mehmet - In: Journal of econometrics 86 (1998) 1, pp. 155-175

Persistent link: https://www.econbiz.de/10001243863

Weak convergence to a matrix stochastic integral with stable processes

Caner, Mehmet - In: Econometric theory 13 (1997) 4, pp. 506-528

Persistent link: https://www.econbiz.de/10001230728

A note on least absolute deviation estimation of a threshold model

Caner, Mehmet - In: Econometric theory 18 (2002) 3, pp. 800-814

Persistent link: https://www.econbiz.de/10001673462

Near exogeneity and weak identification in generalized empirical likelihood estimators : many moment asymptotics

Caner, Mehmet - In: Journal of econometrics 182 (2014) 2, pp. 247-268

Persistent link: https://www.econbiz.de/10010497084

Residual based nodewise regression in factor models with ultra-high dimensions: Analysis of mean-variance portfolio efficiency and estimation of out-of-sample and constrained maxim...

Caner, Mehmet; Medeiros, Marcelo C.; Vasconcelos, … - 2021

We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are...

Persistent link: https://www.econbiz.de/10012817074

Threshold autoregression with a near unit root

Caner, Mehmet; Hansen, Bruce E. - 1998

Persistent link: https://www.econbiz.de/10000168269

Are "nearly exogenous instruments" reliable?

Berkowitz, Daniel Michael; Caner, Mehmet; Fang, Ying - In: Economics letters 101 (2008) 1, pp. 20-23

Persistent link: https://www.econbiz.de/10003787434