Pages that link to "Item:Q156125"

The following pages link to Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (Q156125):

Displaying 50 items.

• Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
• Testing the stability of the functional autoregressive process (Q1049540) (← links)
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends (Q1194026) (← links)
• The KPSS stationarity test as a unit root test (Q1194710) (← links)
• A consistent test for the null of stationarity against the alternative of a unit root (Q1195085) (← links)
• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection (Q1203088) (← links)
• A cointegration approach to estimating preference parameters (Q1265791) (← links)
• Approximate \(p\)-values of predictive tests for structural stability (Q1292328) (← links)
• Volatility and GMM -- Monte Carlo studies and empirical estimations (Q1297655) (← links)
• System estimators of cointegrating matrix in absence of normalising information (Q1298418) (← links)
• Statistical inference on cointegration rank in error correction models with stationary covariates (Q1298419) (← links)
• The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series (Q1298473) (← links)
• A critical look at Lo's modified \(R/S\) statistic. (Q1304363) (← links)
• Higher-order approximations for frequency domain time series regression (Q1305643) (← links)
• Test for partial parameter instability in regressions with \(I(1)\) processes (Q1305645) (← links)
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series (Q1305671) (← links)
• Testing the null of stationarity for multiple time series (Q1305677) (← links)
• Residual based tests for cointegration. A Monte Carlo study of size distortions (Q1311290) (← links)
• Cotrending and the stationarity of the real interest rate (Q1316984) (← links)
• On estimation and testing when explanatory variables are partly endogenous (Q1318980) (← links)
• Persistence in real variables under alternative exchange rate regimes. Some multi-country evidence (Q1328006) (← links)
• Deciding between I(1) and I(0) (Q1341206) (← links)
• Changes in seasonal patterns. Are they cyclical? (Q1342433) (← links)
• Measuring business cycles with business-cycle models (Q1350461) (← links)
• On the power of stationarity tests using optimal bandwidth estimates (Q1350544) (← links)
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type (Q1351232) (← links)
• Testing for unit roots in flow data sampled at different frequencies (Q1352140) (← links)
• Time series segmentation: A sliding window approach (Q1357087) (← links)
• Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data (Q1362032) (← links)
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator (Q1362034) (← links)
• GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) (Q1362050) (← links)
• Estimation and inference in nearly unbalanced nearly cointegrated systems (Q1362055) (← links)
• Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments. (Q1367140) (← links)
• Subsampling for heteroskedastic time series (Q1372916) (← links)
• The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions (Q1377328) (← links)
• Stability tests in error correction models (Q1377329) (← links)
• Sources of asymmetry in production factor dynamics (Q1377334) (← links)
• Tests for changes in models with a polynomial trend (Q1379916) (← links)
• Time to implement and aggregate fluctuations (Q1390904) (← links)
• Normal estimators for cointegrating relationships (Q1391055) (← links)
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots (Q1410564) (← links)
• Strong rules for detecting the number of breaks in a time series (Q1414624) (← links)
• An alternative bootstrap to moving blocks for time series regression models (Q1414629) (← links)
• No evidence of chaos but some evidence of dependence in the US stock market. (Q1419354) (← links)
• A sieve bootstrap test for stationarity. (Q1423241) (← links)
• Structural breaks, unit roots and methods for removing the autocorrelation pattern (Q1573272) (← links)
• A new kernel for long-run variance estimates in seasonal time series models (Q1607261) (← links)
• On parallelizable Markov chain Monte Carlo algorithms with waste-recycling (Q1616782) (← links)
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution (Q1623567) (← links)