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Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2008

This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels and the standard errors...

Persistent link: https://www.econbiz.de/10005787552

Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root

Jansson, Michael - In: Identification and inference for econometric models : …, (pp. 357-374). 2005

Persistent link: https://www.econbiz.de/10003352578

[Rezension von: Hall, Alastair R., Generalized method of moments]

Jansson, Michael - In: Journal of economic literature 44 (2006) 2, pp. 420-421

Persistent link: https://www.econbiz.de/10003346098

Unbiasedness of the OLS estimator with Random regressors : solution

Jansson, Michael - In: Econometric theory 20 (2004) 6, pp. 1263-1264

Persistent link: https://www.econbiz.de/10002424973

Point optimal tests of the null hypothesis of cointegration

Jansson, Michael - In: Journal of econometrics 124 (2005) 1, pp. 187-201

Persistent link: https://www.econbiz.de/10002439487

Point optimal invariant tests of the null hypothesis of cointegration

Jansson, Michael - In: Testing the null hypothesis of cointegration, (pp. 45-107). 2000

Persistent link: https://www.econbiz.de/10001601883

On tests of the null hypothesis of stationarity

Jansson, Michael - In: Testing the null hypothesis of cointegration, (pp. 111-141). 2000

Persistent link: https://www.econbiz.de/10001601886

Consistent covariance matrix estimation for linear processes

Jansson, Michael - In: Econometric theory 18 (2002) 6, pp. 1449-1459

Persistent link: https://www.econbiz.de/10001716914

Consistent covariance matrix estimation for linear processes

Jansson, Michael - 1999

Persistent link: https://www.econbiz.de/10001430974

Stationarity testing with covariates

Jansson, Michael - In: Econometric theory 20 (2004) 1, pp. 56-94

Persistent link: https://www.econbiz.de/10001904780

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