Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Guido M. Kuersteiner"'
Publikováno v:
Econometric Theory. 38:942-958
In this paper, we complement joint time-series and cross-section convergence results derived in a companion paper Hahn, Kuersteiner, and Mazzocco (2016, Central Limit Theory for Combined Cross-Section and Time Series) by allowing for serial correlati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::71a941e072b1f213828e66218f3fd8de
https://doi.org/10.1017/s0266466620000316
https://doi.org/10.1017/s0266466620000316
Publikováno v:
Journal of International Economics. 113:118-138
This paper investigates the effectiveness of sterilized foreign exchange interventions by exploiting a discontinuous policy rule used by the Central Bank of Colombia. We use a unique data set that comprises tick by tick intervention and order book da
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9299e7ee963b68f318fc6e2d0f7b3a51
https://doi.org/10.1016/j.jinteco.2018.04.003
https://doi.org/10.1016/j.jinteco.2018.04.003
Autor:
John C. Chao, Guido M. Kuersteiner
Publikováno v:
Empirical Economics. 55:7-16
This short note honors Ingmar Prucha’s many scientific contributions in econometrics and empirical economics. We conclude with a few more personal remarks.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::236e40a81fefc1a68c00a7df7b3cd395
https://doi.org/10.1007/s00181-017-1328-0
https://doi.org/10.1007/s00181-017-1328-0
Autor:
Guido M. Kuersteiner, Ingmar R. Prucha
This paper considers a class of generalized methods of moments (GMM) estimators for general dynamic panel models, allowing for weakly exogenous covariates and cross‐sectional dependence due to spatial lags, unspecified common shocks, and time‐var
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::342ed22ac5b2f2cd6ad8d466e3cf1571
Autor:
Guido M. Kuersteiner
Publikováno v:
Journal of Econometrics. 170:399-421
This paper analyzes the higher-order asymptotic properties of generalized method of moments (GMM) estimators for linear time series models using many lags as instruments. A data-dependent moment selection method based on minimizing the approximate me
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ed9693130e52d86ad0185b3c9761bfb3
https://doi.org/10.1016/j.jeconom.2012.05.013
https://doi.org/10.1016/j.jeconom.2012.05.013
Autor:
Jinyong Hahn, Guido M. Kuersteiner
Publikováno v:
Econometric Theory. 27:1152-1191
The fixed effects estimator of panel models can be severely biased because of well-known incidental parameter problems. It is shown that this bias can be reduced in nonlinear dynamic panel models. We consider asymptotics wherenandTgrow at the same ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::83854b3f84e3a0fbd1253fc3f3360a7d
https://doi.org/10.1017/s0266466611000028
https://doi.org/10.1017/s0266466611000028
Autor:
Jinyong Hahn, Guido M. Kuersteiner
Publikováno v:
Economics Letters. 107:105-111
We establish strict stationarity and strong mixing properties of the dynamic Tobit process. Using these results we show that the regularity conditions for bias corrections in general non-linear dynamic panel models are satisfied for the dynamic Tobit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::58773ea3386fd7f3ae4171d7f9f51dc9
https://doi.org/10.1016/j.econlet.2009.12.039
https://doi.org/10.1016/j.econlet.2009.12.039
Autor:
Guido M. Kuersteiner, Ryo Okui
Publikováno v:
Econometrica. 78:697-718
This paper considers model averaging as a way to construct optimal instruments for the two-stage least squares (2SLS), limited information maximum likelihood (LIML), and Fuller estimators in the presence of many instruments. We propose averaging acro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6c7e37aea428a8e0cc52e32d5be920ae
https://doi.org/10.3982/ecta7444
https://doi.org/10.3982/ecta7444
Autor:
Guido M. Kuersteiner
This paper considers functional central limit theorems for stationary absolutely regular mixing processes. Bounds for the entropy with bracketing are derived using recent results in Nickl and Potscher (2007). More specifically, their bracketing metri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52dca31c7b964f37ece8c145e9798b44