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Citations for "Nonlinear Regression with Dependent Observations"

by White, Halbert & Domowitz, Ian

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  1. Eric Wong & Jim Wong & Phyllis Leung, 2008. "The Foreign Exchange Exposure of Chinese Banks," Working Papers 0807, Hong Kong Monetary Authority.
  2. Mark Salmon & Roman Kozhan, 2008. "Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation," Working Papers wp08-05, Warwick Business School, Finance Group.
  3. TAKEDA Yosuke & UCHIDA Ichihiro, 2009. "Technological Externalities and Economic Distance: A case of the Japanese automobile suppliers," Discussion papers 09051, Research Institute of Economy, Trade and Industry (RIETI).
  4. de Jong, Robert M., 1998. "Uniform laws of large numbers and stochastic Lipschitz-continuity," Journal of Econometrics, Elsevier, vol. 86(2), pages 243-268, June.
  5. Ray C. Fair & Robert J. Shiller, 1988. "The Informational Content of Ex Ante Forecasts," Cowles Foundation Discussion Papers 857, Cowles Foundation for Research in Economics, Yale University.
  6. Théophile Azomahou & Dong Li, 2005. "A consistent nonparametric estimation of spatial autocovariances," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
  7. Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
  8. Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
  9. Phillip Rothman & Dick van Dijk & Philip Hans Franses, 2000. "A Multivariate STAR Analysis of the Relationship Between Money and Output," Working Papers 0012, East Carolina University, Department of Economics.
  10. Xiao, Qifang & Xiao, Zhijie, 2003. "Estimating Average Economic Growth in Time Series Data with Persistency," Working Papers 03-0111, University of Illinois at Urbana-Champaign, College of Business.
  11. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna
    [Estimation of nonlinear simultaneous equations: a survey]
    ," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
  12. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2005. "Revisiting the Martingale hypothesis for exchange rates," Money Macro and Finance (MMF) Research Group Conference 2005 19, Money Macro and Finance Research Group.
  13. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers CWP15/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Vassilis A. Hajivassiliou, 1993. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Working Papers _022, Yale University.
  15. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  16. A. Colin Cameron & Douglas L. Miller, 2010. "Robust Inference with Clustered Data," Working Papers 107, University of California, Davis, Department of Economics.
  17. Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
  18. Oberhofer, Walter & Haupt, Harry, 2005. "The asymptotic distribution of the unconditional quantile estimator under dependence," Statistics & Probability Letters, Elsevier, vol. 73(3), pages 243-250, July.
  19. James G. MacKinnon, 2012. "Thirty Years of Heteroskedasticity-Robust Inference," Working Papers 1268, Queen's University, Department of Economics.
  20. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
  21. Rodríguez Poo, Juan M. & Ferreira García, María Eva & Orbe Mandaluniz, Susan, 2001. "Nonparametric estimation of time varying parameters under shape restrictions," BILTOKI 2001-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  22. Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc.
  23. Van Bellegem, Sebastien & von Sachs, Rainer, 2004. "Forecasting economic time series with unconditional time-varying variance," International Journal of Forecasting, Elsevier, vol. 20(4), pages 611-627.
  24. Mayte Suarez Farinãs & Carlos Eduardo Pedreira & Marcelo C. Medeiros, 2003. "Local-global neural networks: a new approach for nonlinear time series modelling," Textos para discussão 470, Department of Economics PUC-Rio (Brazil).
  25. Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers 89-21, Michigan - Center for Research on Economic & Social Theory.
  26. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," CORE Discussion Papers 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  27. Dedi Rosadi & Shelton Peiris, 2014. "Second-order least-squares estimation for regression models with autocorrelated errors," Computational Statistics, Springer, vol. 29(5), pages 931-943, October.
  28. repec:ebl:ecbull:v:3:y:2005:i:29:p:1-10 is not listed on IDEAS
  29. Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.
  30. Conley, Timothy G. & Molinari, Francesca, 2005. "Spatial Correlation Robust Inference with Errors in Location or Distance," Working Papers 05-12, Cornell University, Center for Analytic Economics.
  31. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  32. Guangjian Zhang & Michael Browne & Anthony Ong & Sy Chow, 2014. "Analytic Standard Errors for Exploratory Process Factor Analysis," Psychometrika, Springer, vol. 79(3), pages 444-469, July.
  33. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  34. Vassilis A. Hajivassiliou, 1986. "Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results," Cowles Foundation Discussion Papers 803, Cowles Foundation for Research in Economics, Yale University.
  35. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
  36. Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(01), pages 45-68, February.
  37. Orbe Mandaluniz, Susan & Ferreira García, María Eva & Gil Bazo, Javier, 2010. "Conditional beta pricing models: A nonparametric approach," BILTOKI 2010-10, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  38. Wang, Kevin Q., 2002. "Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 133-169, March.
  39. Ioannis Kasparis, 2008. "Functional Form Misspecification in Regressions with a Unit Root," University of Cyprus Working Papers in Economics 2-2008, University of Cyprus Department of Economics.
