Pages that link to "Item:Q4319456"
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The following pages link to Automatic Lag Selection in Covariance Matrix Estimation (Q4319456):
Displaying 50 items.
- A nonparametric approach to test for predictability (Q1672705) (← links)
- Two simple tests of the trend hypothesis under time-varying variance (Q1673545) (← links)
- Controlling the size of autocorrelation robust tests (Q1739596) (← links)
- Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach (Q1753053) (← links)
- Efficient estimation with time-varying information and the New Keynesian Phillips curve (Q1753060) (← links)
- Structural change tests for simulated method of moments. (Q1810680) (← links)
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence (Q1858935) (← links)
- The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment (Q1906299) (← links)
- Efficient bootstrap with weakly dependent processes (Q1927125) (← links)
- Reducing the size distortions of the panel LM test for cointegration (Q1929061) (← links)
- Robust M tests using kernel-based estimators with bandwidth equal to sample size (Q1934126) (← links)
- Improved HAC covariance matrix estimation based on forecast errors (Q1934714) (← links)
- Simulation analysis of threshold autoregressive unit root tests (Q1952675) (← links)
- Strategy switching in the Japanese stock market (Q1994138) (← links)
- Pushing the limit? Fiscal policy in the European Monetary Union (Q1994160) (← links)
- Household debt and labor market fluctuations (Q1994279) (← links)
- Estimation of longrun variance of continuous time stochastic process using discrete sample (Q2000826) (← links)
- Comparing the marginal densities of two strictly stationary linear processes (Q2027224) (← links)
- Simple estimators and inference for higher-order stochastic volatility models (Q2043263) (← links)
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index (Q2045524) (← links)
- The drift burst hypothesis (Q2116347) (← links)
- Legislative tax announcements and GDP: evidence from the United States, Germany, and the United Kingdom (Q2158666) (← links)
- Global temperatures and greenhouse gases: a common features approach (Q2171998) (← links)
- Testing for stationarity at high frequency (Q2182131) (← links)
- Testing normality of data on a multivariate grid (Q2196122) (← links)
- Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors (Q2242146) (← links)
- Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin (Q2246724) (← links)
- Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions (Q2280614) (← links)
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing (Q2326985) (← links)
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
- Data driven smooth test of comparison for dependent sequences (Q2350057) (← links)
- Stock market contagion: a new approach (Q2416322) (← links)
- GLS-based unit root tests for bounded processes (Q2442390) (← links)
- Robust adaptive rate-optimal testing for the white noise hypothesis (Q2442454) (← links)
- Tests for cointegration with structural breaks based on subsamples (Q2445705) (← links)
- Factor-GMM estimation with large sets of possibly weak instruments (Q2445717) (← links)
- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix (Q2451794) (← links)
- Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns (Q2455633) (← links)
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications (Q2476609) (← links)
- Inference for performance measures for financial assets (Q2515379) (← links)
- Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model (Q2687862) (← links)
- Simple factor realized stochastic volatility models (Q2693373) (← links)
- Robust and efficient specification tests in Markov-switching autoregressive models (Q2694804) (← links)
- Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states (Q2700551) (← links)
- Bounds, breaks and unit root tests (Q2789387) (← links)
- On size and power of heteroskedasticity and autocorrelation robust tests (Q2801990) (← links)
- Approximating volatilities by asymmetric power GARCH functions (Q2810372) (← links)
- A fixed-\(b\) perspective on the Phillips-Perron unit root tests (Q2845024) (← links)
- Improved generalized method of moments estimators for weakly dependent observations (Q2851993) (← links)
- Modified KPSS tests for near integration (Q2886947) (← links)
