Adam McCloskey
Personal Details
First Name: | Adam |
Middle Name: | |
Last Name: | McCloskey |
Suffix: | |
RePEc Short-ID: | pmc156 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 2011 Department of Economics; Boston University (from RePEc Genealogy) |
Affiliation
Department of Economics
University of Colorado
Boulder, Colorado (United States)https://www.colorado.edu/economics/
RePEc:edi:decolus (more details at EDIRC)
Research output
Jump to: Working papers Articles SoftwareWorking papers
- Alessandro Casini & Adam McCloskey, 2024. "Identification and Estimation of Causal Effects in High-Frequency Event Studies," Papers 2406.15667, arXiv.org, revised Oct 2024.
- Sukjin Han & Adam McCloskey, 2024. "Inference for Interval-Identified Parameters Selected from an Estimated Set," Papers 2403.00422, arXiv.org.
- McCloskey, Adam & Michaillat, Pascal, 2022.
"Incentive-Compatible Critical Values,"
CEPR Discussion Papers
16942, C.E.P.R. Discussion Papers.
- Adam McCloskey & Pascal Michaillat, 2022. "Incentive-Compatible Critical Values," NBER Working Papers 29702, National Bureau of Economic Research, Inc.
- Philipp Ketz & Adam McCloskey, 2021.
"Short and Simple Confidence Intervals when the Directions of Some Effects are Known,"
Papers
2109.08222, arXiv.org.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," Post-Print halshs-04630222, HAL.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-03957242, HAL.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Post-Print halshs-03957242, HAL.
- Philipp Ketz & Adam Mccloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Working Papers hal-03388199, HAL.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-04630222, HAL.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020.
"Inference after Estimation of Breaks,"
CeMMAP working papers
CWP34/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Andrews, Isaiah & Kitagawa, Toru & McCloskey, Adam, 2021. "Inference after estimation of breaks," Journal of Econometrics, Elsevier, vol. 224(1), pages 39-59.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference after estimation of breaks," CeMMAP working papers CWP51/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Adam McCloskey & Pascal Michaillat, 2020. "Critical Values Robust to P-hacking," Papers 2005.04141, arXiv.org, revised Dec 2023.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018.
"Inference on winners,"
CeMMAP working papers
CWP31/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2024. "Inference on Winners," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 305-358.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP73/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference on Winners," NBER Working Papers 25456, National Bureau of Economic Research, Inc.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference on winners," CeMMAP working papers CWP43/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Adam McCloskey, 2012.
"Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends,"
Working Papers
2012-17, Brown University, Department of Economics.
- Adam McCloskey, 2013. "Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 285-301, May.
- Adam McCloskey, 2012.
"Bonferroni-Based Size-Correction for Nonstandard Testing Problems,"
Working Papers
2012-16, Brown University, Department of Economics.
- McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
- Pierre Perron & Adam McCloskey, 2010.
"Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends,"
Boston University - Department of Economics - Working Papers Series
WP2010-048, Boston University - Department of Economics.
- Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
Articles
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2024.
"Inference on Winners,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 305-358.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP73/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference on Winners," NBER Working Papers 25456, National Bureau of Economic Research, Inc.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP31/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference on winners," CeMMAP working papers CWP43/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- A McCloskey, 2024. "Hybrid confidence intervals for informative uniform asymptotic inference after model selection," Biometrika, Biometrika Trust, vol. 111(1), pages 109-127.
- Isaiah Andrews & Dillon Bowen & Toru Kitagawa & Adam McCloskey, 2022. "Inference for Losers," AEA Papers and Proceedings, American Economic Association, vol. 112, pages 635-642, May.
- Andrews, Isaiah & Kitagawa, Toru & McCloskey, Adam, 2021.
"Inference after estimation of breaks,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 39-59.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference after Estimation of Breaks," CeMMAP working papers CWP34/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference after estimation of breaks," CeMMAP working papers CWP51/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Adam McCloskey, 2020. "Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(4), pages 810-825, October.
- Sukjin Han & Adam McCloskey, 2019. "Estimation and inference with a (nearly) singular Jacobian," Quantitative Economics, Econometric Society, vol. 10(3), pages 1019-1068, July.
