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A bias–reduced log–periodogram regression estimator for the long–memory parameter

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DWK Andrews… - Econometrica, 2003 - Wiley Online Library
In this paper, we propose a simple bias–reduced log–periodogram regression estimator,^
dr, of the long–memory parameter, d, that eliminates the first–and higher–order biases of the
Geweke and Porter–Hudak (1983)(GPH) estimator. The bias–reduced estimator is the ...
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Generalized empirical likelihood estimators and tests under partial, weak, and strong identification

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P Guggenberger… - Econometric Theory, 2005 - Cambridge Univ Press
Abstract The purpose of this paper is to describe the performance of generalized empirical
likelihood (GEL) methods for time series instrumental variable models specified by nonlinear
moment restrictions as in Stock and Wright (2000, Econometrica 68, 1055–1096) when ...
Cited by 74 - Related articles - BL Direct - All 26 versions

VALIDITY OF SUBSAMPLING AND" PLUG-IN ASYMPTOTIC" INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES

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DWK Andrews… - Econometric Theory, 2009 - Cambridge Univ Press
The size results are quite general because they hold without specifying the particular form of
the moment conditions—only 2+ δ moments finite are required. The results allow for
independent and identically distributed (iid) and dependent observations and for ...
Cited by 54 - Related articles - All 12 versions

Hybrid and Size‐Corrected Subsampling Methods

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DWK Andrews… - Econometrica, 2009 - Wiley Online Library
This paper considers inference in a broad class of nonregular models. The models
considered are nonregular in the sense that standard test statistics have asymptotic
distributions that are discontinuous in some parameters. It is shown in Andrews and ...
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Asymptotic size and a problem with subsampling and with the m out of n bootstrap

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DWK Andrews… - Econometric Theory, 2010 - Cambridge Univ Press
This paper considers inference based on a test statistic that has a limit distribution that is
discontinuous in a parameter. The paper shows that subsampling and m out of n bootstrap
tests based on such a test statistic often have asymptotic size—defined as the limit of exact ...
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Generalized empirical likelihood tests in time series models with potential identification failure

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P Guggenberger… - Journal of Econometrics, 2008 - Elsevier
We introduce test statistics based on generalized empirical likelihood methods that can be
used to test simple hypotheses involving the unknown parameter vector in moment condition
time series models. The test statistics generalize those in Guggenberger and Smith [2005. ...
Cited by 38 - Related articles - All 11 versions

Applications of subsampling, hybrid, and size-correction methods

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DWK Andrews… - Journal of Econometrics, 2010 - Elsevier
This paper analyzes the properties of subsampling, hybrid subsampling, and size-correction
methods in two non-regular models. The latter two procedures are introduced in Andrews
and Guggenberger (2009a). The models are non-regular in the sense that the test ...
Cited by 28 - Related articles - All 17 versions

Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator

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P Guggenberger - Econometric Reviews, 2008 - Taylor & Francis
Comprehensive Monte Carlo evidence is provided that compares the finite sample
properties of generalized empirical likelihood (GEL) estimators to the ones of k-class
estimators in the linear instrumental variables (IV) model. We focus on sample median, ...
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Specification testing under moment inequalities

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P Guggenberger, J Hahn… - Economics Letters, 2008 - Elsevier
We provide a specification test for moment inequalities based on a dual characterization of
the moment inequalities. For linear moment inequalities, the test is the asymptotic version of
the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the ...
Cited by 18 - Related articles - All 10 versions

Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators

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DWK Andrews… - Journal of Econometrics, 2009 - Elsevier
Subsampling and the m out of n bootstrap have been suggested in the literature as methods
for carrying out inference based on post-model selection estimators and shrinkage
estimators. In this paper we consider a subsampling confidence interval (CI) that is based ...
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The impact of a Hausman pretest on the asymptotic size of a hypothesis test

