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Douglas Gardiner Steigerwald

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Steigerwald, Douglas G & Bostwick, Valerie K, 2012. "Obtaining Critical Values for Test of Markov Regime Switching," University of California at Santa Barbara, Economics Working Paper Series qt3685g3qr, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Konstantinos Angelopoulos & Spyridon Lazarakis & Rebecca Mancy & Max Schroeder, 2021. "Pandemic-Induced Wealth and Health Inequality and Risk Exposure," CESifo Working Paper Series 9474, CESifo.

  2. Steigerwald, Douglas & Carter, Andrew, 2011. "Markov Regime-Switching Tests: Asymptotic Critical Values," University of California at Santa Barbara, Economics Working Paper Series qt5rn986z6, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
    2. Steigerwald, Douglas & Carter, Andrew, 2011. "Markov Regime-Switching Tests: Asymptotic Critical Values," University of California at Santa Barbara, Economics Working Paper Series qt5rn986z6, Department of Economics, UC Santa Barbara.
    3. Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
    4. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov-switching in autoregressive models," Cahiers de recherche 1701, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    5. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
    6. Eijffinger, Sylvester & Blommestein, Hans J. & Qian, Zongxin, 2012. "Animal Spirits in the Euro Area Sovereign CDS Market," CEPR Discussion Papers 9092, C.E.P.R. Discussion Papers.
    7. Xiaotong Lian & Yingda Song, 2021. "Pricing and calibration of the futures options market: A unified approximation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1074-1091, July.
    8. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi, 2013. "The links between some European financial factors and the BRICS credit default swap spreads," Post-Print hal-01511898, HAL.

  3. Steigerwald, Douglas & Vigna, Giovanni & Kruegel, Christopher & Kemmerer, Richard & Abman, Ryan & Stone-Gross, Brett, 2011. "The Underground Economy of Fake Antivirus Software," University of California at Santa Barbara, Economics Working Paper Series qt7p07k0zr, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Sood, Aditya K. & Enbody, Richard J., 2013. "Crimeware-as-a-service—A survey of commoditized crimeware in the underground market," International Journal of Critical Infrastructure Protection, Elsevier, vol. 6(1), pages 28-38.

  4. Carter, Andrew V & Steigerwald, Douglas G, 2010. "Testing for Regime Switching: A Comment," University of California at Santa Barbara, Economics Working Paper Series qt5079q9dc, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Boris Blagov, 2013. "Financial crises and time- varying risk premia in a small open economy: a Markov-Switching DSGE model for Estonia," Bank of Estonia Working Papers wp2013-8, Bank of Estonia, revised 09 Dec 2013.
    2. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2023. "A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2023_01, Universidad Torcuato Di Tella.
    3. Steigerwald, Douglas G & Bostwick, Valerie K, 2012. "Obtaining Critical Values for Test of Markov Regime Switching," University of California at Santa Barbara, Economics Working Paper Series qt3685g3qr, Department of Economics, UC Santa Barbara.
    4. Steigerwald, Douglas & Carter, Andrew, 2011. "Markov Regime-Switching Tests: Asymptotic Critical Values," University of California at Santa Barbara, Economics Working Paper Series qt5rn986z6, Department of Economics, UC Santa Barbara.
    5. Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
    6. Hiroyuki Kasahara & Katsumi Shimotsu, 2018. "Testing the Number of Regimes in Markov Regime Switching Models," Papers 1801.06862, arXiv.org, revised Jan 2018.
    7. Maddalena Cavicchioli, 2015. "Likelihood Ratio Test and Information Criteria for Markov Switching Var Models: An Application to the Italian Macroeconomy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(3), pages 315-332, November.
    8. Bertrand Candelon & Norbert Metiu & Stefan Straetmans, 2014. "Disentangling economic recessions and depressions," Working Papers 2014-328, Department of Research, Ipag Business School.
    9. Sergei Koulayev & Marc Rysman & Scott Schuh & Joanna Stavins, 2015. "Explaining adoption and use of payment instruments by U.S. consumers," Boston University - Department of Economics - Working Papers Series wp2015-004, Boston University - Department of Economics.
    10. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov-switching in autoregressive models," Cahiers de recherche 1701, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    11. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2022. "Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities," Econometrica, Econometric Society, vol. 90(4), pages 1681-1710, July.
    12. Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-switching three-pass regression filter," Working Papers 1748, Banco de España.
    13. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.

  5. Owens, John & Steigerwald, Douglas G, 2009. "Noise Reduced Realized Volatility: A Kalman Filter Approach," University of California at Santa Barbara, Economics Working Paper Series qt4n80536m, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    2. Daisuke Nagakura & Toshiaki Watanabe, 2010. "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series gd09-115, Institute of Economic Research, Hitotsubashi University.
    3. Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1005-1025, September.
    4. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
    5. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
    6. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.

