Works (23)
Updated: July 5th, 2023 16:02
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
doi.org (publisher)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science; OpenAlex)
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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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.
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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
TL;DR:
The results show that bagging can achieve large reductions in prediction mean-squared errors even in such challenging applications as inflation forecasting; however, bagging is not the only method capable of achieving such gains.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
10. Reduced Inequalities
(OpenAlex)
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
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
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.
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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
TL;DR:
It is shown that under suitable conditions the IC method will be consistent for the best approximating model among the candidate models, while under standard assumptions the SOOS method will select over-parameterized models with positive probability, resulting in excessive finite-sample PMSEs.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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
UN Sustainable Development Goal Categories
1. No Poverty
(Web of Science)
8. Decent Work and Economic Growth
(Web of Science)
10. Reduced Inequalities
(Web of Science)
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
TL;DR:
The usefulness of the proposed test for predictive ability is shown in well-known empirical applications to the real-time predictive content of money for output and the selection between linear and nonlinear models.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science; OpenAlex)
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.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2002 journal article
Bootstrapping autoregressive processes with possible unit roots
ECONOMETRICA, 70(1), 377–391.
UN Sustainable Development Goal Categories
2. Zero Hunger
(OpenAlex)
8. Decent Work and Economic Growth
(Web of Science)
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.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2001 journal article
Testing for distributional change in time series
ECONOMETRIC THEORY, 17(1), 156–187.
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
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
UN Sustainable Development Goal Categories
1. No Poverty
(OpenAlex)
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
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