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ESTIMATION AND INFERENCE IN PREDICTIVE REGRESSIONS
KUROZUMI, EIJI; AONO, KOHEI - In: Hitotsubashi Journal of Economics 54 (2013) 2, pp. 231-250
In this paper, we analyze feasible bias-reduced versions of point estimates for predictive regressions: The plug …), and the grouped jackknife estimate by Quenouille (1949, 1956).We also derive the correct standard errors associated with …
Persistent link: https://www.econbiz.de/10010741859
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Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010364739
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A Note on Mixed Stable Limit Theory for the OLSE and the Robustness of Subsampling Wald Tests
Arvanitis, Stelios - 2015
We are occupied with a simple example concerning the limit theory of the OLSE when the innovation process of the regression has the form of a martingale transform the i.i.d. part of which lies in the domain of attraction of an \alpha-stable distribution, the scalling sequence has a potentially...
Persistent link: https://www.econbiz.de/10013011514
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Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models
Casini, Alessandro - 2022
The literature on heteroskedasticity and autocorrelation robust (HAR) inference is extensive but its usefulness relies on stationarity of the relevant process, say Vt, usually a function of the data and estimated model residuals. Yet, a large body of work shows widespread evidence of various...
Persistent link: https://www.econbiz.de/10013293025
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A smoothing test under first-order autoregressive processes and a first-order moving-average correction
Martins, Ana Paula - 2016
This paper focuses on two applications of time series methods. The first proposes a simple transformation of the unit root form of stationary testing to infer about the validity of smoothing by second-order running averages of a series, or of the variables in a linear model (here opposing...
Persistent link: https://www.econbiz.de/10011784477
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Análisis de las desviaciones presupuestarias aplicado al caso del presupuesto del Estado/The Performance of the Budgetary Target of the Central Government in Spain
LEAL LINARES, TERESA; PÉREZ GARCÍA, JAVIER J. - In: Estudios de Economía Aplicada 29 (2011) Diciembre, pp. 909-909
En este trabajo estudiamos las características y los determinantes de las desviaciones entre las cifras iniciales y finales de los ingresos y gastos públicos incluidos en los presupuestos generales del Estado en el período 1985-2006 para el caso español. Nuestro objetivo es evaluar el grado...
Persistent link: https://www.econbiz.de/10009421556
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Bias correction in a stable AD(1,1) model
Giersbergen, Noud P. A. van - 2001
This paper compares the behaviour of a bias-corrected estimator assuming strongly exogenous regressors to the behaviour … of a bias-corrected estimator assuming weakly exogenous regressors, when in fact the marginal model contains a feedback … mechanism. To this end, the effects of a feedback mechanism on the first-order least-squares coefficient estimation bias is …
Persistent link: https://www.econbiz.de/10011325660
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2010
homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …
Persistent link: https://www.econbiz.de/10010277529
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011
homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …
Persistent link: https://www.econbiz.de/10010282870
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Jackknife Instrumental Variable Estimation with Heteroskedasticity
Bekker, P.A.; Crudu, F. - Centro Ricerche Nord Sud (CRENoS) - 2013
We present a new genuine jackknife estimator for instrumental variable inference with unknown heteroskedasticity. It … particular that our symmetric jackknife estimator performs well when compared to the HLIM and HFUL estimators of Hausman et al …
Persistent link: https://www.econbiz.de/10010860666