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Uniform inference in autoregressive models

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A Mikusheva - Econometrica, 2007 - Wiley Online Library
The purpose of this paper is to provide theoretical justification for some existing methods for
constructing confidence intervals for the sum of coefficients in autoregressive models. We
show that the methods of Stock (1991), Andrews (1993), and Hansen (1999) provide ...
Cited by 47 - Related articles - BL Direct - All 19 versions

[PDF] Tests and confidence sets with correct size when instruments are potentially weak

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A Mikusheva… - Stata Journal, 2006 - econ.uzh.ch
Abstract. We consider inference in the linear regression model with one endogenous
variable and potentially weak instruments. We construct confidence sets for the coefficient
on the endogenous variable by inverting the Anderson–Rubin, Lagrange multiplier, and ...
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Robust confidence sets in the presence of weak instruments

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A Mikusheva - Journal of Econometrics, 2010 - Elsevier
This paper considers instrumental variable regression with a single endogenous variable
and the potential presence of weak instruments. I construct confidence sets for the coefficient
on the single endogenous regressor by inverting tests robust to weak instruments. I ...
Cited by 9 - Related articles - All 15 versions

Maximum likelihood inference in weakly identified DSGE models

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I Andrews… - Unpublished manuscript, Department of …, 2011 - papers.ssrn.com
Abstract: This paper examines the problem of weak identification in maximum likelihood,
motivated by problems with estimation and inference a multi-dimensional, non-linear DSGE
model. We suggest a test for a simple hypothesis concerning the full parameter vector ...
Cited by 3 - Related articles - All 6 versions

One‐Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root

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A Mikusheva - Econometrica, 2012 - Wiley Online Library
This paper examines the problem of testing and confidence set construction for one-
dimensional functions of the coefficients in autoregressive (AR (p)) models with potentially
persistent time series. The primary example concerns inference on impulse responses. A ...
Cited by 3 - Related articles - All 8 versions

Uniform inferences in econometrics

A Mikusheva - 2007 - gradworks.umi.com
The first essay provides theoretical justification for some existing methods of constructing confidence
intervals for the sum of coefficients in autoregressive models. I show that the methods of Stock
(1991), Andrews (1993), and Hansen (1998) provide asymptotically valid confidence ...
Cited by 1 - Related articles - Cached - Library Search

Information Revelation and Efficiency in Auctions

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K Sonin… - 2009 - dspace.cigilibrary.org
We study the impact of information revelation on efficiency in auctions. In a constrained-
efficient mechanism, ie a mechanism that is efficient subject to the incentivecompatibility
constraint, any additional information available to bidders increases the expected ...
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DP3675 Information Revelation and Efficiency in Auctions

A Mikusheva… - 2002 - temporaryaddress.cepr.org
We study the impact of information revelation on efficiency in auctions. In a constrained-
efficient mechanism, ie a mechanism that is efficient subject to the incentive-compatibility
constraint, any additional information available to bidders increases the expected ...
Cached - All 4 versions

Corrigendum to “Uniform Inference in Autoregressive Models”

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A Mikusheva - Econometrica, 2010 - Wiley Online Library
... Corrigendum to “Uniform Inference in Autoregressive Models”. Anna Mikusheva. Article first
published online: 12 OCT 2010. DOI: 10.3982/ECTA9351. ... Get PDF (33K). More content like this.
Find more content: like this article. Find more content written by: Anna Mikusheva. ...
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