H White - Econometrica: Journal of the Econometric Society, 1980 - JSTOR
This paper presents a parameter covariance matrix estimator which is consistent even when
the disturbances of a linear regression model are heteroskedastic. This estimator does not
depend on a formal model of the structure of the heteroskedasticity. By comparing the ...
H White - Econometrica: Journal of the Econometric Society, 1982 - JSTOR
This paper examines the consequences and detection of model misspecification when using
maximum likelihood techniques for estimation and inference. The quasi-maximum likelihood
estimator (OMLE) converges to a well defined limit, and may or may not be consistent for ...
H White - Econometrica, 2000 - Wiley Online Library
Data snooping occurs when a given set of data is used more than once for purposes of
inference or model selection. When such data reuse occurs, there is always the possibility
that any satisfactory results obtained may simply be due to chance rather than to any merit ...
Abstract We examine several modified versions of the heteroskedasticity-consistent
covariance matrix estimator of Hinkley (1977) and White (1980). On the basis of sampling
experiments which compare the performance of quasi t-statistics, we find that one ...
R Sullivan, A Timmermann… - The journal of Finance, 1999 - Wiley Online Library
In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to
evaluate simple technical trading rules while quantifying the data-snooping bias and fully
adjusting for its effect in the context of the full universe from which the trading rules were ...
TH Lee, H White… - Journal of Econometrics, 1993 - Elsevier
Abstract In this paper a new test, the neural network test for neglected nonlinearity, is
compared with the Keenan test, the Tsay test, the White dynamic information matrix test, the
McLeod-Li test, the Ramsey RESET test, the Brock-Dechert-Scheinkman test, and the ...
R Giacomini… - Econometrica, 2006 - Wiley Online Library
We propose a framework for out-of-sample predictive ability testing and forecast selection
designed for use in the realistic situation in which the forecasting model is possibly
misspecified, due to unmodeled dynamics, unmodeled heterogeneity, incorrect functional ...
CM Kuan… - Econometric Reviews, 1994 - Taylor & Francis
Artificial neural networks are a class of input-output models developed by cognitive
scientists interested in understanding how computation is performed by the brain. These
networks are capable of learning through a process of trial and error. In econometric terms ...
H White… - Econometrica: Journal of the Econometric Society, 1984 - JSTOR
This paper provides general conditions which ensure consistency and asymptotic normality
for the nonlinear least squares estimator. These conditions apply to time-series, cross-
section, panel, or experimental data for single equations as well as systems of equations. ...
H White - International Economic Review, 1980 - JSTOR
(1) Yi= g (Zi)+ pi n are frequently encountered, where Yi is a dependent variable which one
is interested in explaining, g (Z,) is an unknown function of the independent variable Zi
(which may in general be a vector), and eP is a random variable with E (s1)= 0, E (-)= U2, ...
JG MacKinnon, H White… - Journal of Econometrics, 1983 - Elsevier
Abstract In Davidson and MacKinnon (1981), two of the present authors proposed a novel
and very simple procedure for testing the specification of a nonlinear regression model
against the evidence provided by a non-nested alternative. In this paper we extend their ...
H White - Econometrica: Journal of the Econometric Society, 1982 - JSTOR
As yet, the theory of instrumental variables (IV) estimation is not applicable to data from a
stratified cross section (eg, census data) since the moment matrices need not converge. This
study provides general conditions for the consistency and asymptotic normality of the IV ...
NR Swanson… - Review of Economics and Statistics, 1997 - MIT Press
We take a model selection approach to the question of whether a class of adaptive
prediction models (artificial neural networks) is useful for predicting future values of nine
macroeconomic variables. We use a variety of out-of-sample forecast-based model ...
MB Stinchcombe… - Econometric theory, 1998 - Cambridge Univ Press
The nonparametric and the nuisance parameter approaches to consistently testing statistical
models are both attempts to estimate topological measures of distance between a
parametric and a nonparametric fit, and neither dominates in experiments+ This ...