- McCloskey, Adam, 2017.
"Bonferroni-based size-correction for nonstandard testing problems,"
Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
- Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
- Adam McCloskey & Jonathan B. Hill, 2017. "Parameter Estimation Robust to Low-Frequency Contamination," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 598-610, October.
- Mccloskey, Adam & Perron, Pierre, 2013.
"Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
- Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- Adam McCloskey, 2013.
"Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 285-301, May.
- Adam McCloskey, 2012. "Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends," Working Papers 2012-17, Brown University, Department of Economics.
Software components
- Chad Brown & Philipp Ketz & Adam McCloskey, 2021. "SSCI: Stata module to compute Short and Simple Confidence Interval," Statistical Software Components S458986, Boston College Department of Economics.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- McCloskey, Adam & Michaillat, Pascal, 2022.
"Incentive-Compatible Critical Values,"
CEPR Discussion Papers
16942, C.E.P.R. Discussion Papers.
- Adam McCloskey & Pascal Michaillat, 2022. "Incentive-Compatible Critical Values," NBER Working Papers 29702, National Bureau of Economic Research, Inc.
Cited by:
- Graham Elliott & Nikolay Kudrin & Kaspar Wuthrich, 2022. "The Power of Tests for Detecting $p$-Hacking," Papers 2205.07950, arXiv.org, revised Apr 2024.
- Philipp Ketz & Adam McCloskey, 2021.
"Short and Simple Confidence Intervals when the Directions of Some Effects are Known,"
Papers
2109.08222, arXiv.org.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," Post-Print halshs-04630222, HAL.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-03957242, HAL.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Post-Print halshs-03957242, HAL.
- Philipp Ketz & Adam Mccloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Working Papers hal-03388199, HAL.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-04630222, HAL.
Cited by:
- Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020.
"Inference after Estimation of Breaks,"
CeMMAP working papers
CWP34/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Andrews, Isaiah & Kitagawa, Toru & McCloskey, Adam, 2021. "Inference after estimation of breaks," Journal of Econometrics, Elsevier, vol. 224(1), pages 39-59.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference after estimation of breaks," CeMMAP working papers CWP51/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018.
"Inference on winners,"
CeMMAP working papers
CWP73/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference on Winners," NBER Working Papers 25456, National Bureau of Economic Research, Inc.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP31/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2024. "Inference on Winners," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 305-358.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference on winners," CeMMAP working papers CWP43/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Adam McCloskey & Pascal Michaillat, 2020.
"Critical Values Robust to P-hacking,"
Papers
2005.04141, arXiv.org, revised Dec 2023.
Cited by:
- Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018.
"Inference on winners,"
CeMMAP working papers
CWP31/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2024. "Inference on Winners," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 305-358.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP73/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference on Winners," NBER Working Papers 25456, National Bureau of Economic Research, Inc.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference on winners," CeMMAP working papers CWP43/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Magne Mogstad & Joseph P. Romano & Daniel Wilhelm & Azeem M. Shaikh, 2020.
"Inference for ranks with applications to mobility across neighborhoods and academic achievement across countries,"
CeMMAP working papers
CWP10/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2023. "Inference for ranks with applications to mobility across neighborhoods and academic achievement across countries," CeMMAP working papers 03/23, Institute for Fiscal Studies.
- Magne Mogstad & Joseph P Romano & Azeem M Shaikh & Daniel Wilhelm, 2024. "Inference for Ranks with Applications to Mobility across Neighbourhoods and Academic Achievement across Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(1), pages 476-518.
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2020. "Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries," Working Papers 2020-16, Becker Friedman Institute for Research In Economics.
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2021. "Inference for ranks with applications to mobility across neighborhoods and academic achievement across countries," CeMMAP working papers CWP17/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2020. "Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries," RF Berlin - CReAM Discussion Paper Series 2008, Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM).
- Magne Mogstad & Joseph P. Romano & Azeem Shaikh & Daniel Wilhelm, 2020. "Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries," NBER Working Papers 26883, National Bureau of Economic Research, Inc.
- Will Davis & Alexander Gordan & Rusty Tchernis, 2021.
"Measuring the spatial distribution of health rankings in the United States,"
Health Economics, John Wiley & Sons, Ltd., vol. 30(11), pages 2921-2936, November.
