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Autor:
Seunghwa Rho, Timothy J. Vogelsang
Publikováno v:
Journal of Econometrics. 224:113-133
This paper proposes a long run variance estimator for conducting inference in time series regression models that combines the nonparametric approach with a cluster approach. The basic idea is to divide the time periods into non-overlapping clusters.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a55d9a3d0049c42485b0bc80dc3a57e9
https://doi.org/10.1016/j.jeconom.2020.07.037
https://doi.org/10.1016/j.jeconom.2020.07.037
Publikováno v:
Optics Express
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=r3c4b2081b22::7020261ba54eb980092ff5a99b23b19a
Reinforcement Learning Motivated Feedforward Control Approach for Disturbance Rejection and Tracking
Publikováno v:
2021 European Control Conference (ECC).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc9412f2e58abc166461da4408987647
https://doi.org/10.23919/ecc54610.2021.9655160
https://doi.org/10.23919/ecc54610.2021.9655160
Publikováno v:
Journal of Econometrics. 224:1-2
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::add21b51051faea6c98766c172dbcbbb
https://doi.org/10.1016/j.jeconom.2021.05.001
https://doi.org/10.1016/j.jeconom.2021.05.001
Autor:
Cheol-Keun Cho, Timothy J. Vogelsang
Publikováno v:
Econometrics, Vol 5, Iss 1, p 2 (2016)
This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonpa
Externí odkaz:
https://doaj.org/article/765ab77e7eaa49249f3a0cd83e95b035
Autor:
Willem J. Vogelsang
Publikováno v:
Encyclopaedia Iranica Online
Externí odkaz:
https://doi.org/10.1163/2330-4804_EIRO_COM_1990
Publikováno v:
Encyclopaedia Iranica Online
Externí odkaz:
http://dx.doi.org/10.1163/2330-4804_EIRO_COM_3014
Autor:
Timothy J. Vogelsang
Publikováno v:
Journal of Business & Economic Statistics. 36:569-573
Inference robust to variance and covariance features of the data has become the standard practice in empirical economics. Robust inference in the presence of heteroscedasticity is straightforward a...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::849e0f952c1c40d6dc806de132bb4fa3
https://doi.org/10.1080/07350015.2018.1497503
https://doi.org/10.1080/07350015.2018.1497503