NR Swanson… - Journal of Business & Economic Statistics, 1995 - JSTOR
We take a model-selection approach to the question of whether forward-interest rates are
useful in predicting future spot rates, using a variety of out-of-sample forecast-based model-
selection criteria--forecast mean squared error, forecast direction accuracy, and forecast- ...
CSJ Chu, M Stinchcombe… - Econometrica: Journal of the …, 1996 - JSTOR
Contemporary tests for structural change deal with detections of the" one-shot" type: given
an historical data set of fixed size, these tests are designed to detect a structural break within
the data set. Due to the law of the iterated logarithm, one-shot tests cannot be applied to ...
CY Sin… - Journal of Econometrics, 1996 - Elsevier
We consider penalized likelihood criteria for selecting models of dependent processes. The
models may be strictly nested, overlapping or nonnested, linear or nonlinear, and correctly
specified or misspecified. We provide sufficient conditions on the penalty to guarantee the ...
NR Swanson… - International Journal of Forecasting, 1997 - Elsevier
Nine macroeconomic variables are forecast in a real-time scenario using a variety of flexible
specification, fixed specification, linear, and nonlinear econometric models. All models are
allowed to evolve through time, and our analysis focuses on model selection and ...
Y Hong… - Econometrica: Journal of the Econometric Society, 1995 - JSTOR
This paper proposes two consistent one-sided specification tests for parametric regression
models, one based on the sample covariance between the residual from the parametric
model and the discrepancy between the parametric and nonparametric fitted values; the ...
H White - Econometrica: Journal of the Econometric Society, 1980 - JSTOR
The assumption most appropriate for nonlinear relationships estimated on stratified cross-
section data (eg, the Current Population Surveys) is that of independent not identically
distributed (inid) regressors, not fixed regressors. This study provides conditions which ...
CWJ Granger, ML King… - Journal of Econometrics, 1995 - Elsevier
This paper outlines difficulties with testing economic theories, particularly that the theories
may be vague, may relate to a decision interval different from the observation period, and
may need a metric to convert a complicated testing situation to an easier one. We argue ...
DN Politis… - Econometric Reviews, 2004 - Taylor & Francis
Abstract We review the different block bootstrap methods for time series, and present them in
a unified framework. We then revisit a recent result of Lahiri [Lahiri, SN (1999b). Theoretical
comparisons of block bootstrap methods, Ann. Statist. 27: 386–404] comparing the ...
I Domowitz… - Journal of Econometrics, 1982 - Elsevier
Abstract General results are given in this paper which allow the development of a theory of
estimation and inference for situations in which the model of a data-generating process has
been misspecified. Observations may come from time-series, cross-section, panel, or ...
R Sullivan, A Timmermann… - Journal of Econometrics, 2001 - Elsevier
Economics is primarily a non-experimental science. Typically, we cannot generate new data
sets on which to test hypotheses independently of the data that may have led to a particular
theory. The common practice of using the same data set to formulate and test hypotheses ...
TH Kim… - Finance Research Letters, 2004 - Elsevier
For both the academic and the financial communities it is a familiar stylized fact that stock
market returns have negative skewness and severe excess kurtosis. This stylized fact has
been supported by a vast collection of empirical studies. Given that the conventional ...
Building on work of McLeish [14, 15], we present a number of invariance principles for
doubly indexed arrays of stochastic processes which may exhibit considerable dependence,
heterogeneity, and/or trending moments. In particular, we consider possibly time-varying ...
H White - Advances in econometrics, Fifth world congress, 1987 - books.google.com
In this chapter we present a unified theory of specification testing that applies to a broad
range of the data, model, and estimator configurations likely to be met in econometric
practice. The abstract results are applied to obtain specification tests based on maximum- ...
H White… - Journal of the American Statistical Association, 1980 - JSTOR
This study provides conditions under which several well-known and easily computable
statistics for testing nonnormality (√ b1, b2, D, W', W) can be modified for large-sample use
in the classical linear regression framework by replacing the true stochastic error with the ...