- Will Davis & Alexander D. Gordan & Rusty Tchernis, 2020. "Measuring the Spatial Distribution of Health Rankings in the United States," NBER Working Papers 27259, National Bureau of Economic Research, Inc.
- Dominic Coey & Kenneth Hung, 2022. "Empirical Bayes Selection for Value Maximization," Papers 2210.03905, arXiv.org, revised Jan 2023.
- Sergei Bazylik & Magne Mogstad & Joseph Romano & Azeem Shaikh & Daniel Wilhelm, 2024.
"Finite- and Large-Sample Inference for Ranks using Multinomial Data with an Application to Ranking Political Parties,"
Papers
2402.00192, arXiv.org.
- Sergei Bazylik & Magne Mogstad & Joseph P. Romano & Azeem Shaikh & Daniel Wilhelm, 2021. "Finite- and Large-Sample Inference for Ranks using Multinomial Data with an Application to Ranking Political Parties," NBER Working Papers 29519, National Bureau of Economic Research, Inc.
- Sergei Bazylik & Magne Mogstad & Joseph P. Romano & Azeem M. Shaikh & Daniel Wilhelm, 2021. "Finite- and large-sample inference for ranks using multinomial data with an application to ranking political parties," CeMMAP working papers CWP40/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Daniel Wilhelm & Magne Mogstad & Azeem Shaikh, 2021. "Finite- and Large-Sample Inference for Ranks using Multinomial Data with an Application to Ranking Political Parties," RF Berlin - CReAM Discussion Paper Series 2132, Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM).
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020.
"Inference after Estimation of Breaks,"
CeMMAP working papers
CWP34/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Andrews, Isaiah & Kitagawa, Toru & McCloskey, Adam, 2021. "Inference after estimation of breaks," Journal of Econometrics, Elsevier, vol. 224(1), pages 39-59.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference after estimation of breaks," CeMMAP working papers CWP51/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kohei Yata, 2021. "Optimal Decision Rules Under Partial Identification," Papers 2111.04926, arXiv.org, revised Aug 2023.
- Aparajithan Venkateswaran & Anirudh Sankar & Arun G. Chandrasekhar & Tyler H. McCormick, 2024. "Robustly estimating heterogeneity in factorial data using Rashomon Partitions," Papers 2404.02141, arXiv.org, revised Aug 2024.
- Davide Viviano & Jelena Bradic, 2020. "Fair Policy Targeting," Papers 2005.12395, arXiv.org, revised Jun 2022.
- Isaiah Andrews & Jonathan Roth & Ariel Pakes, 2023.
"Inference for Linear Conditional Moment Inequalities,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(6), pages 2763-2791.
- Isaiah Andrews & Jonathan Roth & Ariel Pakes, 2019. "Inference for Linear Conditional Moment Inequalities," Papers 1909.10062, arXiv.org, revised Dec 2022.
- Isaiah Andrews & Jonathan Roth & Ariel Pakes, 2019. "Inference for Linear Conditional Moment Inequalities," NBER Working Papers 26374, National Bureau of Economic Research, Inc.
- Davide Viviano & Jess Rudder, 2020. "Policy design in experiments with unknown interference," Papers 2011.08174, arXiv.org, revised May 2024.
- Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew, 2022.
"Inference on estimators defined by mathematical programming,"
Journal of Econometrics, Elsevier, vol. 226(2), pages 248-268.
- Yu-Wei Hsieh & Xiaoxia Shi & Matthew Shum, 2017. "Inference on Estimators defined by Mathematical Programming," Papers 1709.09115, arXiv.org.
- David J. Deming, 2021. "The Growing Importance of Decision-Making on the Job," NBER Working Papers 28733, National Bureau of Economic Research, Inc.
- Wei, Waverly & Zhou, Yuqing & Zheng, Zeyu & Wang, Jingshen, 2024. "Inference on the best policies with many covariates," Journal of Econometrics, Elsevier, vol. 239(2).
- Jiafeng Chen, 2021. "Nonparametric Treatment Effect Identification in School Choice," Papers 2112.03872, arXiv.org, revised Oct 2023.
- Adam McCloskey, 2012.
"Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends,"
Working Papers
2012-17, Brown University, Department of Economics.