  40. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
  41. Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, vol. 82(2), pages 235-287, February.
  42. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  43. Rappoport, Peter & White, Eugene N., 1993. "Was There a Bubble in the 1929 Stock Market?," The Journal of Economic History, Cambridge University Press, vol. 53(03), pages 549-574, September.
  44. repec:cup:cbooks:9780521779654 is not listed on IDEAS
  45. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
  46. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
  47. María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 1, pages 109-154, Junio.
  48. van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, vol. 95(2), pages 285-331, April.
  49. Crujeiras, Rosa M. & Van Keilegom, Ingrid, 2010. "Least squares estimation of nonlinear spatial trends," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 452-465, February.
  50. Guangjian Zhang & Sy-Miin Chow & Anthony Ong, 2011. "A Sandwich-Type Standard Error Estimator of SEM Models with Multivariate Time Series," Psychometrika, Springer, vol. 76(1), pages 77-96, January.
  51. Théophile Azomahou, 2001. "GMM Estimation of Lattice Models Using Panel Data: Application," Working Papers of BETA 2001-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  52. Santi Budria & Luis Diaz-Serrano & Ada Ferrer-i-Carbonell & Joop Hartog, 2013. "Risk attitude and wage growth: replicating Shaw (1996)," Empirical Economics, Springer, vol. 44(2), pages 981-1004, April.
  53. Su, Liangjun & Jin, Sainan, 2012. "Sieve estimation of panel data models with cross section dependence," Journal of Econometrics, Elsevier, vol. 169(1), pages 34-47.
  54. Levine, David, 1983. "A remark on serial correlation in maximum likelihood," Journal of Econometrics, Elsevier, vol. 23(3), pages 337-342, December.
  55. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril.
  56. Benedikt M. Potscher & Ingmar R. Prucha, 1994. "On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach," NBER Technical Working Papers 0085, National Bureau of Economic Research, Inc.
  57. El-Gamal, Mahmoud A. & Ryu, Deockhyun, 2006. "Short-memory and the PPP hypothesis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 361-391, March.
  58. Joel Corrêa da Rosa & Álvaro Veiga & Marcelo C. Medeiros, 2003. "Three-structured smooth transition regression models based on CART algorithm," Textos para discussão 469, Department of Economics PUC-Rio (Brazil).
  59. Takada, Teruko, 2009. "Simulated minimum Hellinger distance estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2390-2403, April.
  60. Eva Ferreira & Javier Gil-Bazo & Susan Orbe, 2008. "Nonparametric estimation of conditional beta pricing models," Business Economics Working Papers wb082403, Universidad Carlos III, Departamento de Economía de la Empresa.
  61. 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.
  62. Jeon, Byung M. & Brown, Bryan, 2001. "Efficient Semiparametric Estimation of Expectations in Dynamic Nonlinear Systems," Working Papers 2001-09, Rice University, Department of Economics.
  63. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  64. Omay, Tolga, 2008. "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper 28572, University Library of Munich, Germany.
  65. Steigerwald, Douglas G & Erb, Jack, 2007. "Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity," University of California at Santa Barbara, Economics Working Paper Series qt5rv0z5dz, Department of Economics, UC Santa Barbara.
  66. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
  67. de Figueiredo, Rui Jr., 2003. "Budget institutions and political insulation: why states adopt the item veto," Journal of Public Economics, Elsevier, vol. 87(12), pages 2677-2701, December.
  68. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
  69. Nadiezhda de la Uz, 2002. "La hipótesis de martingala en el mercado bursátil mexicano," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 17(1), pages 91-127.
  70. Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Short Memory and the PPP-puzzle," Econometric Society 2004 Far Eastern Meetings 577, Econometric Society.
  71. 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.
  72. Wong, Tak-Chuen & Wong, Jim & Leung, Phyllis, 2009. "The foreign exchange exposure of Chinese banks," China Economic Review, Elsevier, vol. 20(2), pages 174-182, June.
  73. Omay, Tolga & Takay Araz, Bahar & Ilalan, Deniz, 2011. "The effects of terrorist activities on foreign direct investment: nonlinear Evidence," MPRA Paper 31015, University Library of Munich, Germany.
  74. José Luis Aznarte & Marcelo Cunha Medeiros & José Manuel Benítez Sánchez, 2010. "Linearity Testing Against a Fuzzy Rule-based Model," Textos para discussão 566, Department of Economics PUC-Rio (Brazil).
  75. Jacquinot, Pascal & Mihoubi, F., 1996. "Dynamique et hétérogénéité de l’emploi en déséquilibre," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(2), pages 113-148, juin.
  76. Baoxue Zhang & Tianqing Liu & Z. Bai, 2010. "Analysis of rounded data from dependent sequences," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(6), pages 1143-1173, December.
  77. Bekiros, Stelios D., 2009. "A robust algorithm for parameter estimation in smooth transition autoregressive models," Economics Letters, Elsevier, vol. 103(1), pages 36-38, April.
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