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Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes

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Cited by:

  1. Alaa Abi Morshed & Elena Andreou & Otilia Boldea, 2018. "Structural Break Tests Robust to Regression Misspecification," Econometrics, MDPI, vol. 6(2), pages 1-39, May.
  2. Guili Liao & Qimeng Liu & Rongmao Zhang & Shifang Zhang, 2022. "Rank test of unit‐root hypothesis with AR‐GARCH errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 695-719, September.
  3. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
  4. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  5. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
  6. Yiguo Sun, 2014. "Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 437-461, August.
  7. Armand, Alex & Carneiro, Pedro & Locatelli, Andrea & Mihreteab, Selam & Keating, Joseph, 2017. "Do public health interventions crowd out private health investments? Malaria control policies in Eritrea," Labour Economics, Elsevier, vol. 45(C), pages 107-115.
  8. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
  9. Ulrich K. Müller & Mark W. Watson, 2008. "Testing Models of Low-Frequency Variability," Econometrica, Econometric Society, vol. 76(5), pages 979-1016, September.
  10. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
  11. Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
  12. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
  13. Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 741-762, September.
  14. Raffaella Giacomini & Barbara Rossi, 2016. "Model Comparisons In Unstable Environments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 369-392, May.
  15. Koo, Bonsoo & Seo, Myung Hwan, 2015. "Structural-break models under mis-specification: Implications for forecasting," Journal of Econometrics, Elsevier, vol. 188(1), pages 166-181.
  16. Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
  17. Valentina Corradi & Norman R. Swanson, 2007. "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, February.
  18. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  19. Raffaella Giacomini & Barbara Rossi, 2012. "Model comparisons in unstable environments," CeMMAP working papers 13/12, Institute for Fiscal Studies.
  20. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
  21. Andrew Patton & Allan Timmermann, 2012. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17.
  22. Xiaomeng Zhang & Wendun Wang & Xinyu Zhang, 2022. "Asymptotic Properties of the Synthetic Control Method," Papers 2211.12095, arXiv.org.
  23. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
  24. Gan, Zhuojiong, 2015. "Three essays in econometric theory," Other publications TiSEM d9918e8f-ebf3-4bb8-a999-d, Tilburg University, School of Economics and Management.
  25. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
  26. Guoshi Tong, 2017. "Market Timing under Limited Information: An Empirical Investigation in US Treasury Market," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 291-322, November.
  27. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
  28. Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017. "Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
  29. Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
  30. Fiteni, Inmaculada, 2004. "[tau]-estimators of regression models with structural change of unknown location," Journal of Econometrics, Elsevier, vol. 119(1), pages 19-44, March.
  31. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
  32. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
  33. Rossi, Barbara & Sekhposyan, Tatevik, 2011. "Understanding models' forecasting performance," Journal of Econometrics, Elsevier, vol. 164(1), pages 158-172, September.
  34. Sun, Yiguo & Hsiao, Cheng & Li, Qi, 2011. "Measuring correlations of integrated but not cointegrated variables: A semiparametric approach," Journal of Econometrics, Elsevier, vol. 164(2), pages 252-267, October.
  35. Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
  36. Abi Morshed, Alaa, 2017. "Three essays in applied macroeconomics and time series analysis," Other publications TiSEM f86e334b-edc8-4f46-8f91-7, Tilburg University, School of Economics and Management.
  37. Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017. "Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
  38. Sakata, Shinichi & White, Halbert, 2001. "S-estimation of nonlinear regression models with dependent and heterogeneous observations," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 5-72, July.
  39. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
  40. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
  41. Liu, Bingqi & Pang, Tianxiao & Cheng, Siang, 2024. "Estimation for generalized linear cointegration regression models through composite quantile regression approach," Finance Research Letters, Elsevier, vol. 65(C).
  42. J. Hambuckers & C. Heuchenne, 2017. "A robust statistical approach to select adequate error distributions for financial returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(1), pages 137-161, January.
  43. Carriero, Andrea & Giacomini, Raffaella, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Journal of Econometrics, Elsevier, vol. 164(1), pages 21-34, September.
  44. Arth Mishra, 2023. "The infrastructure catalyst: analysing the impact of development finance institutions on private infrastructure financing in developing countries," CSAE Working Paper Series 2023-13, Centre for the Study of African Economies, University of Oxford.