- Adam McCloskey, 2013. "Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 285-301, May.
Cited by:
- Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
- Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
- Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017.
"Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
- Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
- Matei Demetrescu & Mehdi Hosseinkouchack, 2022. "Autoregressive spectral estimates under ignored changes in the mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 329-340, March.
- Busch, Marie & Sibbertsen, Philipp, 2018.
"An Overview of Modified Semiparametric Memory Estimation Methods,"
Hannover Economic Papers (HEP)
dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
- Heni Boubaker, 2016. "A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 693-731, December.
- Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
- Adam McCloskey, 2012.
"Bonferroni-Based Size-Correction for Nonstandard Testing Problems,"
Working Papers
2012-16, Brown University, Department of Economics.
- McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
Cited by:
- Karthik Muralidharan & Mauricio Romero & Kaspar Wüthrich, 2020.
"Factorial Designs, Model Selection, and (Incorrect) Inference in Randomized Experiments,"
CESifo Working Paper Series
8137, CESifo.
- Karthik Muralidharan & Mauricio Romero & Kaspar Wüthrich, 2019. "Factorial Designs, Model Selection, and (Incorrect) Inference in Randomized Experiments," NBER Working Papers 26562, National Bureau of Economic Research, Inc.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
- James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
- Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
- David Hao Zhang & Paul S. Willen, 2021.
"Do Lenders Still Discriminate? A Robust Approach for Assessing Differences in Menus,"
NBER Working Papers
29142, National Bureau of Economic Research, Inc.
- Paul S. Willen & David Hao Zhang, 2020. "Do Lenders Still Discriminate? A Robust Approach for Assessing Differences in Menus," Working Papers 20-19, Federal Reserve Bank of Boston.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018.
"Inference on winners,"
CeMMAP working papers
CWP73/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference on Winners," NBER Working Papers 25456, National Bureau of Economic Research, Inc.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP31/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2024. "Inference on Winners," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 305-358.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference on winners," CeMMAP working papers CWP43/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Massimo Franchi & Søren Johansen, 2017.
"Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles,"
CREATES Research Papers
2017-17, Department of Economics and Business Economics, Aarhus University.
- Massimo Franchi & Søren Johansen, 2017. "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Ivan A. Canay & Azeem M. Shaikh, 2016.
"Practical and theoretical advances in inference for partially identified models,"
CeMMAP working papers
CWP05/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ivan A. Canay & Azeem M. Shaikh, 2016. "Practical and theoretical advances in inference for partially identified models," CeMMAP working papers 05/16, Institute for Fiscal Studies.
- Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
- Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011.
"Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests,"
Cowles Foundation Discussion Papers
1813, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
- Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
- Philipp Ketz, 2019.
"Testing overidentifying restrictions with a restricted parameter space,"
Post-Print
halshs-02492665, HAL.
- Ketz, Philipp, 2019. "Testing overidentifying restrictions with a restricted parameter space," Economics Letters, Elsevier, vol. 185(C).
- Philipp Ketz, 2019. "Testing overidentifying restrictions with a restricted parameter space," PSE-Ecole d'économie de Paris (Postprint) halshs-02492665, HAL.
- Jochmans, K., 2019. "Testing Correlation in Error-Component Models," Cambridge Working Papers in Economics 1993, Faculty of Economics, University of Cambridge.
- Philipp Ketz & Adam Mccloskey, 2021.
"Short and Simple Confidence Intervals when the Directions of Some Effects are Known,"
Working Papers
hal-03388199, HAL.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," Post-Print halshs-04630222, HAL.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-03957242, HAL.
- Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Post-Print halshs-03957242, HAL.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-04630222, HAL.
- Donald W. K. Andrews & Patrik Guggenberger, 2015.
"Identification- and Singularity-Robust Inference for Moment Condition,"
Cowles Foundation Discussion Papers
1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
- Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2018.
- Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978, Cowles Foundation for Research in Economics, Yale University.
- Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
- Timothy B. Armstrong & Michal Koles�r, 2016.
"Optimal Inference in a Class of Regression Models,"
Cowles Foundation Discussion Papers
2043, Cowles Foundation for Research in Economics, Yale University.
