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Optimal inference in regression models with nearly integrated regressors

Jansson, Michael; Moreira, Marcelo J. - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 3, pp. 681-714

Persistent link: https://www.econbiz.de/10003329579

Optimal invariant inference when the number of instruments is large

Chioda, Laura; Jansson, Michael - In: Econometric theory 25 (2009) 3, pp. 793-805

Persistent link: https://www.econbiz.de/10003864186

Admissible invariant similar tests for instrumental variables regression

Chernozhukov, Victor; Hansen, Christian Bailey; … - In: Econometric theory 25 (2009) 3, pp. 806-818

Persistent link: https://www.econbiz.de/10003864191

Robust data-driven inference for density-weighted average derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2009

Persistent link: https://www.econbiz.de/10003883600

Finite sample inference for quantile regression models

Chernozhukov, Victor; Hansen, Christian Bailey; … - In: Journal of econometrics 152 (2009) 2, pp. 93-103

Persistent link: https://www.econbiz.de/10003892693

Nearly efficient likelihood ratio tests of the unit root hypothesis

Jansson, Michael; Nielsen, Morten Ørregaard - 2009

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...