2013 journal article

Frequentist inference in weakly identified dynamic stochastic general equilibrium models: Acronyms must be spelled out in titles for indexing purposes

*QUANTITATIVE ECONOMICS*, *4*(2), 197–229.

author keywords: DSGE models; identification; inference; confidence sets; Bayes factor; likelihood ratio; C32; C52; E30; E50

Source: Web Of Science

Added: August 6, 2018

2012 journal article

MEAN-PLUS-NOISE FACTOR MODELS: AN EMPIRICAL EXPLORATION

*JAPANESE ECONOMIC REVIEW*, *63*(3), 289–309.

author keywords: C32; C53

Source: Web Of Science

Added: August 6, 2018

2012 journal article

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

*JOURNAL OF BUSINESS & ECONOMIC STATISTICS*, *30*(3), 432–453.

author keywords: Estimation window; Forecast evaluation; Predictive ability testing

Source: Web Of Science

Added: August 6, 2018

2011 journal article

IDENTIFYING THE SOURCES OF INSTABILITIES IN MACROECONOMIC FLUCTUATIONS

*REVIEW OF ECONOMICS AND STATISTICS*, *93*(4), 1186–1204.

Source: Web Of Science

Added: August 6, 2018

2011 journal article

Testing for weak identification in possibly nonlinear models

*JOURNAL OF ECONOMETRICS*, *161*(2), 246–261.

author keywords: GMM; Shrinkage; Weak identification

Source: Web Of Science

Added: August 6, 2018

2010 journal article

TWO-SAMPLE INSTRUMENTAL VARIABLES ESTIMATORS

*REVIEW OF ECONOMICS AND STATISTICS*, *92*(3), 557–561.

Source: Web Of Science

Added: August 6, 2018

2009 journal article

Do Actions Speak Louder Than Words ? Household Expectations of Inflation Based on Micro Consumption Data

*JOURNAL OF MONEY CREDIT AND BANKING*, *41*(7), 1331–1363.

author keywords: D12; D84; E31; inflation expectations; Consumer Expenditure Survey; Michigan Survey of Consumers; Survey of Professional Forecasters; Euler equation

Source: Web Of Science

Added: August 6, 2018

2008 journal article

How useful is bagging in forecasting economic time series? A case study of US consumer price inflation

*JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION*, *103*(482), 511–522.

author keywords: Bayesian model averaging; bootstrap aggregation; factor model; forecast combination; forecasting model selection; pre testing; shrinkage estimation

Source: Web Of Science

Added: August 6, 2018

2007 journal article

Information in generalized method of moments estimation and entropy-based moment selection

*JOURNAL OF ECONOMETRICS*, *138*(2), 488–512.

author keywords: long run canonical correlations; efficiency; near redundancy; weak identification

Source: Web Of Science

Added: August 6, 2018

2007 article

The large sample behaviour of the generalized method of moments estimator in misspecified models (vol 114, pg 361, 2003)

Hall, A. R., & Inoue, A. (2007, December). *JOURNAL OF ECONOMETRICS*, Vol. 141, pp. 1418–1418.

Source: Web Of Science

Added: August 6, 2018

2006 article

Bootstrapping GMM estimators for time series

Inoue, A., & Shintani, M. (2006, August). *JOURNAL OF ECONOMETRICS*, Vol. 133, pp. 531–555.

author keywords: asymptotic refinements; block bootstrap; dependent data; Edgeworth expansions; instrumental variables

Source: Web Of Science

Added: August 6, 2018

2006 journal article

On the selection of forecasting models

*JOURNAL OF ECONOMETRICS*, *130*(2), 273–306.

author keywords: model selection; forecast accuracy; information criteria; simulated out-of-sample method; predictive least squares

Source: Web Of Science

Added: August 6, 2018

2006 journal article

Testing for the principal's monopsony power in agency contracts

*EMPIRICAL ECONOMICS*, *31*(3), 717–734.

author keywords: oligopsony; principal-agent model; production contracts

Source: Web Of Science

Added: August 6, 2018

2005 journal article

Recursive predictability tests for real-time data

*JOURNAL OF BUSINESS & ECONOMIC STATISTICS*, *23*(3), 336–345.

author keywords: model selection; predictive ability; sequential tests

Source: Web Of Science

Added: August 6, 2018

2003 journal article

Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability

*ECONOMETRIC THEORY*, *19*(6), 962–983.

Source: Web Of Science

Added: August 6, 2018

2003 journal article

The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap

*ECONOMETRIC THEORY*, *19*(6), 944–961.

Source: Web Of Science

Added: August 6, 2018

2003 journal article

The large sample behaviour of the generalized method of moments estimator in misspecified models

*JOURNAL OF ECONOMETRICS*, *114*(2), 361–394.

author keywords: misspecification; generalized method of moments; asymptotic distribution theory

Source: Web Of Science

Added: August 6, 2018

2002 journal article

Bootstrapping autoregressive processes with possible unit roots

*ECONOMETRICA*, *70*(1), 377–391.

Source: Web Of Science

Added: August 6, 2018

2002 journal article

Bootstrapping smooth functions of slope parameters and innovation variances in VAR(infinity) models

*INTERNATIONAL ECONOMIC REVIEW*, *43*(2), 309–331.

Source: Web Of Science

Added: August 6, 2018

2002 journal article

Identifying the sign of the slope of a monotonic function via OLS

*ECONOMICS LETTERS*, *75*(3), 419–424.

author keywords: monotonicity; OLS; weighted average derivatives

Source: Web Of Science

Added: August 6, 2018

2001 journal article

Long memory and regime switching

*JOURNAL OF ECONOMETRICS*, *105*(1), 131–159.

author keywords: regime switching; fractional integration; mixture model; stochastic permanent break (STOPBREAK) model; Markov-switching model; structural change

Source: Web Of Science

Added: August 6, 2018

2001 journal article

Testing for distributional change in time series

*ECONOMETRIC THEORY*, *17*(1), 156–187.

Source: Web Of Science

Added: August 6, 2018

1999 journal article

Tests of cointegrating rank with a trend-break

*JOURNAL OF ECONOMETRICS*, *90*(2), 215–237.

author keywords: cointegration; cointegrating rank; trend break

Source: Web Of Science

Added: August 6, 2018