- Timothy B. Armstrong & Michal Kolesár, 2018. "Optimal Inference in a Class of Regression Models," Econometrica, Econometric Society, vol. 86(2), pages 655-683, March.
- Timothy B. Armstrong & Michal Koles�r, 2016. "Optimal Inference in a Class of Regression Models," Cowles Foundation Discussion Papers 2043R2, Cowles Foundation for Research in Economics, Yale University, revised Dec 2017.
- Timothy B. Armstrong & Michal Koles�r, 2016. "Optimal Inference in a Class of Regression Models," Cowles Foundation Discussion Papers 2043R, Cowles Foundation for Research in Economics, Yale University, revised May 2017.
- Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
- Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
- Romano, Joseph P. & Wolf, Michael, 2013. "Testing for monotonicity in expected asset returns," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 93-116.
- Philipp Ketz, 2018.
"Subvector inference when the true parameter vector may be near or at the boundary,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-01884381, HAL.
- Ketz, Philipp, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Journal of Econometrics, Elsevier, vol. 207(2), pages 285-306.
- Philipp Ketz, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Post-Print halshs-01884381, HAL.
- Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
- Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
- Firmin Doko Tchatoka & Wenjie Wang, 2020.
"Uniform Inference after Pretesting for Exogeneity,"
School of Economics and Public Policy Working Papers
2020-05, University of Adelaide, School of Economics and Public Policy.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2020. "Uniform Inference after Pretesting for Exogeneity," MPRA Paper 99243, University Library of Munich, Germany.
- DiTraglia, Francis J., 2016.
"Using invalid instruments on purpose: Focused moment selection and averaging for GMM,"
Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM," PIER Working Paper Archive 14-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Aug 2014.
- Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
- Kirill Evdokimov & Ilze Kalnina & Andrei Zeleneev, 2023.
"Marginal effects for probit and tobit with endogeneity,"
CeMMAP working papers
11/23, Institute for Fiscal Studies.
- Kirill S. Evdokimov & Ilze Kalnina & Andrei Zeleneev, 2023. "Marginal Effects for Probit and Tobit with Endogeneity," Papers 2306.14862, arXiv.org, revised Aug 2024.
- Canepa Alessandra, 2022.
"Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors,"
Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
- Canepa, Alessandra, 2021. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202108, University of Turin.
- Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
- Katarina Juselius, 2017. "Recent Developments in Cointegration," Econometrics, MDPI, vol. 6(1), pages 1-5, December.
- Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
- Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
- Fan, Yanqin & Shi, Xuetao, 2023. "Wald, QLR, and score tests when parameters are subject to linear inequality constraints," Journal of Econometrics, Elsevier, vol. 235(2), pages 2005-2026.
- Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Pierre Perron & Adam McCloskey, 2010.
"Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends,"
Boston University - Department of Economics - Working Papers Series
WP2010-048, Boston University - Department of Economics.
- Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
Cited by:
- Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
- Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
- Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
- Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018.
"A multivariate test against spurious long memory,"
Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
- Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015. "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP) dp-547, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Kruse, Robinson, 2015. "A modified test against spurious long memory," Economics Letters, Elsevier, vol. 135(C), pages 34-38.
- Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
- Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017.
"Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
- Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
- Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023.
"Estimation of a dynamic multi-level factor model with possible long-range dependence,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
- Rodríguez Caballero, Carlos Vladimir, 2017. "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS 24614, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rasmus Tangsgaard Varneskov & Pierre Perron, 2011.
"Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns,"
CREATES Research Papers
2011-26, Department of Economics and Business Economics, Aarhus University.
- Rasmus T. Varneskov & Pierre Perron, 2018. "Combining long memory and level shifts in modelling and forecasting the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 371-393, March.
- Pierre Perron & Rasmus T. Varneskov, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2011-050, Boston University - Department of Economics.
- Rasmus T. Varneskov & Pierre Perron, 2017. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2017-006, Boston University - Department of Economics.
- Rasmus T. Varneskov & Pierre Perron, 2015. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series wp2015-015, Boston University - Department of Economics.
- Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
- Matei Demetrescu & Mehdi Hosseinkouchack, 2022. "Autoregressive spectral estimates under ignored changes in the mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 329-340, March.