  6. Kelly, David L. & Steigerwald, Douglas G, 2003. "Private Information and High-Frequency Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series qt00n4h4mw, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Mizrach, Bruce & Otsubo, Yoichi, 2014. "The market microstructure of the European climate exchange," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 107-116.
    2. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 397-417.
    3. Chung, Kee H. & Li, Mingsheng & McInish, Thomas H., 2005. "Information-based trading, price impact of trades, and trade autocorrelation," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1645-1669, July.
    4. Booth, G. Geoffrey & Gurun, Umit G., 2008. "Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 131-144, January.
    5. Steigerwald, Doug & Vagnoni, Richard J., 2001. "Option Market Microstructure and Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series qt1v2059c2, Department of Economics, UC Santa Barbara.

  7. Steigerwald, Doug, 1997. "Consumption Adjustment under Changing Income Uncertainty," University of California at Santa Barbara, Economics Working Paper Series qt5kp8k6xc, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Thomas Post & Katja Hanewald, 2010. "Stochastic Mortality, Subjective Survival Expectations, and Individual Saving Behavior," SFB 649 Discussion Papers SFB649DP2010-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Myung Hoon Yi & Changkyu Choi, 2006. "A GMM test of the precautionary saving hypothesis with nonexpected-utility preferences," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 71-78.
    3. Mario Menegatti, 2007. "Consumption and uncertainty: a panel analysis in Italian Regions," Applied Economics Letters, Taylor & Francis Journals, vol. 14(1), pages 39-42.
    4. Saito, Makoto & Shiratsuka, Shigenori, 2003. "Precautionary Motives versus Waiting Options: Evidence from Aggregate Household Saving in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(3), pages 1-20, October.
    5. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.

  8. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Broze, Laurence & Gourieroux, Christian, 1998. "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," Journal of Econometrics, Elsevier, vol. 85(1), pages 75-98, July.
    2. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
    3. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    4. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.

  9. Craine, Roger & Steigerwald, Douglas, 1988. "Raiders, Junk Bonds, and Risk," Department of Economics, Working Paper Series qt17r0b261, Department of Economics, Institute for Business and Economic Research, UC Berkeley.

    Cited by:

    1. Randall Pozdena, 1991. "Why banks need commerce powers," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 18-31.

Articles

  1. Douglas G. Steigerwald & Gonzalo Vazquez-Bare & Jason Maier, 2021. "Measuring Heterogeneous Effects of Environmental Policies Using Panel Data," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 8(2), pages 277-313.

    Cited by:

    1. Sheng, Di, 2021. "Emission Trading System and Air Quality: Evidence from China," 2021 Annual Meeting, August 1-3, Austin, Texas 314071, Agricultural and Applied Economics Association.
    2. Marvin Schütt, 2024. "Wind Turbines and Property Values: A Meta-Regression Analysis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(1), pages 1-43, January.
    3. Ribeiro, Beatriz Couto & Ferrero, Luciane Graziele Pereira & Bin, Adriana & Blind, Knut, 2023. "Effects of innovation stimuli regulation in the electricity sector: A quantitative study on European countries," Energy Economics, Elsevier, vol. 118(C).

  2. Chang Hyung Lee & Douglas G. Steigerwald, 2018. "Inference for clustered data," Stata Journal, StataCorp LP, vol. 18(2), pages 447-460, June.

    Cited by:

    1. Gawain Heckley & Martin Nordin & Ulf‐G. Gerdtham, 2022. "The health returns of attending university for the marginally eligible student," Health Economics, John Wiley & Sons, Ltd., vol. 31(5), pages 877-903, May.
    2. Mikola, Derek & Webb, Matthew D., 2023. "Finish it and it is free: An evaluation of college graduation subsidies," Economics of Education Review, Elsevier, vol. 93(C).
    3. Deb, Partha & Gangaram, Anjelica & Khajavi, Hoda Nouri, 2021. "The impact of the State Innovation Models Initiative on population health," Economics & Human Biology, Elsevier, vol. 42(C).
    4. Jeremy Edwards, 2021. "Can Institutional Transplants Work? A Reassessment of the Evidence from Nineteenth-Century Prussia," CESifo Working Paper Series 9333, CESifo.
    5. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2023. "Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust," Stata Journal, StataCorp LP, vol. 23(4), pages 942-982, December.
    6. Chang Hyung Lee, 2020. "Minimum Wage Policy and Community College Enrollment Patterns," ILR Review, Cornell University, ILR School, vol. 73(1), pages 178-210, January.
    7. Christopher S. Carpenter & Gilbert Gonzales & Tara McKay & Dario Sansone, 2020. "Effects of the Affordable Care Act Dependent Coverage Mandate on Health Insurance Coverage for Individuals in Same-Sex Couples," Papers 2004.02296, arXiv.org.
    8. James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2022. "Cluster-Robust Inference: A Guide to Empirical Practice," Papers 2205.03285, arXiv.org.
    9. David Roodman & James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2018. "Fast And Wild: Bootstrap Inference In Stata Using Boottest," Working Paper 1406, Economics Department, Queen's University.
    10. Child, Travers Barclay & Massoud, Nadia & Schabus, Mario & Zhou, Yifan, 2021. "Surprise election for Trump connections," Journal of Financial Economics, Elsevier, vol. 140(2), pages 676-697.
    11. James G. MacKinnon & Matthew D. Webb, 2020. "When and How to Deal with Clustered Errors in Regression Models," Working Paper 1421, Economics Department, Queen's University.