S Sakata… - Econometrica, 1998 - JSTOR
We show that quasi-maximum likelihood (QML) estimators for conditional dispersion models
can be severely affected by a small number of outliers such as market crashes and rallies,
and we propose new estimation strategies (the two-stage Hampel estimators and two- ...
CSJ Chu… - Journal of Business & Economic Statistics, 1992 - JSTOR
We consider tests for changing trend that do not require prior knowledge about the location
of the changepoint. The limiting distribution is derived from the functional central limit
theorem and the critical value from the hitting probability of a Brownian bridge. Applying a ...
H White - Journal of Econometrics, 1982 - Elsevier
Abstract In this article, we provide for the first time general regularity conditions and a
rigorous proof of the asymptotic normality of Cox's statistic for testing separate families of
hypotheses. The Cox test for choosing between competing linear regression models is ...
Y Hong… - Econometrica, 2005 - Wiley Online Library
Entropy is a classical statistical concept with appealing properties. Establishing asymptotic
distribution theory for smoothed nonparametric entropy measures of dependence has so far
proved challenging. In this paper, we develop an asymptotic theory for a class of kernel- ...
CWJ Granger, H White… - Journal of Econometrics, 1989 - Elsevier
Abstract In this paper we explore techniques for obtaining interval forecasts based on
estimated time-series models for processes which may exhibit autoregressive conditional
heteroskedasticity (ARCH). To deal with the available variety of possible interval forecasts, ...
S Gonçalves… - Journal of Econometrics, 2004 - Elsevier
We provide a unified framework for analyzing bootstrapped extremum estimators of
nonlinear dynamic models for heterogeneous dependent stochastic processes. We apply
our results to the moving blocks bootstrap of Künsch (Ann. Stat. 17 (1989) 1217) and Liu ...
CI Plosser, GW Schwert… - International Economic Review, 1982 - JSTOR
One of the most difficult problems in applied econometrics is to determine when an
econometric model is correctly specified. Although there are many types of misspecification,
this paper is concerned with specification errors that lead to biased or inconsistenit ...
M Plutowski, S Sakata… - training (as training can be faster …, 1994 - plutowski.com
Abstract Integrated Mean Squared Error (IMSE) is a version of the usual mean squared error
criterion, averaged over all possible training sets of a given size. If it could be observed, it
could be used to determine optimal network complexity or optimal data subsets for e cient ...
C Bates… - Econometric Theory, 1985 - Cambridge Univ Press
Abstract We present a general theory of consistent estimation for possibly misspecified
parametric models based on recent results of Domowitz and White. This theory extends the
unification of Burguete, Gallant, and Souza by allowing for heterogeneous, time- ...
H White… - Nonparametric and semiparametric …, 1991 - books.google.com
In recent years, there has been a dramatic increase in interest among econometricians in
semiparametric and nonparametric methods of estimation (see for example the recent
excellent survey of Robinson 1988). Much of this interest stems from a growing realization ...
T Perez‐Amaral, GM Gallo… - Oxford Bulletin of …, 2003 - Wiley Online Library
A new method, called Relevant Transformation of the Inputs Network Approach is proposed
as a tool for model building. It is designed around flexibility (with nonlinear transformations
of the predictors of interest), selective search within the range of possible models, out-of- ...
TH Kim… - 2003 - emeraldinsight.com
Abstract: To date, the literature on quantile regression and least absolute deviation
regression has assumed either explicitly or implicitly that the conditional quantile regression
model is correctly specified. When the model is misspecified, confidence intervals and ...
CM Kuan… - Econometrica: Journal of the Econometric Society, 1994 - JSTOR
We provide a convergence theory for adaptive learning algorithms useful for the study of
learning by economic agents. Our results extend the framework of Ljung (1977) previously
utilized by Marcet-Sargent (1989a, b) and Woodford (1990), by permitting nonlinear laws ...
