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The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models

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Cited by:

  1. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
  2. Juan Urquiza & Christian J. Murray, 2017. "Do Estimated Taylor Rules Suffer from Weak Identification?," Documentos de Trabajo 494, Instituto de Economia. Pontificia Universidad Católica de Chile..
  3. Nikolsko-Rzhevskyy, Alex & Papell, David H. & Prodan, Ruxandra, 2019. "The Taylor principles," Journal of Macroeconomics, Elsevier, vol. 62(C).
  4. Jun Ma & Charles R. Nelson, 2008. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Working Papers UWEC-2008-06-R, University of Washington, Department of Economics, revised Sep 2008.
  5. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
  6. Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(2), pages 287-333, April.
  7. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
  8. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
  9. Max Soloschenko & Enzo Weber, 2021. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 109-128, November.
  10. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978, Cowles Foundation for Research in Economics, Yale University.
  11. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  12. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
  13. Timothy Cogley & Richard Startz, 2019. "Robust Estimation of ARMA Models with Near Root Cancellation," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 133-155, Emerald Group Publishing Limited.
  14. Juan Urquiza, 2011. "Income Asymmetries and the Permanent Income Hypothesis," Documentos de Trabajo 409, Instituto de Economia. Pontificia Universidad Católica de Chile..
  15. Daisuke Nagakura & Masahito Kobayashi, 2009. "Testing The Sequential Logit Model Against The Nested Logit Model," The Japanese Economic Review, Japanese Economic Association, vol. 60(3), pages 345-361, September.
  16. Enzo Weber, 2011. "Analyzing U.S. Output and the Great Moderation by Simultaneous Unobserved Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1579-1597, December.
  17. Trypsteen, Steven, 2017. "The growth-volatility nexus: New evidence from an augmented GARCH-M model," Economic Modelling, Elsevier, vol. 63(C), pages 15-25.
  18. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
  19. Steven Trypsteen, 2014. "Cross-Country Interactions, the Great Moderation and the Role of Output Volatility in Growth," Discussion Papers 2014/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  20. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
  21. Pablo Guerrón-Quintana & Atsushi Inoue & Lutz Kilian, 2009. "Frequentist inference in weakly identified DSGE models," Working Papers 09-13, Federal Reserve Bank of Philadelphia.
  22. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
  23. Morley, James & Piger, Jeremy, 2008. "Trend/cycle decomposition of regime-switching processes," Journal of Econometrics, Elsevier, vol. 146(2), pages 220-226, October.
  24. Steven Trypsteen, 2014. "The Importance of a Time-Varying Variance and Cross-Country Interactions in Forecast Models," Discussion Papers 2014/15, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  25. Martin Vance L. & Sarkar Saikat & Kanto Antti Jaakko, 2014. "Modelling nonlinearities in equity returns: the mean impact curve analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 51-72, February.
  26. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
  27. Islas C., Alejandro & Cortez, Willy Walter, 2013. "An assessment of the dynamics between the permanent and transitory components of Mexico's output and unemployment," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
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