  3. Andrew V. Carter & Kevin T. Schnepel & Douglas G. Steigerwald, 2017. "Asymptotic Behavior of a t -Test Robust to Cluster Heterogeneity," The Review of Economics and Statistics, MIT Press, vol. 99(4), pages 698-709, July.

    Cited by:

    1. James G. MacKinnon & Matthew D. Webb, 2019. "Randomization Inference For Difference-in-differences With Few Treated Clusters," Working Paper 1355, Economics Department, Queen's University.
    2. Christopher Carpenter & Hai V. Nguyen, 2020. "Intended and Unintended Effects of Banning Menthol Cigarettes," NBER Working Papers 26811, National Bureau of Economic Research, Inc.
    3. Cl'ement de Chaisemartin & Jaime Ramirez-Cuellar, 2019. "At What Level Should One Cluster Standard Errors in Paired and Small-Strata Experiments?," Papers 1906.00288, arXiv.org, revised Jun 2023.
    4. Clément de Chaisemartin & Luc Behaghel, 2020. "Estimating the Effect of Treatments Allocated by Randomized Waiting Lists," Econometrica, Econometric Society, vol. 88(4), pages 1453-1477, July.
    5. Mikola, Derek & Webb, Matthew D., 2023. "Finish it and it is free: An evaluation of college graduation subsidies," Economics of Education Review, Elsevier, vol. 93(C).
    6. Stefanie J. Huber & Tobias Schmidt, 2016. "Cross-Country Differences in Homeownership: A Cultural Phenomenon?," ERES eres2016_47, European Real Estate Society (ERES).
    7. James G. MacKinnon, 2014. "Wild Cluster Bootstrap Confidence Intervals," Working Paper 1329, Economics Department, Queen's University.
    8. Deb, Partha & Gangaram, Anjelica & Khajavi, Hoda Nouri, 2021. "The impact of the State Innovation Models Initiative on population health," Economics & Human Biology, Elsevier, vol. 42(C).
    9. Bruce E. Hansen & Seojeong Lee, 2019. "Asymptotic Theory for Clustered Samples," Papers 1902.01497, arXiv.org.
    10. B. James Deaton & Chad Lawley & Karthik Nadella, 2018. "Renters, landlords, and farmland stewardship," Agricultural Economics, International Association of Agricultural Economists, vol. 49(4), pages 521-531, July.
    11. Maximilian Todtenhaupt & Johannes Voget, 2021. "International Taxation and Productivity Effects of M&As," CESifo Working Paper Series 8967, CESifo.
    12. Jeremy Edwards, 2021. "Can Institutional Transplants Work? A Reassessment of the Evidence from Nineteenth-Century Prussia," CESifo Working Paper Series 9333, CESifo.
    13. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2023. "Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust," Stata Journal, StataCorp LP, vol. 23(4), pages 942-982, December.
    14. Heiko T. Burret & Lars P. Feld & Christoph A. Schaltegger, 2018. "Fiscal Federalism and Economic Performance - New Evidence from Switzerland," CESifo Working Paper Series 7250, CESifo.
    15. Chang Hyung Lee, 2020. "Minimum Wage Policy and Community College Enrollment Patterns," ILR Review, Cornell University, ILR School, vol. 73(1), pages 178-210, January.
    16. James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2017. "Bootstrap And Asymptotic Inference With Multiway Clustering," Working Paper 1386, Economics Department, Queen's University.
    17. Hagemann, Andreas, 2019. "Placebo inference on treatment effects when the number of clusters is small," Journal of Econometrics, Elsevier, vol. 213(1), pages 190-209.
    18. Bartel, Ann P. & Rossin-Slater, Maya & Ruhm, Christopher J. & Stearns, Jenna & Waldfogel, Jane, 2015. "Paid Family Leave, Fathers' Leave-Taking, and Leave-Sharing in Dual-Earner Households," IZA Discussion Papers 9530, Institute of Labor Economics (IZA).
    19. Matthew D. Webb, 2014. "Reworking Wild Bootstrap Based Inference For Clustered Errors," Working Paper 1315, Economics Department, Queen's University.
    20. Christopher S. Carpenter & Gilbert Gonzales & Tara McKay & Dario Sansone, 2020. "Effects of the Affordable Care Act Dependent Coverage Mandate on Health Insurance Coverage for Individuals in Same-Sex Couples," Papers 2004.02296, arXiv.org.
    21. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2022. "Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference," Working Paper 1485, Economics Department, Queen's University.
    22. Stephen B. Billings & Kevin T. Schnepel, 2018. "Life after Lead: Effects of Early Interventions for Children Exposed to Lead," American Economic Journal: Applied Economics, American Economic Association, vol. 10(3), pages 315-344, July.
    23. Heiko T. Burret & Lars P. Feld, 2014. "Vertical Effects of Fiscal Rules - The Swiss Experience," CESifo Working Paper Series 5043, CESifo.
    24. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2020. "Wild Bootstrap and Asymptotic Inference with Multiway Clustering," CREATES Research Papers 2020-06, Department of Economics and Business Economics, Aarhus University.
    25. Antoine A. Djogbenou & James G. MacKinnon & Morten Ørregaard Nielsen, 2019. "Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors," CREATES Research Papers 2019-05, Department of Economics and Business Economics, Aarhus University.
    26. James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2022. "Cluster-Robust Inference: A Guide to Empirical Practice," Papers 2205.03285, arXiv.org.
    27. James G. MacKinnon & Matthew D. Webb, 2017. "Pitfalls When Estimating Treatment Effects Using Clustered Data," Working Paper 1387, Economics Department, Queen's University.
    28. David Roodman & James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2018. "Fast And Wild: Bootstrap Inference In Stata Using Boottest," Working Paper 1406, Economics Department, Queen's University.
