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Efficient estimation and inference for difference-in-difference regressions with persistent errors

Greenaway-McGrevy, Ryan; Han, Chirok; Sul, Donggyu - In: Essays in honor of Peter C. B. Phillips, (pp. 281-302). 2014

Persistent link: https://www.econbiz.de/10010442862

Gaussian inference in AR(1) time series with or without a unit root

Phillips, Peter C. B. (contributor); Han, Chirok (contributor) - 2006

Persistent link: https://www.econbiz.de/10003468431

Refined inference on long memory in realized volatility

Lieberman, Offer (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003468435

Indirect inference for dynamic panel models

Gouriéroux, Christian (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003468437

Bimodal t-ratios : the impact of thick tails on inference

Fiorio, Carlo V.; Hajivassiliou, Vassilis Argyrou; … - In: The econometrics journal 13 (2010) 2, pp. 271-289

Persistent link: https://www.econbiz.de/10003978526

Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels

Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - 2010

Persistent link: https://www.econbiz.de/10003925716

Folkore theorems, implicit maps, and indirect inference

Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 1, pp. 425-454

Persistent link: https://www.econbiz.de/10009507902

Inference in near-singular regression

Phillips, Peter C. B. - In: Essays in honor of Aman Ullah, (pp. 461-486). 2016

Persistent link: https://www.econbiz.de/10011530307

Refined inference on long memory in realized volatility

Lieberman, Offer; Phillips, Peter C. B. - In: Econometric reviews 27 (2008) 1/3, pp. 254-267

Persistent link: https://www.econbiz.de/10003761227

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Li, Degui - 2017

This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of...

Persistent link: https://www.econbiz.de/10012951789