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Generic results for establishing the asymptotic size of confidence sets and tests

Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531

Persistent link: https://www.econbiz.de/10012483169

Semiparametric cointegrating rank selection

Cheng, Xu (contributor); Phillips, Peter C. B. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003767412

Semiparametric cointegrating rank selection

Cheng, Xu; Phillips, Peter C. B. - In: The econometrics journal 12 (2009), pp. 83-104

Persistent link: https://www.econbiz.de/10003876315

End-of-sample instability tests

Andrews, Donald W. K. - 2002

Persistent link: https://www.econbiz.de/10001671906

Semiparametric Cointegrating Rank Selection

Cheng, Xu; Phillips, Peter C. B. - 2008

Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice...

Persistent link: https://www.econbiz.de/10014217971

Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments

Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Journal of econometrics 146 (2008) 2, pp. 241-254

Persistent link: https://www.econbiz.de/10003782963

Optimal two-sided invariant similar tests for instrumental variables regression

Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 3, pp. 715-752

Persistent link: https://www.econbiz.de/10003329584

Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities

Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometric theory 25 (2009) 3, pp. 669-709

Persistent link: https://www.econbiz.de/10003864159

Testing with many weak instruments

Andrews, Donald W. K.; Stock, James H. - In: Journal of econometrics 138 (2007) 1, pp. 24-46

Persistent link: https://www.econbiz.de/10003451733

Exactly distribution-free inference in instrumental variables regression with possibly weak instruments

Andrews, Donald W. K.; Marmer, Vadim - In: Journal of econometrics 142 (2008) 1, pp. 183-200

Persistent link: https://www.econbiz.de/10003608156