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Valid edgeworth expansions for the whittle maximum likelihood estimator for stationary long-memory Gaussian time series
Andrews, Donald W. K.; Lieberman, Offer - In: Econometric theory 21 (2005) 4, pp. 710-734
Persistent link: https://www.econbiz.de/10003004708
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Valid Edgeworth expansion for the Whittle maximum likelihood estimator for stationary long-memory Gaussian time series
Andrews, Donald W. K.; Lieberman, Offer - 2002
Persistent link: https://www.econbiz.de/10001666393
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Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
Andrews, Donald W. K.; Lieberman, Offer - 2002
Persistent link: https://www.econbiz.de/10001694737
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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
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Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
Andrews, Donald W. K.; Marmer, Vadim - 2005
Persistent link: https://www.econbiz.de/10002770850
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A note on optimal inference in the linear IV model
Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - 2017 - Revised: January 30, 2017
Persistent link: https://www.econbiz.de/10011647646
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On optimal inference in the linear IV model
Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 457-485
This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...
Persistent link: https://www.econbiz.de/10012042425
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Higher-order improvements of the parametric bootstrap for Markov processes
Andrews, Donald W. K. - In: Identification and inference for econometric models : …, (pp. 171-215). 2005
Persistent link: https://www.econbiz.de/10003351957
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Similar-on-the-boundary tests for moment inequalities exist, but have poor power
Andrews, Donald W. K. - 2011 - rev.
Persistent link: https://www.econbiz.de/10009243373
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Asymptotic optimality of generalized C L, cross-validation, and generalized cross-validation in regression with heteroskedastic errors
Andrews, Donald W. K. - In: Journal of econometrics 47 (1991) 2, pp. 359-377
Persistent link: https://www.econbiz.de/10001099504