- Baek, Changryong & Fortuna, Natércia & Pipiras, Vladas, 2014. "Can Markov switching model generate long memory?," Economics Letters, Elsevier, vol. 124(1), pages 117-121.
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Torben G. Andersen & Rasmus T. Varneskov, 2021.
"Consistent Inference for Predictive Regressions in Persistent Economic Systems,"
NBER Working Papers
28568, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
- Pierre Perron & Yohei Yamamoto, 2011.
"Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions,"
Boston University - Department of Economics - Working Papers Series
WP2011-049, Boston University - Department of Economics.
- Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
- Yohei Yamamoto & Pierre Perron, 2012. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Global COE Hi-Stat Discussion Paper Series gd12-250, Institute of Economic Research, Hitotsubashi University.
- Javier Haulde & Morten Ørregaard Nielsen, 2022.
"Fractional integration and cointegration,"
CREATES Research Papers
2022-02, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
- Dolado, Juan J & Rachinger, Heiko & Velasco, Carlos, 2020.
"LM tests for joint breaks in the dynamics and level of a long-memory time series,"
CEPR Discussion Papers
15435, C.E.P.R. Discussion Papers.
- Juan J. Dolado & Heiko Rachinger & Carlos Velasco, 2022. "LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 629-650, April.
- Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
- Busch, Marie & Sibbertsen, Philipp, 2018.
"An Overview of Modified Semiparametric Memory Estimation Methods,"
Hannover Economic Papers (HEP)
dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
- Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019.
"Change-in-mean tests in long-memory time series: a review of recent developments,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments," Hannover Economic Papers (HEP) dp-598, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
- Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
- Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Adam McCloskey, 2012.
"Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends,"
Working Papers
2012-17, Brown University, Department of Economics.
- Adam McCloskey, 2013. "Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 285-301, May.
- Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Alexander Boca Saravia & Gabriel Rodríguez, 2022.
"Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR,"
Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
- Alexander Boca Saravia & Gabriel Rodríguez, 2019. "Presidential Approval in Peru: An Empirical Analysis Using a Fractionally Cointegrated VAR," Documentos de Trabajo / Working Papers 2019-480, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Alessandro Casini & Pierre Perron, 2018.
"Structural Breaks in Time Series,"
Boston University - Department of Economics - Working Papers Series
WP2019-02, Boston University - Department of Economics.
- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
- Tzouras, Spilios & Anagnostopoulos, Christoforos & McCoy, Emma, 2015. "Financial time series modeling using the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 50-68.
- Gabriel Rodríguez, 2016. "Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cam," Documentos de Trabajo / Working Papers 2016-416, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
- Carina Gerstenberger, 2021. "Robust discrimination between long‐range dependence and a change in mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 34-62, January.
- Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
- Pierre Perron & Wendong Shi, 2020. "Temporal Aggregation and Long Memory for Asset Price Volatility," JRFM, MDPI, vol. 13(8), pages 1-18, August.
- Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Aeneas Rooch & Ieva Zelo & Roland Fried, 2019. "Estimation methods for the LRD parameter under a change in the mean," Statistical Papers, Springer, vol. 60(1), pages 313-347, February.
- García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
- Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
- Leschinski, Christian & Sibbertsen, Philipp, 2017. "Origins of Spurious Long Memory," Hannover Economic Papers (HEP) dp-595, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
Articles
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2024.
"Inference on Winners,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 305-358.
See citations under working paper version above.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP73/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference on Winners," NBER Working Papers 25456, National Bureau of Economic Research, Inc.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018. "Inference on winners," CeMMAP working papers CWP31/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference on winners," CeMMAP working papers CWP43/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Dillon Bowen & Toru Kitagawa & Adam McCloskey, 2022.
"Inference for Losers,"
AEA Papers and Proceedings, American Economic Association, vol. 112, pages 635-642, May.
Cited by:
- Wei, Waverly & Zhou, Yuqing & Zheng, Zeyu & Wang, Jingshen, 2024. "Inference on the best policies with many covariates," Journal of Econometrics, Elsevier, vol. 239(2).
- Jelle J Goeman & Aldo Solari, 2024. "On selection and conditioning in multiple testing and selective inference," Biometrika, Biometrika Trust, vol. 111(2), pages 393-416.
- Andrews, Isaiah & Kitagawa, Toru & McCloskey, Adam, 2021.