L Su… - Econometric Theory, 2008 - Cambridge Univ Press
We propose a nonparametric test of conditional independence based on the weighted
Hellinger distance between the two conditional densities, f~ y6x, z! and f~ y6x!, which is
identically zero under the null+ We use the functional delta method to expand the test ...
V Corradi, NR Swanson, H White… - Journal of …, 2000 - directory.umm.ac.id
Abstract In this paper we introduce a class of nonlinear data generating processes (DGPs)
that are" rst order Markov and can be represented as the sum of a linear plus a bounded
nonlinear component. We use the concepts of geometric ergodicity and of linear ...
H White - Handbook of Economic Forecasting, 2006 - Elsevier
Abstract We review key aspects of forecasting using nonlinear models. Because economic
models are typically misspecified, the resulting forecasts provide only an approximation to
the best possible forecast. Although it is in principle possible to obtain superior ...
R Sullivan, A Timmermann… - 1998 - escholarship.org
ABSTRACT Economics is primarily a non-experimental science. Typically, we cannot
generate new data sets on which to test hypotheses independently of the data that may have
led to a particular theory. The common practice of using the same data set to formulate ...
JS Cho… - Econometrica, 2007 - Wiley Online Library
We analyze use of a quasi-likelihood ratio statistic for a mixture model to test the null
hypothesis of one regime versus the alternative of two regimes in a Markov regime-switching
context. This test exploits mixture properties implied by the regime-switching process, but ...
L Olson, H White… - The Journal of Political Economy, 1979 - JSTOR
This study demonstrates a tractable method for analyzing schooling investment with risky
incomes. Constant relative risk aversion is assumed, and borrowing in a rudimentary capital
market is allowed. A linear, variance-components model on log (real income) is estimated. ...
X Chen… - Journal of Economic Theory, 1998 - Elsevier
Recently macroeconomists and game theorists have dropped the mutual consistency
assumption for rational expectations equilibrium (REE) or Nash equilibrium (NE),
considering instead plausible adaptive agent learning behaviors yielding “sensible” REE ...
L Su… - Journal of Econometrics, 2007 - Elsevier
Y is conditionally independent of Z given X if Pr {f (y| X, Z)= f (y| X)}= 1 for all y on its support,
wheref (·|·) denotes the conditional density of Y given (X, Z) or X. This paper proposes a
nonparametric test of conditional independence based on the notion that two conditional ...
K Messer… - Oxford Bulletin of Economics and …, 1984 - Wiley Online Library
Į2= diag (u,..., is unbiased and efficient. However, if our'knowledge'of the variances u is
erroneous, the GLS estimator may be less efficient than OLS. And if the variances a are
unknown, then the GLS estimator is not available. For these reasons, it is useful to have ...
RF Engle… - 1999 - econpapers.repec.org
The book is a collection of essays in honour of Clive Granger. The chapters are by some of
the world'leading econometricians, all of whom have collaborated with or studied with (or
both) Clive Granger. Central themes of Grangers work are reflected in the book with ...
K Chalak… - Canadian Journal of Economics/Revue …, 2011 - Wiley Online Library
Abstract We examine how structural systems can yield observed variables instrumental in
identifying and estimating causal effects. We provide an exhaustive characterization of
potentially identifying conditional exogeneity relationships and demonstrate how structural ...
S Gonçalves… - Econometric Theory, 2002 - Cambridge Univ Press
Presently, conditions ensuring the validity of bootstrap methods for the sample mean of~
possibly heterogeneous! near epoch dependent~ NED! functions of mixing processes are
unknown+ Here we establish the validity of the bootstrap in this context, extending the ...
L Su… - 2003 - escholarship.org
Abstract: Let f (y| x, z)(resp. f (y| x) be the conditional density of Y given (X, Z)(resp. X). We
construct a class ofsmoothedempirical likelihood-based tests for the conditional
independence hypothesis: Pr [f (Y| X, Z)= f (Y| X)]= 1. We show that the test statistics are ...