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P Guggenberger - Econometric Theory, 2010 - Cambridge Univ Press
This paper investigates the asymptotic size properties of a two-stage test in the linear
instrumental variables model when in the first stage a Hausman (1978) specification test is
used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis ...
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Finite Sample Properties of the Two-Step Empirical Likelihood Estimator

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P Guggenberger… - Econometric Reviews, 2005 - Taylor & Francis
ABSTRACT We investigate the finite sample properties of two-step empirical likelihood (EL)
estimators. These estimators are shown to have the same third-order bias properties as EL
itself. The Monte Carlo study provides evidence that (i) higher order asymptotics fails to ...
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On the asymptotic size distortion of tests when instruments locally violate the exogeneity assumption

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P Guggenberger - Unpublished manuscript. Department of …, 2009 - Cambridge Univ Press
In the linear instrumental variables model with possibly weak instruments we derive the
asymptotic size of testing procedures when instruments locally violate the exogeneity
assumption. We study the tests by Anderson and Rubin (1949, The Annals of ...
Cited by 11 - Related articles - All 28 versions

[PDF] Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification

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P Guggenberger… - Unpublished manuscript, Department of …, 2004 - Citeseer
Abstract We introduce a general testing procedure in models with possible identification
failure that has exact asymptotic rejection probability under the null hypothesis. The
procedure is widely applicable and in this paper we apply it to tests of arbitrary linear ...
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The impact of a Hausman pretest on the size of a hypothesis test: The panel data case

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P Guggenberger - Journal of Econometrics, 2010 - Elsevier
The size properties of a two-stage test in a panel data model are investigated where in the
first stage a Hausman (1978) specification test is used as a pretest of the random effects
specification and in the second stage, a simple hypothesis about a component of the ...
Cited by 9 - Related articles - All 10 versions

The impact of a Hausman pretest on the size of hypothesis tests

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P Guggenberger - Cowles Foundation Discussion Paper No. …, 2008 - papers.ssrn.com
Abstract: This paper investigates the size properties of a two-stage test in the linear
instrumental variables model when in the first stage a Hausman (1978) specification test is
used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis ...
Cited by 8 - Related articles - All 27 versions

Bias-reduced log-periodogram and Whittle estimation of the long-memory parameter without variance inflation

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P Guggenberger… - Econometric Theory, 2006 - Cambridge Univ Press
The bias-reduced log-periodogram estimator ZdLP~ r!, r 1 of Andrews and Guggenberger~
2003, Econometrica 71, 675–712! for the long-memory parameter d in a stationary long-
memory time series reduces the asymptotic bias of the original log-periodogram estimator ...
Cited by 7 - Related articles - BL Direct - All 21 versions

[PDF] Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator

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P Guggenberger - Economics Bulletin, 2005 - econ.ucla.edu
Abstract Monte Carlo evidence is provided that suggests that the continuous updating
estimator might have a moment problem. Its performance in terms of sample median and
standard deviation is virtually identical to the one of the limited information maximum ...
Cited by 6 - Related articles - View as HTML - All 9 versions

[PDF] Generalized empirical likelihood tests under partial, weak, and strong identification

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P Guggenberger - 2002 - vwl.uni-mannheim.de
Abstract This paper introduces two new statistics to test hypotheses involving the structural
parameter vector in a linear instrumental variables model. The statistics are shown to have
χ2 asymptotic null distributions under partial, weak, and strong identification. Therefore, ...
Cited by 4 - Related articles - View as HTML - All 15 versions

Efficiency properties of labor taxation in a spatial model of restricted labor mobility

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P Guggenberger, A Kaul… - Regional Science and Urban …, 2002 - Elsevier
We examine the efficiency properties of labor taxation. A spatial model of an economy is
introduced whose key feature is a new approach to restricted labor mobility. We characterize
the efficient allocation of labor and properties of a decentralized equilibrium. An efficient ...
Cited by 4 - Related articles - Library Search - All 20 versions

[CITATION] Econometric essays on generalized empirical likelihood, long-memory time series, and volatility

