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When bias contributes to variance : true limit theory in functional coefficient cointegrating regression
Phillips, Peter C. B.; Wang, Ying - 2020
Persistent link: https://www.econbiz.de/10012320628
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Regression discontinuity with categorical outcomes
Xu, Ke-Li - In: Journal of econometrics 201 (2017) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011917411
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Robust inference for diffusion-index forecasts with cross-sectionally dependent data
Kim, Min Seong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1153-1167
Persistent link: https://www.econbiz.de/10013539471
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Two-step estimation and inference with possibly many included covariates
Cattaneo, Matias D.; Jansson, Michael; Ma, Xinwei - In: The review of economic studies : RES 86 (2019) 3, pp. 1095-1122
Persistent link: https://www.econbiz.de/10012110696
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Robust second order accurate inference for generalized linear models
Lô, Serigne N. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003335758
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011418016
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Robust inference for the two-sample 2SLS estimator
Pacini, David; Windmeijer, Frank - 2016
Persistent link: https://www.econbiz.de/10011488342
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Robust inference in nonlinear models with mixed identification strength
Cheng, Xu - In: Journal of econometrics 189 (2015) 1, pp. 207-228
Persistent link: https://www.econbiz.de/10011502516
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Asymptotic theory for the QMLE in GARCH-X models with stationary and nonstationary covariates
Han, Heejoon; Kristensen, Dennis - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 416-429
Persistent link: https://www.econbiz.de/10010488481
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2014
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10010437938