"Inference after estimation of breaks,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 39-59.
See citations under working paper version above.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference after Estimation of Breaks," CeMMAP working papers CWP34/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2019. "Inference after estimation of breaks," CeMMAP working papers CWP51/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Adam McCloskey, 2020.
"Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(4), pages 810-825, October.
Cited by:
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
- Timothy B. Armstrong & Michal Kolesár, 2020.
"Sensitivity Analysis using Approximate Moment Condition Models,"
Working Papers
2020-28, Princeton University. Economics Department..
- Timothy B. Armstrong & Michal Koles'ar, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Papers 1808.07387, arXiv.org, revised Jul 2020.
- Timothy B. Armstrong & Michal Koles'r, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2019.
- Timothy B. Armstrong & Michal Koles'r, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158, Cowles Foundation for Research in Economics, Yale University.
- Timothy B. Armstrong & Michal Kolesár, 2021. "Sensitivity analysis using approximate moment condition models," Quantitative Economics, Econometric Society, vol. 12(1), pages 77-108, January.
- Philipp Ketz & Adam Mccloskey, 2021.
"Short and Simple Confidence Intervals when the Directions of Some Effects are Known,"
Working Papers
hal-03388199, HAL.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," Post-Print halshs-04630222, HAL.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-03957242, HAL.
- Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
- Philipp Ketz & Adam Mccloskey, 2022. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Post-Print halshs-03957242, HAL.
- Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," PSE-Ecole d'économie de Paris (Postprint) halshs-04630222, HAL.
- Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
- Sukjin Han & Adam McCloskey, 2019.
"Estimation and inference with a (nearly) singular Jacobian,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 1019-1068, July.
Cited by:
- Valérie Lechene & Krishna Pendakur & Alexander Wolf, 2020.
"OLS estimation of the intra-household distribution of expenditure,"
IFS Working Papers
W20/6, Institute for Fiscal Studies.
- Lechene, Valérie & Pendakur, Krishna & Wolf, Alexander, 2021. "OLS Estimation of the Intra-Household Distribution of Expenditure," CEPR Discussion Papers 15955, C.E.P.R. Discussion Papers.
- Valérie Lechene & Krishna Pendakur & Alexander Wolf, 2021. "OLS estimation of the intra-household distribution of expenditure," IFS Working Papers W21/19, Institute for Fiscal Studies.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
- Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
- Adam McCloskey, 2012.
"Bonferroni-Based Size-Correction for Nonstandard Testing Problems,"
Working Papers
2012-16, Brown University, Department of Economics.
- McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
- Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011.
"Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests,"
Cowles Foundation Discussion Papers
1813, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
- Khan, Shakeeb & Nekipelov, Denis, 2024. "On uniform inference in nonlinear models with endogeneity," Journal of Econometrics, Elsevier, vol. 240(2).
- Sukjin Han & Sungwon Lee, 2018.
"Estimation in a Generalization of Bivariate Probit Models with Dummy Endogenous Regressors,"
Papers
1808.05792, arXiv.org, revised Mar 2019.
- Sukjin Han & Sungwon Lee, 2019. "Estimation in a generalization of bivariate probit models with dummy endogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 994-1015, September.
- Gregory Cox, 2018. "Almost Sure Uniqueness of a Global Minimum Without Convexity," Papers 1803.02415, arXiv.org, revised Feb 2019.
- Shakeeb Khan & Denis Nekipelov, 2019.
"On Uniform Inference in Nonlinear Models with Endogeneity,"
Boston College Working Papers in Economics
986, Boston College Department of Economics.
- Shakeeb Khan & Denis Nekipelov, 2013. "On Uniform Inference in Nonlinear Models with Endogeneity," Working Papers 13-16, Duke University, Department of Economics.
- Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
- Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
- Valérie Lechene & Krishna Pendakur & Alexander Wolf, 2019. "OLS estimation of the intra-household distribution of consumption," IFS Working Papers W19/19, Institute for Fiscal Studies.
- Woosik Gong & Myung Hwan Seo, 2022. "Bootstraps for Dynamic Panel Threshold Models," Papers 2211.04027, arXiv.org, revised Sep 2024.
- Gregory Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Dec 2022.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
- Firmin Doko Tchatoka & Wenjie Wang, 2020.