H White - Journal of Econometrics, 2006 - Elsevier
This paper builds on the labor econometrics and classical treatment effects literatures to
provide a framework supporting causal concepts and methods for estimating effects of
natural experiments operating over time in an explicitly dynamic time-series context. We ...
MB Stinchcombe… - The Review of Economic …, 1992 - restud.oxfordjournals.org
Abstract We consider the question,“Under what conditions is the extremum of a random
function over a random set itself a random object?” The answer is relevant to problems in
both game theory and econometrics, as we illustrate with examples. Our purpose here is ...
A Patton, DN Politis… - Econometric Reviews, 2009 - Taylor & Francis
Politis and White (20044. Politis , DN , White , H. ( 2004 ). Automatic block-length selection for
the dependent bootstrap . Econometric Reviews 23 ( 1 ): 53 – 70 . [Taylor & Francis Online] View
all references) reviewed the problem of (nonparametric) bootstrapping for time series, ...
H White… - UCSD Department of Economics Discussion Paper, 2006 - Citeseer
Abstract This paper unifies three complementary approaches to defining, identifying, and
estimating causal effects: the classical structural equations approach of the Cowles
Commision; the treatment effects framework of Rubin (1974) and Rosenbaum and Rubin ( ...
S Sakata… - Journal of econometrics, 2001 - Elsevier
In time series regression, where a single outlier can appear in the regressor vector multiple
times due to the presence of lagged variables, resistance of an estimator to outliers is of
serious concern. We show that the high resistance of S-estimators in cross section ...
CE Bates… - Econometric Theory, 1993 - Cambridge Univ Press
We give a straightforward condition sufficient for determining the minimum asymptotic
variance estimator in certain classes of estimators relevant to econometrics. These classes
are relatively broad, as they include extremum estimation with smooth or nonsmooth ...
TH Kim… - Journal of the American Statistical Association, 2001 - ASA
We explore the extension of James-Stein-type estimators in a direction that enables them to
preserve their superiority when the sample size goes to infinity. Instead of shrinking a base
estimator toward a fixed point, we shrink it toward a data-dependent point. We provide an ...
WA Barnett, ER Berndt… - 2005 - books.google.com
This book brings together presentations of some of the fundamental new research that has
begun to appear in the areas of dynamic structural modeling, nonlinear structural modeling,
time series modeling, nonparametric inference, and chaotic attractor inference. The ...
R Giacomini, A Gottschling, C Haefke… - Journal of Econometrics, 2008 - Elsevier
We explore convenient analytic properties of distributions constructed as mixtures of scaled
and shifted t-distributions. Particularly desirable for econometric applications are closed-
form expressions for antiderivatives (eg, the cumulative density function). We illustrate the ...
TH Kim, H White… - Journal of Financial Econometrics, 2005 - Oxford Univ Press
Abstract Sharpe-style regression has become a widely used analytic tool in the financial
community. The style regression allows one to investigate such interesting issues as style
composition, style sensitivity, and style change over time. All previous methods to obtain ...
P Bertail, C Haefke, DN Politis… - Journal of Econometrics, 2004 - Elsevier
In this paper we propose a subsampling estimator for the distribution of statistics diverging at
either known or unknown rates when the underlying time series is strictly stationary and
strong mixing. Based on our results we provide a detailed discussion of how to estimate ...
S Hoderlein… - Boston College Working Papers in …, 2009 - maxwell.syr.edu
Abstract This paper is concerned with extending the familiar notion of fixed effects to
nonlinear setups with infinite dimensional unobservables like preferences. The main result
is that a generalized version of differencing identifies local average structural derivatives ( ...
H White… - Journal of Financial Econometrics, 2010 - Oxford Univ Press
Abstract Using a generally applicable dynamic structural system of equations, we give
natural definitions of direct and total structural causality applicable to both structural vector
autoregressions (VARs) and recursive structures representing time-series natural ...
