IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v57y2005i4p733-745.html
   My bibliography  Save this article

A new instrumental variable estimation for diffusion processes

Author

Listed:
  • Beong So

Abstract

No abstract is available for this item.

Suggested Citation

  • Beong So, 2005. "A new instrumental variable estimation for diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(4), pages 733-745, December.
    • Handle: RePEc:spr:aistmt:v:57:y:2005:i:4:p:733-745
    DOI: 10.1007/BF02915435
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF02915435
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF02915435?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. So, Beong Soo & Shin, Dong Wan, 1999. "Cauchy Estimators For Autoregressive Processes With Applications To Unit Root Tests And Confidence Intervals," Econometric Theory, Cambridge University Press, vol. 15(2), pages 165-176, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wan Shin, Dong & Soo So, Beong, 2001. "Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators," Economics Letters, Elsevier, vol. 71(2), pages 181-189, May.
    2. Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon, 2004. "Nonlinear instrumental variable estimation of an autoregression," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 219-246.
    3. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
    4. Purevdorj Tuvaandorj, 2021. "Robust Permutation Tests in Linear Instrumental Variables Regression," Papers 2111.13774, arXiv.org, revised Jul 2024.
    5. Donggyu Sul & Peter C. B. Phillips & Chi‐Young Choi, 2005. "Prewhitening Bias in HAC Estimation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(4), pages 517-546, August.
    6. Chang, Yoosoon, 2012. "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, vol. 169(1), pages 15-28.
    7. Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1003-1036, October.
    8. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    9. Breitung, Jörg & Demetrescu, Matei, 2015. "Instrumental variable and variable addition based inference in predictive regressions," Journal of Econometrics, Elsevier, vol. 187(1), pages 358-375.
    10. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
    11. Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
    12. Martin C. Arnold & Christoph Hanck, 2019. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions," JRFM, MDPI, vol. 12(3), pages 1-22, July.
    13. Miller J. Isaac, 2010. "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-38, September.
    14. Jihyun Kim & Nour Meddahi, 2020. "Volatility Regressions with Fat Tails," Post-Print hal-03142647, HAL.
    15. Kyung So Im & Junsoo Lee & Vladimir Arcabic & Mansik Hur, 2018. "DF-IV Unit Root Tests Using Stationary Instrument Variables," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
    16. Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Mar 2023.
    17. Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
    18. Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
    19. Neil Shephard, 2020. "An estimator for predictive regression: reliable inference for financial economics," Papers 2008.06130, arXiv.org.
    20. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:57:y:2005:i:4:p:733-745. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.