Pages that link to "Item:Q156125"

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

Displaying 50 items.

• Multiple tests for the performance of different investment strategies (Q1633252) (← links)
• Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model (Q1650294) (← links)
• Nonparametric testing for smooth structural changes in panel data models (Q1652957) (← links)
• Estimation and empirical performance of non-scalar dynamic conditional correlation models (Q1659096) (← links)
• The Fisher effect in the presence of time-varying coefficients (Q1659137) (← links)
• Adaptive bandwidth selection in the long run covariance estimator of functional time series (Q1659158) (← links)
• Alternative HAC covariance matrix estimators with improved finite sample properties (Q1662087) (← links)
• Asymptotic variance of Brier (skill) score in the presence of serial correlation (Q1668186) (← links)
• Confidence regions for entries of a large precision matrix (Q1668572) (← links)
• Methods for computing numerical standard errors: review and application to value-at-risk estimation (Q1669699) (← links)
• A residual-based multivariate constant correlation test (Q1669884) (← links)
• A nonparametric approach to test for predictability (Q1672705) (← links)
• Estimation and test for quantile nonlinear cointegrating regression (Q1672711) (← links)
• Bayesian estimation of state space models using moment conditions (Q1676368) (← links)
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels (Q1683643) (← links)
• Abrupt change in mean using block bootstrap and avoiding variance estimation (Q1695533) (← links)
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects (Q1695655) (← links)
• Testing for multiple structural changes with non-homogeneous regressors (Q1695659) (← links)
• Autoregressive spatial spectral estimates (Q1706446) (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
• The pricing kernel puzzle in forward looking data (Q1710579) (← links)
• Linear process bootstrap unit root test (Q1726769) (← links)
• The Phillips unit root tests for polynomials of integrated processes revisited (Q1730179) (← links)
• High-dimensional functional time series forecasting: an application to age-specific mortality rates (Q1733284) (← links)
• Moving block bootstrapping for a CUSUM test for correlation change (Q1738004) (← links)
• Portmanteau-type tests for unit-root and cointegration (Q1739591) (← links)
• ArCo: an artificial counterfactual approach for high-dimensional panel time-series data (Q1739593) (← links)
• Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (Q1739594) (← links)
• Controlling the size of autocorrelation robust tests (Q1739596) (← links)
• Testing for common breaks in a multiple equations system (Q1745616) (← links)
• Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference (Q1746545) (← links)
• The asymptotic properties of GMM and indirect inference under second-order identification (Q1754512) (← links)
• A tail adaptive approach for change point detection (Q1755109) (← links)
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models (Q1755119) (← links)
• Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance (Q1757253) (← links)
• Bounded integrated processes and unit root tests (Q1766955) (← links)
• On testing for structural break of coefficients in factor-augmented regression models (Q1786799) (← links)
• Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators (Q1787421) (← links)
• Tests of specification for parametric and semiparametric models (Q1801421) (← links)
• Effects of data aggregation on the power of tests for a unit root. A simulation study (Q1802083) (← links)
• Fundamentals, regime shifts, and dollar behavior in the 1980s (Q1804597) (← links)
• The large sample behaviour of the generalized method of moments estimator in misspecified models (Q1810674) (← links)
• Financial econometrics: Past developments and future challenges (Q1841086) (← links)
• Note on bandwidth selection in testing for long range dependence. (Q1853704) (← links)
• Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics. (Q1858919) (← links)
• Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921) (← links)
• Limited information likelihood and Bayesian analysis (Q1858933) (← links)
• Nonlinear minimization estimators in the presence of cointegrating relations. (Q1858971) (← links)
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators (Q1866226) (← links)
• Unit root tests in panel data: asymptotic and finite-sample properties (Q1867709) (← links)