    29. A. Colin Cameron & Douglas L. Miller, 2015. "A Practitioner’s Guide to Cluster-Robust Inference," Journal of Human Resources, University of Wisconsin Press, vol. 50(2), pages 317-372.
    30. Child, Travers Barclay & Massoud, Nadia & Schabus, Mario & Zhou, Yifan, 2021. "Surprise election for Trump connections," Journal of Financial Economics, Elsevier, vol. 140(2), pages 676-697.
    31. Frank Davenport, 2017. "Estimating standard errors in spatial panel models with time varying spatial correlation," Papers in Regional Science, Wiley Blackwell, vol. 96, pages 155-177, March.
    32. James G. MacKinnon & Matthew D. Webb, 2015. "Wild Bootstrap Inference For Wildly Different Cluster Sizes," Working Paper 1314, Economics Department, Queen's University.
    33. Todtenhaupt, Maximilian & Voget, Johannes, 2021. "International taxation and productivity effects of M&As," Journal of International Economics, Elsevier, vol. 131(C).
    34. Bullinger, Lindsey Rose, 2019. "The Effect of Paid Family Leave on Infant and Parental Health in the United States," Journal of Health Economics, Elsevier, vol. 66(C), pages 101-116.
    35. James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2023. "Testing for the appropriate level of clustering in linear regression models," Papers 2301.04522, arXiv.org, revised Mar 2023.
    36. Sönke Hendrik Matthewes, 2018. "Better Together? Heterogeneous Effects of Tracking on Student Achievement," Discussion Papers of DIW Berlin 1775, DIW Berlin, German Institute for Economic Research.
    37. Jungbin Hwang, 2017. "Simple and Trustworthy Cluster-Robust GMM Inference," Working papers 2017-19, University of Connecticut, Department of Economics, revised Aug 2020.
    38. Slawa Rokicki & Jessica Cohen & Günther Fink & Joshua A. Salomon & Mary Beth Landrum, 2018. "Inference with difference-in-differences with a small number of groups: a review, simulation study and empirical application using SHARE data," Working Papers 201802, Geary Institute, University College Dublin.
    39. Ivan A. Canay & Andres Santos & Azeem M. Shaikh, 2018. "The wild bootstrap with a "small" number of "large" clusters," CeMMAP working papers CWP27/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    40. James G. MacKinnon, 2019. "How cluster-robust inference is changing applied econometrics," Working Paper 1413, Economics Department, Queen's University.
    41. Andreas Hagemann, 2019. "Permutation inference with a finite number of heterogeneous clusters," Papers 1907.01049, arXiv.org, revised Feb 2023.
    42. Jeffrey D. Michler & Anna Josephson, 2021. "Recent Developments in Inference: Practicalities for Applied Economics," Papers 2107.09736, arXiv.org.
    43. Bruno Ferman, 2019. "Assessing Inference Methods," Papers 1912.08772, arXiv.org, revised Oct 2022.
    44. Hwang, Jungbin, 2021. "Simple and trustworthy cluster-robust GMM inference," Journal of Econometrics, Elsevier, vol. 222(2), pages 993-1023.
    45. Alessandra Foresta, 2022. "Lady Justice: The impact of female judges on trials' verdicts in US," Discussion Papers 22/04, Department of Economics, University of York.
    46. Chor, Elise & Andresen, Martin Eckhoff & Kalil, Ariel, 2016. "The impact of universal prekindergarten on family behavior and child outcomes," Economics of Education Review, Elsevier, vol. 55(C), pages 168-181.
    47. Pettersson-Lidbom, Per, 2022. "Exit, Voice and Political Change: Evidence from Swedish Mass Migration to the United States. A Comment on Karadja and Prawitz (Journal of Political Economy, 2019)," Journal of Comments and Replications in Economics (JCRE), ZBW - Leibniz Information Centre for Economics, vol. 1(2022-3), pages 1-13.
    48. James G. MacKinnon & Matthew D. Webb, 2020. "When and How to Deal with Clustered Errors in Regression Models," Working Paper 1421, Economics Department, Queen's University.
    49. Lee, Maxine J., 2021. "The effect of import competition on educational attainment at the postsecondary level: Evidence from NAFTA," Economics of Education Review, Elsevier, vol. 82(C).
    50. Afunts, Geghetsik & Jurajda, Štepán, 2022. "Who Divorces Whom: Unilateral Divorce Legislation and the Educational Structure of Marriage," IZA Discussion Papers 15749, Institute of Labor Economics (IZA).
    51. Kenchington, David G. & Shohfi, Thomas D. & Smith, Jared D. & White, Roger M., 2022. "Do sin tax hikes spur cheating in interpersonal exchange?," Accounting, Organizations and Society, Elsevier, vol. 96(C).
    52. Friedman, Willa & Keats, Anthony & Mutua, Martin Kavao, 2022. "Disruptions to healthcare quality and early child health outcomes: Evidence from health-worker strikes in Kenya," Journal of Health Economics, Elsevier, vol. 86(C).
    53. Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen, 2017. "Validity Of Wild Bootstrap Inference With Clustered Errors," Working Paper 1383, Economics Department, Queen's University.
    54. Guillaume R. Fréchette & Alessandro Lizzeri & Jacopo Perego, 2019. "Rules and Commitment in Communication: an Experimental Analysis," NBER Working Papers 26404, National Bureau of Economic Research, Inc.
    55. Burret, Heiko T. & Feld, Lars P., 2018. "(Un-)intended effects of fiscal rules," European Journal of Political Economy, Elsevier, vol. 52(C), pages 166-191.
    56. Laurent Davezies & Xavier D'Haultfoeuille & Yannick Guyonvarch, 2018. "Asymptotic results under multiway clustering," Papers 1807.07925, arXiv.org, revised Aug 2018.
    57. Lewis, Gabriel, 2022. "Heteroskedasticity and Clustered Covariances from a Bayesian Perspective," MPRA Paper 116662, University Library of Munich, Germany.

