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Citations for "Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes"

by Wooldridge, Jeffrey M. & White, Halbert

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  1. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
  2. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 8/13, Monash University, Department of Econometrics and Business Statistics.
  3. Valentina Corradi & Norman R. Swanson, 2007. "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, 02.
  4. Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
  5. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318.
  6. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
  7. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
  8. Cees Diks & Valentyn Panchenko & Dick Van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
  9. Andrew J. Patton & Allan Timmermann, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17, June.
  10. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
  11. Chen, Mei-Yuan & Kuan, Chung-Ming, 2001. "Testing parameter constancy in models with infinite variance errors," Economics Letters, Elsevier, vol. 72(1), pages 11-18, July.
  12. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
  13. Koo, Bonsoo & Seo, Myung Hwan, 2015. "Structural-break models under mis-specification: Implications for forecasting," Journal of Econometrics, Elsevier, vol. 188(1), pages 166-181.
  14. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  15. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
  16. Yoichi Arai, 2015. "Testing for Linearity in Regressions with I(1) Processes," GRIPS Discussion Papers 15-11, National Graduate Institute for Policy Studies.
  17. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  18. Barbara Rossi & Raffaella Giacomini, 2010. "Model Comparisons in Unstable Environments," Working Papers 10-29, Duke University, Department of Economics.
  19. Rossi, Barbara & Sekhposyan, Tatevik, 2011. "Understanding models' forecasting performance," Journal of Econometrics, Elsevier, vol. 164(1), pages 158-172, September.
  20. Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
  21. Carriero, Andrea & Giacomini, Raffaella, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Journal of Econometrics, Elsevier, vol. 164(1), pages 21-34, September.
  22. Erich Battistin & Richard Blundell & Arthur Lewbel, 2007. "Why is Consumption More Log Normal Than Income? Gibrat's Law Revisited," Boston College Working Papers in Economics 671, Boston College Department of Economics.
  23. Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
  24. Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  25. Sun, Yiguo & Hsiao, Cheng & Li, Qi, 2011. "Measuring correlations of integrated but not cointegrated variables: A semiparametric approach," Journal of Econometrics, Elsevier, vol. 164(2), pages 252-267, October.
  26. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  27. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
  28. Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series 0214, European Central Bank.
  29. Patrik Guggenberger & Richard Smith, 2005. "Generalized empirical likelihood tests in time series models with potential identification failure," CeMMAP working papers CWP01/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  30. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  31. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
  32. Oberhofer, Walter & Haupt, Harry, 2003. "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems 388, University of Regensburg, Department of Economics.
  33. Sakata, Shinichi & White, Halbert, 2001. "S-estimation of nonlinear regression models with dependent and heterogeneous observations," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 5-72, July.
  34. Fiteni, Inmaculada, 1998. "Robust estimation of structural break points," DES - Working Papers. Statistics and Econometrics. WS 10685, Universidad Carlos III de Madrid. Departamento de Estadística.
  35. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc.
  36. Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011. "Detecting big structural breaks in large factor models," MPRA Paper 31344, University Library of Munich, Germany.
  37. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 26 Nov 2015.
  38. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  39. Gan, Zhuojiong, 2015. "Three essays in econometric theory," Other publications TiSEM d9918e8f-ebf3-4bb8-a999-d, Tilburg University, School of Economics and Management.
  40. repec:hal:journl:peer-00834423 is not listed on IDEAS
  41. Yikang, Li, 1998. "Low-pass filtered least squares estimators of cointegrating vectors," Journal of Econometrics, Elsevier, vol. 85(2), pages 289-316, August.
  42. He, Changli & Sandberg, Rickard, 2005. "Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change," SSE/EFI Working Paper Series in Economics and Finance 579, Stockholm School of Economics, revised 08 Feb 2005.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.