[CITATION] A heteroscedasticity consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica, 48, 817-838
H White - International Journal of Economics and Finance, 1980
[CITATION] VAn Extended Class of Instrumental Variables for the Estimation of Causal Effects
K Chalak… - V Canadian Journal of Economics, 2011
K Chalak… - UCSD Department of Economics Discussion Paper, 2007 - Citeseer
Abstract We study the interrelations between (conditional) independence and causal rela $
tions in settable systems. We provide definitions in terms of functional dependence for direct,
indirect, and total causality as well as for (indirect) causality via and ex# clusive of a set of ...
H White… - V UCSD Department of Economics Discussion …, 2008 - fmwww.bc.edu
Abstract This paper demonstrates the extensive scope of an alternative to standard
instrumental variables methods, namely covariate&based methods, for identifying and es&
timating effects of interest in general structural systems. As we show, commonly used ...
S Schennach, H White… - V UCSD Department of …, 2007 - eea-esem.com
Abstract We study nonparametric estimators of derivative ratio $ based average marginal
effects of an endogenous cause, X, on a response of interest, Y, for a system of recursive
structural equations. The system need not exhibit linearity, separability, or monotonicity. ...
H White… - Applied Economics, 1974 - Taylor & Francis
The hypothesis is advanced that if imports are increasingly sensitive to demand pressure in
particular markets an economy's level of imports will depend not only on the aggregate
pressure of demand but also on the distribution of demand across markets. A model is ...
K Chalak… - UCSD Department of Economics discussion paper, 2007 - cide.info
Abstract: We study the structural identification of causal effects with conditioning instruments
within the settable system framework. In particular, we provide causal and predictive
conditions sufficient for conditional exogeneity to hold. We provide two procedures based ...
[CITATION] Information criteria for selecting possibly misspecified parametric models
CY Sin… - University of California at …, 1992 - Department of Economics, UC San …
H White… - Review of Economics and Statistics, 2011 - MIT Press
Abstract Careful examination of the structure determining treatment choice and outcomes, as
advocated by Heckman (2008), is central to the design of treatment effect estimators and, in
particular, proper choice of covariates. Here, we demonstrate how causal diagrams ...
RP Lieli… - Journal of Econometrics, 2010 - Elsevier
We examine the econometric implications of the decision problem faced by a profit/utility-
maximizing lender operating in a simple “double-binary” environment, where the two actions
available are “approve” or “reject”, and the two states of the world are “pay back” or “ ...
H White - Econometrica, 1983 - webkuliah.unimedia.ac.id
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions
of Use, available at http://www. jstor. org/about/terms. html. JSTOR's Terms and Conditions
of Use provides, in part, that unless you have obtained prior permission, you may not ...
H White - Econometric Reviews, 1984 - Taylor & Francis
where s is the gradient of the log-likelihood function (the score) for observation XI, and c is a
consistent estimator for yo, the" true" parameter, where PIXl,< x]-F (x; yo). For simplicity and
clarity we momentarily ignore consideration of nuisance parameters. When the model is ...
JS Cho… - Journal of econometrics, 2010 - Elsevier
We examine the use of the likelihood ratio (LR) statistic to test for unobserved heterogeneity
in duration models, based on mixtures of exponential or Weibull distributions. We consider
both the uncensored and censored duration cases. The asymptotic null distribution of the ...
CSJ Chu… - University of California at San Diego, …, 1991 - en.scientificcommons.org
Publication View. 33989698. Testing for Structural Change in Some Simple
Time Series Models. Chia-Shang James Chu,; Halbert White. Publication
details. Repository, RePEc (Germany). Type, preprint. ...
H White… - Journal of Econometrics, 1981 - Elsevier
Abstract This paper provides new evidence on the conditional distributions of earnings,
wages and hours for white and black males in the University of Michigan's Panel Study of
Income Dynamics. Conditional hours and ln wages are approximately normal for both ...