  4. Frank Davenport & Doug Steigerwald & Stuart Sweeney, 2016. "Open Trade, Price Supports, and Regional Price Behavior in Mexican Maize Markets," Economic Geography, Taylor & Francis Journals, vol. 92(2), pages 201-225, April.

    Cited by:

    1. Mauricio R. Bellon & Alicia Mastretta-Yanes & Alejandro Ponce-Mendoza & Daniel Ortiz-Santa María & Oswaldo Oliveros-Galindo & Hugo Perales & Francisca Acevedo & José Sarukhán, 2021. "Beyond subsistence: the aggregate contribution of campesinos to the supply and conservation of native maize across Mexico," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 13(1), pages 39-53, February.
    2. Nuñez, Hector M. & Chakrabortu, Lopamudra & Robles-Chavez, Jesus Eduardo, 2021. "Impacts of Weather Shocks on Crop Yields in Mexico," 2021 Conference, August 17-31, 2021, Virtual 314988, International Association of Agricultural Economists.

  5. Valerie K. Bostwick & Douglas G. Steigerwald, 2014. "Obtaining critical values for test of Markov regime switching," Stata Journal, StataCorp LP, vol. 14(3), pages 481-498, September.
    See citations under working paper version above.
  6. Carter Andrew V. & Steigerwald Douglas G., 2013. "Markov Regime-Switching Tests: Asymptotic Critical Values," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 25-34, July.
    See citations under working paper version above.
  7. Andrew V. Carter & Douglas G. Steigerwald, 2012. "Testing for Regime Switching: A Comment," Econometrica, Econometric Society, vol. 80(4), pages 1809-1812, July.
    See citations under working paper version above.
  8. John Owens & Douglas G. Steigerwald, 2005. "Inferring Information Frequency and Quality," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 500-524.

    Cited by:

