Incorporating lag order selection uncertainty in parameter inference for AR models
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- Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June.
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- John H. Huston & Roger W. Spencer, 2016. "The Wealth Effects of Quantitative Easing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 471-486, December.
- Leeb, Hannes & P tscher, Benedikt M., 2008.
"Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?,"
Cambridge University Press, vol. 24(02), pages 338-376, April.
- Hannes Leeb & Benedikt M. Potscher, 2003. "Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators?," Cowles Foundation Discussion Papers 1444, Cowles Foundation for Research in Economics, Yale University.
- Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany.
- Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
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