H White… - UCSD Department of Economics Discussion …, 2006 - econ.ucsd.edu
ABSTRACT This paper unifies three complementary approaches to defining, identifying, and
estimating causal effects: the classical structural equations approach of the Cowles
Commision; the treatment effects framework of Rubin (1974) and Rosenbaum and Rubin ( ...
H White… - Journal of Time Series Econometrics, 2011 - degruyter.com
Even though the trend components of economic time series were among the first to be
distinguished, even today the trend remains relatively little understood. As Phillips (2005)
notes, no one understands trends, but everyone sees them in the data. Economists and ...
P Bertail, C Haefke, DN Politis… - 2000 - escholarship.org
Abstract: In this paper we propose a subsampling estimator for the distribution of statistics
diverging at either known or unknown rates when the underlying time series is strictly
stationary and strong mixing. Based on our results we provide a detailed discussion how ...
H White, P Kennedy… - The Methodology and …, 2009 - books.google.com
This chapter studies methods for retrospectively estimating the causal effects of arbitrary
interventions to dynamic economic systems, extending the work of White (2006), where the
focus was on methods for estimating the effects of natural experiments, eg a regime shift. ...
[CITATION] Specification Tests for the Tobit Model
H White - 1979 - Discussion Paper
A Kane, TH Kim… - 2003 - weber.ucsd.edu
Abstract: The performance of active portfolio methods critically depends on the forecasting
ability of the security analyst. The Treynor-Black model provides an efficient way of
implementing active investment strategy. Despite its potential benefits, the Treynor-Black ...
LC Thurow… - Econometrica: Journal of the Econometric Society, 1976 - JSTOR
This paper develops a simulation model to study the income distribution effects--total and
factorial-of optimum restrictions on the flows of factors and products across national
boundaries. Imposing both optimum tariffs and optimum taxes on factor flows allows an ...
H White… - V UCSD Department of Economics …, 2010 - asian-studies.uci.edu
Abstract A common exercise in empirical studies is a Vrobustness check, V where the
researcher examines how certain VcoreV regression coeffi cient estimates behave when the
regression specification is modified by adding or removing regressors. If the coeffi cients ...
[CITATION] Efficient estimation of parametric models
C Bates… - 1985
[CITATION] A modified heteroskedasticity consistent covariance matrix estimator with improved finite sample properties
H White, TH Kim… - ECB Working Paper No. 957, 2008 - papers.ssrn.com
Abstract: Engle and Manganelli (2004) propose CAViaR, a class of models suitable for
estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their
approach to the estimation of Value at Risk, but this is only one of many possible ...
[CITATION] Using Nonlinear Least Squares to Approximate Unknown Regression Functions
H White - University of Rochester Department of Economics …, 1978
[CITATION] oAn Extended Class of Instrumental Variables for the Estimation of Causal Effects. pUCSD Department of Economics Discussion Paper
S Schennach, H White… - Journal of Econometrics, 2011 - Elsevier
We study the scope of local indirect least squares (LILS) methods for nonparametrically
estimating average marginal effects of an endogenous cause X on a response Y in
triangular structural systems that need not exhibit linearity, separability, or monotonicity in ...
[CITATION] oApproximate Nonlinear Forecasting Methods, pin G Elliott, CWJ Granger, and A Timmermann, eds, Handbook of Economics Forecasting
H White - New York: Else% vier, 2006
[CITATION] PA Heteroskedasticity Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity, Q Econometrica 48, 817 838
H White - Further assumptions of the Probability Approach, 1980
C Stomberg… - 2000 - papers.ssrn.com
Abstract: In this paper we provide considerable Monte Carlo evidence on the finite sample
performance of several alternative forms of White? s [1982] IM test. Using linear regression
and probit models, we extend the range of previous analysis in a manner that reveals new ...
[CITATION] Maximum likelihood estimation of misspecified model
W Halbert - Econometrica, 1982
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