Pages that link to "Item:Q4013240"

The following pages link to An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (Q4013240):

Displaying 50 items.

• Sequentiel testing for the stability of high-frequency portfolio betas (Q2909249) (← links)
• Goodness-of-fit based on downsampling with applications to linear drift diffusions (Q2911667) (← links)
• PORTMANTEAU AUTOCORRELATION TESTS UNDER <i>Q</i> -DEPENDENCE AND HETEROSKEDASTICITY (Q2936570) (← links)
• TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES (Q2937715) (← links)
• Accurately sized test statistics with misspecified conditional homoskedasticity (Q3019825) (← links)
• Reducing the size distortion of the KPSS test (Q3103196) (← links)
• GEL CRITERIA FOR MOMENT CONDITION MODELS (Q3108566) (← links)
• POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS (Q3108569) (← links)
• The coefficient of variation asymptotic distribution in the case of non-iid random variables (Q3183862) (← links)
• Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application (Q3183869) (← links)
• MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS (Q3377437) (← links)
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS (Q3377446) (← links)
• FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS (Q3408518) (← links)
• OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION (Q3453249) (← links)
• Simulation experiments on the performance of structural change tests in cointegration (Q3527722) (← links)
• Generalized M‐fluctuation tests for parameter instability (Q3542549) (← links)
• Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling (Q3557574) (← links)
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations (Q3566441) (← links)
• A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION (Q3577699) (← links)
• Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study (Q3598348) (← links)
• FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES (Q3632384) (← links)
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS (Q3632401) (← links)
• DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION (Q3632424) (← links)
• ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY (Q4406236) (← links)
• Optimal Predictive Tests (Q4434415) (← links)
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison (Q4434416) (← links)
• Estimator Choice and Fisher's Paradox: A Monte Carlo Study (Q4451550) (← links)
• A REVIEW OF SYSTEMS COINTEGRATION TESTS (Q4471125) (← links)
• Likelihood-ratio-based confidence sets for the timing of structural breaks (Q4586184) (← links)
• Bootstrap Methods for Time Series (Q4832060) (← links)
• Detecting parameter shift in garch models (Q4853099) (← links)
• Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence (Q4976481) (← links)
• Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models (Q5001023) (← links)
• Are tightened trading rules always bad? Evidence from the Chinese index futures market (Q5026525) (← links)
• Bootstrap confidence intervals for a break date in linear regressions (Q5033432) (← links)
• GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS (Q5065458) (← links)
• A robust functional time series forecasting method (Q5107356) (← links)
• Testing Kendall's <i>τ</i> for a large class of dependent sequences (Q5119171) (← links)
• Lag order selection for an optimal autoregressive covariance matrix estimator (Q5123569) (← links)
• Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions (Q5130252) (← links)
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (Q5199496) (← links)
• (Q5244095) (← links)
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation (Q5251510) (← links)
• Efficient Penalized Estimation for Linear Regression Model (Q5265841) (← links)
• Detecting at‐Most‐m Changes in Linear Regression Models (Q5283411) (← links)
• A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series (Q5283412) (← links)
• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS (Q5314885) (← links)
• Inference about long run canonical correlations (Q5397941) (← links)
• Interval Estimation for the Sortino Ratio and the Omega Ratio (Q5418878) (← links)
• Nonmonotonic power for tests of a mean shift in a time series§ (Q5425736) (← links)