    1. Francis X. Diebold & Georg Strasser, 2010. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," NBER Working Papers 16469, National Bureau of Economic Research, Inc.
    2. Kitamura, Yoshihiro, 2016. "The probability of informed trading measured with price impact, price reversal, and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 77-90.
    3. Diebold, Francis X. & Strasser, Georg H., 2008. "On the correlation structure of microstructure noise in theory and practice," CFS Working Paper Series 2008/32, Center for Financial Studies (CFS).
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    6. Weber, Christian E., 2002. "Intertemporal non-separability and "rule of thumb" consumption," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 293-308, March.
    7. Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017. "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
    8. Inekwe John Nkwoma, 2014. "Business Cycle Variability and Growth Linkage," Monash Economics Working Papers 38-14, Monash University, Department of Economics.
    9. Charles F. Manski, 2018. "Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise," NBER Macroeconomics Annual, University of Chicago Press, vol. 32(1), pages 411-471.
    10. Eleni Zafeiriou & Constantinos Katrakilidis & Chrysanthi Pegiou, 2019. "Consumer Confidence on Heating Oil Prices: An Empirical Study of their Relationship for European Union in a Nonlinear Framework," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 63-90.
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    13. Thomas Post & Katja Hanewald, 2010. "Stochastic Mortality, Subjective Survival Expectations, and Individual Saving Behavior," SFB 649 Discussion Papers SFB649DP2010-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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    15. Joseph Engelberg & Charles F. Manski & Jared Williams, 2006. "Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters," NBER Working Papers 11978, National Bureau of Economic Research, Inc.
    16. Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin, 2016. "Specification Testing for Nonlinear Multivariate Cointegrating Regressions," Monash Econometrics and Business Statistics Working Papers 14/16, Monash University, Department of Econometrics and Business Statistics.
    17. Tang, Yi & Wezel, Filippo Carlo, 2015. "Up to standard?," Journal of Business Venturing, Elsevier, vol. 30(3), pages 452-466.
    18. Garz, Marcel, 2014. "Consumption, labor income uncertainty, and economic news coverage," MPRA Paper 56076, University Library of Munich, Germany.
    19. Donatella Baiardi & Matteo Manera & Mario Menegatti, 2011. "Consumption and Precautionary Saving: An Empirical Analysis under Both Financial and Environmental Risks," Working Papers 2011.62, Fondazione Eni Enrico Mattei.
    20. Mohsen Bahmani-Oskooee & Majid Maki Nayeri, 2020. "Policy uncertainty and consumption in G7 countries: An asymmetry analysis," International Economics, CEPII research center, issue 163, pages 101-113.
    21. Lorenzo Pozzi, 2007. "Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach," Tinbergen Institute Discussion Papers 07-069/2, Tinbergen Institute.
    22. Tomas Havranek & Anna Sokolova, 2016. "Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say "Probably Not"," HSE Working papers WP BRP 137/EC/2016, National Research University Higher School of Economics.
    23. Alba Lugilde & Roberto Bande & Dolores Riveiro, 2018. "Precautionary saving in Spain during the great recession: evidence from a panel of uncertainty indicators," Review of Economics of the Household, Springer, vol. 16(4), pages 1151-1179, December.
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    25. Roberto Bande & Dolores Riveiro, 2012. "The Consumption-Investment-Unemployment Relationship in Spain: An Analysis with Regional Data," Documentos de trabajo - IRENe 0003, IDEGA - Instituto Universitario de Estudios e Desenvolvemento de Galicia.
    26. Ralf Fendel & Nicola Mai & Oliver Mohr, 2020. "The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP," Applied Economics and Finance, Redfame publishing, vol. 7(6), pages 1-18, December.
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    32. Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
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    6. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela ben, 2015. "Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 311-329.
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    83. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    84. Komunjer, Ivana, 2001. "Consistent Estimation for Aggregated GARCH," University of California at San Diego, Economics Working Paper Series qt1fp2v3q7, Department of Economics, UC San Diego.
    85. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.

  13. Douglas G. Steigerwald & Charles Stuart, 1997. "Econometric Estimation Of Foresight: Tax Policy And Investment In The United States," The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 32-40, February.

    Cited by:

    1. Sims, Eric & Wolff, Jonathan, 2018. "The state-dependent effects of tax shocks," European Economic Review, Elsevier, vol. 107(C), pages 57-85.
    2. M. Ishaq Nadiri & Ingmar R. Prucha, 1999. "Dynamic Factor Demand Models and Productivity Analysis," NBER Working Papers 7079, National Bureau of Economic Research, Inc.
    3. Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2008. "Fiscal Foresight: Analytics and Econometrics," NBER Working Papers 14028, National Bureau of Economic Research, Inc.
    4. Todd B. Walker & Shu-Chun Susan Yang & Eric M. Leeper, 2008. "Fiscal Foresight: Analytical Issues," 2008 Meeting Papers 786, Society for Economic Dynamics.
    5. Estrada, Fernando, 2011. "The power to tax," MPRA Paper 33203, University Library of Munich, Germany.
    6. Binder, Michael & Pesaran, Hashem, 2000. "Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 325-346, March.
    7. Eric M. Leeper, 2009. "Anchoring Fiscal Expectations," CAEPR Working Papers 2009-015, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    8. Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal Vector Autoregression," MPRA Paper 23717, University Library of Munich, Germany.
    9. Hjalmar Boehm & Michael Funke, 2000. "Optimal Investment Strategies under Demand and Tax Policy Uncertainty," CESifo Working Paper Series 311, CESifo.
    10. Susan Yang, Shu-Chun, 2005. "Quantifying tax effects under policy foresight," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1557-1568, November.
    11. Eric M. Leeper, 2003. "Fiscal Policy and Inflation: Pondering the Imponderables," NBER Working Papers 9506, National Bureau of Economic Research, Inc.
    12. Austan Goolsbee, 1997. "Investment Tax Incentives, Prices, and the Supply of Capital Goods," NBER Working Papers 6192, National Bureau of Economic Research, Inc.
    13. Estrada, Fernando, 2010. "The progressive tax," MPRA Paper 34971, University Library of Munich, Germany, revised Nov 2011.
    14. Estrada, Fernando & González, Jorge Iván, 2014. "Tax Power and Economics," MPRA Paper 59075, University Library of Munich, Germany.
    15. Estrada, Fernando, 2010. "The power to tax: a lecture of Hayek," MPRA Paper 31384, University Library of Munich, Germany, revised 2011.
    16. Shu-Chun Susan Yang, 2007. "A Chronology Of Postwar U.S. Federal Income Tax Policy," CAEPR Working Papers 2007-021, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    17. Estrada, Fernando, 2010. "Política tributaria y economía fiscal La posición Hayek (1959, 1979) con comentarios de Brenann/Buchanan (1980) [Fiscal tax policy and economy]," MPRA Paper 20094, University Library of Munich, Germany.
    18. Fernando, Estrada, 2010. "A reading Hayek on power to tax," MPRA Paper 21526, University Library of Munich, Germany.