P Guggenberger - 2003 - en.scientificcommons.org
Publikationsansicht. 31407705. Econometric essays on generalized empirical likelihood,
long-memory time series, and volatility / (2003). Guggenberger, Patrik. Abstract. Thesis (Ph.
D.)--Yale University, 2003. Details der Publikation. Download, http://worldcat.org/oclc/54619544. ...
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A conditional-heteroskedasticity-robust confidence interval for the autoregressive parameter

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D Andrews… - 2011 - papers.ssrn.com
Abstract: This paper introduces a new confidence interval (CI) for the autoregressive
parameter (AR) in an AR (1) model that allows for conditional heteroskedasticity of general
form and AR parameters that are less than or equal to unity. The CI is a modification of ...
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[CITATION] Finite Sample Properties of the 2-step Empirical Likelihood Estimator

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G Patrik… - Econometric Reviews, 2005
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[PDF] Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models

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FA Bugni, IA Canay… - 2010 - virginia.edu
Abstract This paper studies the behavior under local misspecification of several confidence
sets (CSs) commonly used in the literature on inference in moment inequality models. We
suggest the degree of asymptotic confidence size distortion as an alternative criterium to ...
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[PDF] Supplement to 'Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models'

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F Bugni, IA Canay… - Econometrica Supplemental …, 2011 - econ.duke.edu
Abstract This supplement contains the Lemmas (and their proofs) that are used in the proofs
of Theorems 3. 1 and 3.2 of the paper in Sections S1 and S2; the proof of Corollary 3.1 in
Section S2; a missing data example and Monte Carlo simulations in Section S3; the ...
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On the size distortion of tests after an overidentifying restrictions pretest

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P Guggenberger… - Journal of Applied Econometrics, 2010 - Wiley Online Library
In the linear instrumental variables model, we provide theoretical and Monte Carlo evidence
for the size distortion of a two-stage hypothesis test that uses a test of overidentifying
restrictions (OR) in the first stage. We derive a lower bound for the asymptotic size of the ...
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[CITATION] On The Asymptotic Size Distortion Of Tests When Instruments Locally Violate The Exogeneity Assumption

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P Guggenberger - Econometric Theory, 2000 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. In case of further problems read the IDEAS help page. Note that these files are
not on the IDEAS site. Please be patient as the files may be large.
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A note on the relation between local power and robustness to misspecification

P Guggenberger - Economics Letters, 2012 - Elsevier
Abstract A simple example is provided that shows that one test can strictly dominate another
test in both local power and its robustness to asymptotic size distortion under local model
misspecification, with both tests having asymptotic size equal to nominal size under ...
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Hybrid and size-corrected subsample methods (joint with DWK Andrews), June 2005, this version March 2007

P Guggenberger - UCLA Economics Online Papers - en.scientificcommons.org
Abstract Hybrid and Size Corrected Subsample Methods Donald Andrews Cowles
Foundation for Research Economics Yale University Patrik Guggenberger Department
Economics UCLA June Revised March Andrews gratefully acknowledges the research ...
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[PDF] On the Asymptotic Size of Subvector Tests in the Linear Instrumental Variables Model

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L Chen… - 2011 - econ.umd.edu
Abstract We calculate the asymptotic sizes of the subvector Anderson and Rubin (1949, AR)
and Lagrange Multiplier (LM) tests in a linear instrumental variables model with two right
hand side endogenous variables when the reduced form coeffi cient matrix is unrestricted. ...
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[PDF] Asymptotic Size Distortions in Locally Misspecified Moment Inequality Models

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FA Bugni, IA Canay… - 2010 - webmeets.com
Abstract This paper studies the behavior under local model misspecification of several tests
commonly used in the literature on inference in models defined by moment inequalities. We
compare across critical values and test statistics and show that all tests have asymptotic ...
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[CITATION] Subsampling Tests of Parameter Hypotheses and Overidentifying Restrictions with Possible Failure of Identification (with Michael Wolf)

