Pages that link to "Item:Q4013240"

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

Displaying 50 items.

• SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form (Q1391607) (← links)
• Exact small-sample inference in stationary, fully regular, dynamic demand models (Q1580339) (← links)
• Foundations of multivariate inference using modern computers (Q1595162) (← links)
• A simple method of testing for cointegration subject to multiple regime changes (Q1607269) (← links)
• The indirect continuous-GMM estimation (Q1623544) (← links)
• Multiple tests for the performance of different investment strategies (Q1633252) (← 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)
• Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors (Q1659160) (← 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)
• Methods for computing numerical standard errors: review and application to value-at-risk estimation (Q1669699) (← links)
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects (Q1695655) (← links)
• High-dimensional functional time series forecasting: an application to age-specific mortality rates (Q1733284) (← links)
• ArCo: an artificial counterfactual approach for high-dimensional panel time-series data (Q1739593) (← links)
• Controlling the size of autocorrelation robust tests (Q1739596) (← links)
• Tests of specification for parametric and semiparametric models (Q1801421) (← links)
• Structural change tests for simulated method of moments. (Q1810680) (← links)
• On estimation and testing goodness of fit for \(m\)-dependent stable sequences (Q1841194) (← links)
• Cointegration and the joint confirmation hypothesis. (Q1853701) (← links)
• Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921) (← links)
• Limited information likelihood and Bayesian analysis (Q1858933) (← links)
• Residual-based tests for cointegration in models with regime shifts (Q1906289) (← links)
• Tests for cointegration. A Monte Carlo comparison (Q1915441) (← links)
• Testing for structural breaks in cointegrated relationships (Q1915456) (← links)
• Misspecification tests and their uses in econometrics (Q1918128) (← links)
• Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
• Restoring monotone power in the CUSUM test (Q1934668) (← links)
• Improved HAC covariance matrix estimation based on forecast errors (Q1934714) (← links)
• Bayesian model selection based on parameter estimates from subsamples (Q1950737) (← links)
• Testing linear causality in mean when the number of estimated parameters is high (Q1952197) (← 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)
• Continuous record Laplace-based inference about the break date in structural change models (Q2043251) (← links)
• Adjusted-range self-normalized confidence interval construction for censored dependent data (Q2096226) (← links)
• A comparison of Hurst exponent estimators in long-range dependent curve time series (Q2246897) (← links)
• Statistical analysis of autoregressive fractionally integrated moving average models in R (Q2259223) (← links)
• Volatility filtering in estimation of kurtosis (and variance) (Q2283658) (← links)
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis (Q2290700) (← links)
• Monitoring parameter changes in models with a trend (Q2301122) (← links)
• Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing (Q2326985) (← links)
• Data driven smooth test of comparison for dependent sequences (Q2350057) (← links)
• Testing for a unit root in panels with dynamic factors (Q2439090) (← links)
• Panel unit root tests in the presence of a multifactor error structure (Q2440389) (← links)
• Testing slope homogeneity in large panels with serial correlation (Q2453036) (← links)
• Testing stationarity of functional time series (Q2512639) (← links)
• A non-linear forecast combination procedure for binary outcomes (Q2691668) (← links)
• An intuitive skewness-based symmetry test applicable to stationary time series data (Q2697055) (← links)
• On size and power of heteroskedasticity and autocorrelation robust tests (Q2801990) (← links)
• Approximating volatilities by asymmetric power GARCH functions (Q2810372) (← links)