Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
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Cited by:
- Hwang, Jungbin & Sun, Yixiao, 2018.
"SIMPLE, ROBUST, AND ACCURATE F AND t TESTS IN COINTEGRATED SYSTEMS,"
Econometric Theory, Cambridge University Press, vol. 34(5), pages 949-984, October.
- Hwang, Jungbin & Sun, Yixiao, 2016. "Simple, Robust, and Accurate F and t Tests in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series qt82k1x4rd, Department of Economics, UC San Diego.
- Hwang., Jungbin & Sun, Yixiao, 2017. "Simple, Robust, and Accurate F and t Tests in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series qt83b4q8pk, Department of Economics, UC San Diego.
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More about this item
Keywords
Cointegrated system; HAC estimation; Instrumental variables; Lasso regression; Karhunen-Loeve representation; Long-run variance; Reproducing kernel Hilbert space; Oracle effciency; Orthonormal system; Trend basis;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-09-16 (Econometrics)
- NEP-ETS-2012-09-16 (Econometric Time Series)
- NEP-ORE-2012-09-16 (Operations Research)
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