  14. Crownover, Collin & Pippenger, John & Steigerwald, Douglas G., 1996. "Testing for absolute purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 783-796, October.

    Cited by:

    1. Mark Holmes, 2008. "Real Exchange Rate Stationarity in Latin America and Relative Purchasing Power Parity: A Regime Switching Approach," Open Economies Review, Springer, vol. 19(2), pages 261-275, April.
    2. Mario J. Crucini & Mototsugu Shintani, 2002. "Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data," Vanderbilt University Department of Economics Working Papers 0222, Vanderbilt University Department of Economics, revised Jul 2004.
    3. Tamás Dusek, 2008. "Methodological Monism in Economics," The Journal of Philosophical Economics, Bucharest Academy of Economic Studies, The Journal of Philosophical Economics, vol. 1(2), pages 26-50, March.
    4. Kargbo, Joseph M., 2003. "Cointegration Tests of Purchasing Power Parity in Africa," World Development, Elsevier, vol. 31(10), pages 1673-1685, October.
    5. Mario Crucini & Chris Telmer & Marios Zachariadis, "undated". "Understanding European Real Exchange Rates," GSIA Working Papers 227, Carnegie Mellon University, Tepper School of Business.
    6. Stephan Schulmeister, 2005. "Purchasing Power Parities for Tradables, Exchange Rates and Price Competitiveness," WIFO Studies, WIFO, number 25656, February.
    7. Holmes, Mark J., 2001. "New Evidence on Real Exchange Rate Stationarity and Purchasing Power Parity in Less Developed Countries," Journal of Macroeconomics, Elsevier, vol. 23(4), pages 601-614, October.
    8. Joseph M. Kargbo, 2004. "Purchasing Power Parity And Exchange Rate Policy Reforms In Africa," South African Journal of Economics, Economic Society of South Africa, vol. 72(2), pages 258-281, June.
    9. Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
    10. Mario J Crucini & Mototsugu Shintani, 2002. "Persistence in Law-of-One-Price Deviations: Evidence From Micro-Price Data," NajEcon Working Paper Reviews 506439000000000019, www.najecon.org.
    11. MOON, Hyungsik Roger & PERRON, Benoit, 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Universite de Montreal, Departement de sciences economiques.
    12. Mark J. Holmes, 2010. "Are Asia‐Pacific Real Exchange Rates Stationary? A Regime‐Switching Perspective," Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 189-203, May.
    13. Mark J. Holmes, 2002. "Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 27(1), pages 125-135, June.
    14. Didi Nuryadin, 2009. "Real exchange rate and economic fundamental: Empirical study of ASEAN-5," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 1(3), pages 215-230, April.
    15. Ramon E. Lopez & Kevin Sepulveda, 2022. "¿Cual es el efecto de shocks de demanda interna sobre la inflacion en una economia pequena y abierta? Chile 2000-2021," Working Papers wp529, University of Chile, Department of Economics.
    16. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
    17. Zhibai Zhang & Zhicun Bian & Minghua Zhan, 2022. "Is absolute purchasing power parity special for Spain?," Empirical Economics, Springer, vol. 62(2), pages 513-531, February.
    18. Pippenger, John, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series qt60z886n7, Department of Economics, UC Santa Barbara.
    19. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June.
    20. Mücahit Aydın, 2019. "Investigation of the Validity of Purchasing Power Parity Hypothesis with Fourier Unit Root Tests: The Case of Turkey," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 30(0), pages 35-48, June.
    21. Mark J. Holmes & Ping Wang, 2005. "Do African Countries Move Asymmetrically Towards Purchasing Power Parity?," South African Journal of Economics, Economic Society of South Africa, vol. 73(2), pages 292-301, June.
    22. Kul B. Luintel, 2000. "Real exchange rate behaviour: evidence from black markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 161-185.
    23. López, Ramón & Sepúlveda, Kevin A., 2022. "The effects of domestic demand shocks on inflation in a small open economy: Chile in the period 2000–2021," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
    24. Mark Holmes & Ping Wang, 2006. "Asymmetric adjustment towards long-run PPP: Some new evidence for Asian economies," International Economic Journal, Taylor & Francis Journals, vol. 20(2), pages 161-177.
    25. Stewart, Chris, 2023. "Re-evaluating whether absolute or relative purchasing power parity is being tested when using price indices," Economics Discussion Papers 2023-1, School of Economics, Kingston University London.