"Uniform Inference after Pretesting for Exogeneity,"
School of Economics and Public Policy Working Papers
2020-05, University of Adelaide, School of Economics and Public Policy.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2020. "Uniform Inference after Pretesting for Exogeneity," MPRA Paper 99243, University Library of Munich, Germany.
- Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021.
"A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity,"
Papers
2103.11371, arXiv.org, revised Oct 2022.
- Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Economics Series Working Papers 960, University of Oxford, Department of Economics.
- Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
- Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- Isaiah Andrews & Anna Mikusheva, 2022. "Optimal Decision Rules for Weak GMM," Econometrica, Econometric Society, vol. 90(2), pages 715-748, March.
- Valérie Lechene & Krishna Pendakur & Alexander Wolf, 2020.
"OLS estimation of the intra-household distribution of expenditure,"
IFS Working Papers
W20/6, Institute for Fiscal Studies.
- McCloskey, Adam, 2017.
"Bonferroni-based size-correction for nonstandard testing problems,"
Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
See citations under working paper version above.
- Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
- Adam McCloskey & Jonathan B. Hill, 2017.
"Parameter Estimation Robust to Low-Frequency Contamination,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 598-610, October.
Cited by:
- Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017.
"Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
- Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
- Rasmus Tangsgaard Varneskov & Pierre Perron, 2011.
"Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns,"
CREATES Research Papers
2011-26, Department of Economics and Business Economics, Aarhus University.
- Rasmus T. Varneskov & Pierre Perron, 2018. "Combining long memory and level shifts in modelling and forecasting the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 371-393, March.
- Pierre Perron & Rasmus T. Varneskov, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2011-050, Boston University - Department of Economics.
- Rasmus T. Varneskov & Pierre Perron, 2017. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2017-006, Boston University - Department of Economics.
- Rasmus T. Varneskov & Pierre Perron, 2015. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series wp2015-015, Boston University - Department of Economics.
- Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
- Matei Demetrescu & Mehdi Hosseinkouchack, 2022. "Autoregressive spectral estimates under ignored changes in the mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 329-340, March.
- Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
- Busch, Marie & Sibbertsen, Philipp, 2018.
"An Overview of Modified Semiparametric Memory Estimation Methods,"
Hannover Economic Papers (HEP)
dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
- Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
- Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Adam McCloskey, 2012.
"Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends,"
Working Papers
2012-17, Brown University, Department of Economics.
- Adam McCloskey, 2013. "Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 285-301, May.
- Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
- Alessandro Casini & Pierre Perron, 2018.
"Structural Breaks in Time Series,"
Boston University - Department of Economics - Working Papers Series
WP2019-02, Boston University - Department of Economics.
- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
- Gabriel Rodríguez, 2016. "Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cam," Documentos de Trabajo / Working Papers 2016-416, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Tommaso Proietti & Niels Haldrup & Oskar Knapik, 2017.
"Spikes and memory in (Nord Pool) electricity price spot prices,"
CREATES Research Papers
2017-39, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Niels Haldrup & Oskar Knapik, 2017. "Spikes and memory in (Nord Pool) electricity price spot prices," CEIS Research Paper 422, Tor Vergata University, CEIS, revised 18 Dec 2017.
- Zhongjun Qu & Denis Tkachenko, 2011.
"Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007),"
Boston University - Department of Economics - Working Papers Series
WP2011-060, Boston University - Department of Economics.
- Denis Tkachenko & Zhongjun Qu, 2012. "Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 319-385, Emerald Group Publishing Limited.
- Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
- Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017.
"Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
- Mccloskey, Adam & Perron, Pierre, 2013.
"Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
See citations under working paper version above.
- Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- Adam McCloskey, 2013.
"Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 285-301, May.
See citations under working paper version above.
- Adam McCloskey, 2012. "Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends," Working Papers 2012-17, Brown University, Department of Economics.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (9) 2012-11-17 2012-11-17 2012-11-17 2018-07-23 2020-01-06 2020-05-18 2021-09-27 2024-04-01 2024-07-29. Author is listed
- NEP-ETS: Econometric Time Series (3) 2012-11-17 2012-11-17 2021-07-19
- NEP-ISF: Islamic Finance (1) 2021-09-27
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