GMM Long-Run Variance Estimation via VAR Averaging

SSRN Electronic Journal ◽

10.2139/ssrn.3169808 ◽

2018 ◽

Author(s):

Jen-Che Liao

Keyword(s):

Variance Estimation ◽

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Bootstrap Variance Estimation of Nonlinear Functions of Parameters: An Application to Long-Run Elasticities of Energy Demand

Review of Economics and Statistics ◽

10.1162/003465399558445 ◽

1999 ◽

Vol 81 (4) ◽

pp. 728-733 ◽

Author(s):

Hongyi Li ◽

G. S. Maddala

Keyword(s):

Energy Demand ◽

Variance Estimation ◽

Nonlinear Functions ◽

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Long-run variance estimation for spatial data under change-point alternatives

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2015.04.005 ◽

2015 ◽

Vol 165 ◽

pp. 104-126 ◽

Author(s):

Béatrice Bucchia ◽

Christoph Heuser

Keyword(s):

Spatial Data ◽

Change Point ◽

Variance Estimation ◽

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A New Asymptotic Theory for Vector Autoregressive Long-Run Variance Estimation and Autocorrelation Robust Testing

SSRN Electronic Journal ◽

10.2139/ssrn.1714711 ◽

2010 ◽

Author(s):

Yixiao Sun ◽

David Kaplan

Keyword(s):

Asymptotic Theory ◽

Variance Estimation ◽

Vector Autoregressive ◽

Robust Testing ◽

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Multiscale inference and long-run variance estimation in non-parametric regression with time series errors

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/rssb.12347 ◽

2019 ◽

Vol 82 (1) ◽

pp. 5-37

Author(s):

Marina Khismatullina ◽

Michael Vogt

Keyword(s):

Time Series ◽

Variance Estimation ◽

Parametric Regression ◽

Long Run ◽

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Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2006.06.033 ◽

2007 ◽

Vol 137 (3) ◽

pp. 985-1023 ◽

Author(s):

Peter C.B. Phillips ◽

Yixiao Sun ◽

Sainan Jin

Keyword(s):

Variance Estimation ◽

Robust Regression ◽

Regression Testing ◽

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How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions

Economics Letters ◽

10.1016/j.econlet.2011.02.006 ◽

2011 ◽

Vol 111 (2) ◽

pp. 170-172 ◽

Author(s):

Masayuki Hirukawa

Keyword(s):

Simulation Study ◽

Variance Estimation ◽

Data Driven ◽

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A theory of robust long-run variance estimation

Journal of Econometrics ◽

10.1016/j.jeconom.2007.01.019 ◽

2007 ◽

Vol 141 (2) ◽

pp. 1331-1352 ◽

Author(s):

Ulrich K. Müller

Keyword(s):

Variance Estimation ◽

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Airplane Crash Survivors Found to be in Better Mental Health Than Non-Crash Air Travelers in the Long Run, Study Finds

PsycEXTRA Dataset ◽

10.1037/e367742004-001 ◽

2013 ◽

Author(s):

Keyword(s):

Mental Health ◽

Airplane Crash ◽

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The Long-Run Accuracy of Heuristics: Covariation Assessment, Bayesian Inference, and Hypothesis Testing

PsycEXTRA Dataset ◽

10.1037/e616342011-042 ◽

1991 ◽

Author(s):

Craig R. M. McKenzie

Keyword(s):

Bayesian Inference ◽

Hypothesis Testing ◽

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In the long run, it is not solely how you play the game, but also whether you win or lose

PsycEXTRA Dataset ◽

10.1037/e640932009-011 ◽

2004 ◽

Author(s):

Jan L. Swartzentruber

Keyword(s):

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