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Citations for "Central Limit Theorems for Dependent Heterogeneous Random Variables"

by de Jong, Robert M.

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  1. Qiu, Jin & Lin, Zhengyan, 2006. "The variance of partial sums of strong near-epoch dependent variables," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1845-1854, November.
  2. Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, EconWPA, revised 27 May 2005.
  3. Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Research Working Paper RWP 09-10, Federal Reserve Bank of Kansas City.
  4. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
  5. Jenish, Nazgul & Prucha, Ingmar R., 2012. "On spatial processes and asymptotic inference under near-epoch dependence," Journal of Econometrics, Elsevier, vol. 170(1), pages 178-190.
  6. Calhoun, Gray, 2014. "Block Bootstrap Consistency Under Weak Assumptions," Staff General Research Papers Archive 34313, Iowa State University, Department of Economics.
  7. G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print hal-00768190, HAL.
  8. Tiemen Woutersen & Robert M. de Jong, 2004. "Dynamic time series binary choice," Econometric Society 2004 North American Summer Meetings 365, Econometric Society.
  9. Donald W. K. Andrews & Patrik Guggenberger, 2014. "Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models," Cowles Foundation Discussion Papers 1977, Cowles Foundation for Research in Economics, Yale University.
  10. Jenish, Nazgul & Prucha, Ingmar R., 2009. "Central limit theorems and uniform laws of large numbers for arrays of random fields," Journal of Econometrics, Elsevier, vol. 150(1), pages 86-98, May.
  11. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
  12. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  13. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
  14. repec:hal:journl:peer-00834423 is not listed on IDEAS
  15. Oliver Linton & Myunghwan Seo, 2005. "A smoothed least squares estimator for threshold regression models," LSE Research Online Documents on Economics 4434, London School of Economics and Political Science, LSE Library.
  16. repec:hal:journl:peer-00768190 is not listed on IDEAS
  17. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
  18. Davidson, James, 2002. "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 243-269, February.
  19. Shin S. Ikeda, 2013. "A Note on the Mixingale Limit Theorem by McLeish (1977)," GRIPS Discussion Papers 13-11, National Graduate Institute for Policy Studies.
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