P Guggenberger

[CITATION] Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation (joint with Yixiao Sun), accepted at …

P Guggenberger

[CITATION] Specification Testing under Moment Inequalities (joint with J. Hahn and K. Kim), 2006, revised April 2007

P Guggenberger - UCLA Economics Online Papers - econpapers.repec.org
... Please update your bookmarks. Specification Testing under Moment Inequalities (joint
with J. Hahn and K. Kim), 2006, revised April 2007. Patrik Guggenberger. No 381, UCLA
Economics Online Papers from UCLA Department of Economics. ...
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[CITATION] Finite-Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, accepted for publication, Econometric …

P Guggenberger - UCLA Economics Online Papers, 2006 - econpapers.repec.org
By Patrik Guggenberger; Finite-Sample Evidence Suggesting a Heavy Tail Problem of the
Generalized Empirical Likelihood Estimator, accepted for. ... Patrik Guggenberger. No 371, UCLA
Economics Online Papers from UCLA Department of Economics. ...
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Asymptotics for LS, GLS, and feasible GLS statistics in an AR (1) model with conditional heteroskedasticity

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DWK Andrews… - Journal of Econometrics, 2012 - Elsevier
Abstract We consider a first-order autoregressive model with conditionally heteroskedastic
innovations. The asymptotic distributions of least squares (LS), infeasible generalized least
squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS ...
Related articles - Get it from MIT Libraries - All 18 versions

[CITATION] Asymptotics for Stationary Very Nearly Unit Root Processes (joint with DWK Andrews), this version November 2006

P Guggenberger - UCLA Economics Online Papers - econpapers.repec.org
By Patrik Guggenberger; Asymptotics for Stationary Very Nearly Unit Root Processes (joint
with DWK Andrews), this version November 2006. ... Patrik Guggenberger. No 402, UCLA
Economics Online Papers from UCLA Department of Economics. ...
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On the Asymptotic Size of Subvector Tests in the Linear Instrumental Variables Model

P Guggenberger - 2011 - papers.ssrn.com
Abstract: We calculate the asymptotic sizes of the subvector Anderson and Rubin (1949, AR)
and Lagrange Multiplier (LM) tests in a linear instrumental variables model with two right
hand side endogenous variables when the reduced form coefficient matrix is unrestricted. ...
Related articles

Book Review: Identification and Inference for Econometric Models

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P Guggenberger - Econometric Reviews, 2009 - Taylor & Francis
The volume Identification and Inference for Econometric Models is an interesting and
instructive collection of first-rate articles which address four of the most active research areas
in econometrics. The volume contains 23 research articles by leading econometricians ...
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[CITATION] Applications of Subsampling, Hybrid, and Size-Correction Methods (joint with DWK Andrews), 2005, this version May 2007

P Guggenberger - UCLA Economics Online Papers - econpapers.repec.org
By Patrik Guggenberger; Applications of Subsampling, Hybrid, and Size-Correction Methods
(joint with DWK Andrews), 2005, this version May. ... Patrik Guggenberger. No 414, UCLA
Economics Online Papers from UCLA Department of Economics. ...
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Generalized Empirical Likelihood Tests in Time Series Models With Potential Identification Failure (joint with RJ Smith), accepted for publication, Journal of …

P Guggenberger - UCLA Economics Online Papers, 2005 - en.scientificcommons.org
Abstract Generalized Empirical Likelihood Tests Time Series Models With Potential Identi
cation Failure Patrik Guggenberger Department Economics A Richard Smith cemmap and
and Faculty Economics University Cambridge March Abstract introduce test statistics ...
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The limit of finite sample size and a problem with subsampling (joint with DWK Andrews), June 2005, this version March 2007

P Guggenberger - 2006 - en.scientificcommons.org
Abstract The Limit Finite Sample Size and Problem with Subsampling Donald Andrews
Cowles Foundation for Research Economics Yale University Patrik Guggenberger
Department Economics UCLA June Revised March Andrews gratefully acknowledges the ...
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