  45. Sei-Wan Kim & Moon Jung Choi, 2018. "Do Korean Exports Have Different Patterns over Different Regimes?: New Evidence from STAR-VECM," Working Papers 2018-30, Economic Research Institute, Bank of Korea.
  46. Lee, Kyootai & Jung, Hyun Ju, 2021. "Does TTO capability matter in commercializing university technology? Evidence from longitudinal data in South Korea," Research Policy, Elsevier, vol. 50(1).
  47. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
  48. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318.
  49. Erich Battistin & Richard Blundell & Arthur Lewbel, 2009. "Why Is Consumption More Log Normal than Income? Gibrat's Law Revisited," Journal of Political Economy, University of Chicago Press, vol. 117(6), pages 1140-1154, December.
  50. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  51. Chen, Mei-Yuan & Kuan, Chung-Ming, 2001. "Testing parameter constancy in models with infinite variance errors," Economics Letters, Elsevier, vol. 72(1), pages 11-18, July.
  52. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  53. Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
  54. Sei‐Wan Kim & Moon Jung Choi, 2020. "Does Trade Elasticity Vary Across Regimes? New Evidence from Korean Exports, Incorporating Regime Changes," Asian Economic Journal, East Asian Economic Association, vol. 34(4), pages 379-403, December.
  55. Jiafeng Chen & Xiaohong Chen & Elie Tamer, 2021. "Efficient Estimation in NPIV Models: A Comparison of Various Neural Networks-Based Estimators," Papers 2110.06763, arXiv.org, revised Oct 2022.
  56. 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.
  57. Sei‐Wan Kim & Moon Jung Choi & Young‐Min Kim, 2019. "Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region," Asian Economic Journal, East Asian Economic Association, vol. 33(3), pages 253-280, September.
  58. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  59. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
  60. Shin S. Ikeda, 2013. "A Note on the Mixingale Limit Theorem by McLeish (1977)," GRIPS Discussion Papers 13-11, National Graduate Institute for Policy Studies.
  61. Jean‐Jacques Forneron, 2023. "A Sieve‐SMM Estimator for Dynamic Models," Econometrica, Econometric Society, vol. 91(3), pages 943-977, May.
  62. Mohamed Salah Eddine Arrouch & Echarif Elharfaoui & Joseph Ngatchou-Wandji, 2023. "Change-Point Detection in the Volatility of Conditional Heteroscedastic Autoregressive Nonlinear Models," Mathematics, MDPI, vol. 11(18), pages 1-31, September.
  63. Betken, Annika & Dehling, Herold & Nüßgen, Ines & Schnurr, Alexander, 2021. "Ordinal pattern dependence as a multivariate dependence measure," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
  64. Fiteni, Inmaculada, 1998. "Robust estimation of structural break points," DES - Working Papers. Statistics and Econometrics. WS 10685, Universidad Carlos III de Madrid. Departamento de Estadística.
  65. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
  66. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
  67. He, Changli & Sandberg, Rickard, 2005. "Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change," SSE/EFI Working Paper Series in Economics and Finance 579, Stockholm School of Economics, revised 08 Feb 2005.
  68. repec:hal:journl:peer-00834423 is not listed on IDEAS
  69. repec:cuf:journl:y:2017:v:18:i:1:tong is not listed on IDEAS
  70. Oberhofer, Walter & Haupt, Harry, 2003. "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems 388, University of Regensburg, Department of Economics.
  71. Michel Harel & Joseph Ngatchou-Wandji & Livasoa Andriamampionona & Victor Harison, 2022. "Weak convergence of nonparametric estimators of the multidimensional and multidimensional-multivariate renewal functions on Skorohod topology spaces," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 485-504, October.
  72. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
  73. Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, vol. 5(1), pages 1-26, December.
  74. Yikang, Li, 1998. "Low-pass filtered least squares estimators of cointegrating vectors," Journal of Econometrics, Elsevier, vol. 85(2), pages 289-316, August.
  75. Daniel Borup & Martin Thyrsgaard, 2017. "Statistical tests for equal predictive ability across multiple forecasting methods," CREATES Research Papers 2017-19, Department of Economics and Business Economics, Aarhus University.
  76. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  77. Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
  78. Christis Katsouris, 2022. "Partial Sum Processes of Residual-Based and Wald-type Break-Point Statistics in Time Series Regression Models," Papers 2202.00141, arXiv.org, revised Feb 2022.
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