  15. Steigerwald, Douglas G., 1996. "Purchasing power parity, unit roots, and dynamic structure," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 343-357, February.

    Cited by:

    1. Hali J. Edison & Joseph E. Gagnon & William R. Melick, 1994. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," International Finance Discussion Papers 465, Board of Governors of the Federal Reserve System (U.S.).
    2. Philip Shively, 2003. "Threshold stationary real exchange rates: a nonlinear, multivariate approach," Economics Bulletin, AccessEcon, vol. 6(2), pages 1-11.
    3. Shively, Philip A., 2001. "A test of long-run purchasing power parity," Economics Letters, Elsevier, vol. 73(2), pages 201-205, November.
    4. Antonio E. Noriega & Lorena Medina, 2003. "Quasi purchasing power parity: Structural change in the Mexican peso/us dollar real exchange rate," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 227-236.
    5. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    6. Lee, Daniel Y., 1999. "Purchasing power parity and dynamic error correction: Evidence from Asia Pacific economies," International Review of Economics & Finance, Elsevier, vol. 8(2), pages 199-212, June.
    7. Ritesh Kumar Mishra & Sanjay Sehgal, 2011. "Exchange rates and prices in purchasing power parity framework: Are bilateral real exchange rates stationary?," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 4(3), pages 274-286.
    8. Emmanuel Anoruo & Habtu Braha & Yusuf Ahmad, 2002. "Purchasing power parity: Evidence from developing Countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(2), pages 85-96, May.
    9. Irfan Civcir, 2002. "Before The Fall Was The Turkish Lira Overvalued?," Working Papers 0220, Economic Research Forum, revised 11 Jul 2002.
    10. Simón Sosvilla-Rivero & Emma García, "undated". "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA.
    11. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2014. "Did Purchasing Power Parity Hold in Medieval Europe?," ICMA Centre Discussion Papers in Finance icma-dp2014-01, Henley Business School, University of Reading.
    12. Crownover, Collin & Pippenger, John & Steigerwald, Douglas G., 1996. "Testing for absolute purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 783-796, October.
    13. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    14. Culver, Sarah E. & Papell, David H., 1999. "Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 751-768, October.
    15. Moersch, Mathias & Nautz, Dieter, 1998. "The monetary model of the exchange rate: A structural interpretation," SFB 373 Discussion Papers 1998,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    16. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.

  16. Steigerwald, Douglas G., 1995. "Reply to B.M. Potscher's comment on 'adaptive estimation in time series regression models'," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 131-132.

    Cited by:

    1. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
    2. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    3. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Other publications TiSEM 3da5ac9e-1f93-41b2-aaa0-5, Tilburg University, School of Economics and Management.

  17. Steigerwald, Douglas G., 1992. "On the finite sample behavior of adaptive estimators," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 371-400.

    Cited by:

    1. Thanasis Stengos & Ximing Wu, 2005. "Partially Adaptive Estimation via Maximum Entropy Densities," University of Cyprus Working Papers in Economics 6-2005, University of Cyprus Department of Economics.
    2. Yiguo Sun & Thanasis Stengos, 2008. "The absolute health income hypothesis revisited: a semiparametric quantile regression approach," Empirical Economics, Springer, vol. 35(2), pages 395-412, September.
    3. Steigerwald, Douglas G, 2006. "A Note on Adaptive Estimation," University of California at Santa Barbara, Economics Working Paper Series qt94v9g27p, Department of Economics, UC Santa Barbara.
    4. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, Department of Economics and Business Economics, Aarhus University.
    5. Sølvsten, Mikkel, 2020. "Robust estimation with many instruments," Journal of Econometrics, Elsevier, vol. 214(2), pages 495-512.

  18. Steigerwald, Douglas G., 1992. "Adaptive estimation in time series regression models," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 251-275.

    Cited by:

    1. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.
    2. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
    3. Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004. "Testing forward exchange rate unbiasedness efficiently: A semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-29, November.
    4. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
    5. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    6. Chen, Yixin & Wang, Qin & Yao, Weixin, 2015. "Adaptive estimation for varying coefficient models," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 17-31.
    7. Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    8. van den Akker, R., 2007. "Integer-valued time series," Other publications TiSEM e7f68743-db57-4056-9ca7-1, Tilburg University, School of Economics and Management.
    9. Wang, Qin & Yao, Weixin, 2012. "An adaptive estimation of MAVE," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 88-100, February.
    10. Potscher, Benedikt M., 1995. "Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 123-129.
    11. Dougas Steigerwald, 1997. "Uniformly adaptive estimation for models with arma errors," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 393-409.
    12. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    13. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Other publications TiSEM 3da5ac9e-1f93-41b2-aaa0-5, Tilburg University, School of Economics and Management.

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