Locally robust inference for non-Gaussian linear simultaneous equations models
暂无分享,去创建一个
[1] Susanne M. Schennach,et al. Identification of a Triangular Two Equation System Without Instruments , 2023, Journal of Business & Economic Statistics.
[2] Alessio Moneta,et al. Identification of Structural VAR Models Via Independent Component Analysis: A Performance Evaluation Study , 2022, SSRN Electronic Journal.
[3] Jonathan H. Wright,et al. Refining Set-Identification in VARs Through Independence , 2021, Working paper (Federal Reserve Bank of Philadelphia).
[4] Serena Ng,et al. Time series estimation of the dynamic effects of disaster-type shocks , 2021, Journal of Econometrics.
[5] Markku Lanne,et al. GMM Estimation of Non-Gaussian Structural Vector Autoregression , 2021, Journal of Business & Economic Statistics.
[6] Alain Guay,et al. Identification of structural vector autoregressions through higher unconditional moments , 2020, Journal of Econometrics.
[7] Enrique Sentana,et al. Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions , 2020, Journal of Econometrics.
[8] C. Velasco. Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics , 2020, Journal of Business & Economic Statistics.
[9] Anna Mikusheva,et al. Optimal Decision Rules for Weak GMM , 2020, Econometrica.
[10] J. Magnus,et al. The Jacobian of the Exponential Function , 2020, Journal of Economic Dynamics and Control.
[11] G. Bekaert,et al. Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis , 2020, Finance and Economics Discussion Series.
[12] Tetsuya Kaji,et al. Theory of Weak Identification in Semiparametric Models , 2019, Econometrica.
[13] H. Herwartz. Long‐run neutrality of demand shocks: Revisiting Blanchard and Quah (1989) with independent structural shocks , 2019, Journal of Applied Econometrics.
[14] C. Gouriéroux,et al. Identification and Estimation in Non-Fundamental Structural VARMA Models , 2019, The Review of Economic Studies.
[15] Simone Maxand. Identification of independent structural shocks in the presence of multiple Gaussian components , 2018 .
[16] Ze Jin,et al. Optimization and testing in linear non‐Gaussian component analysis , 2017, Stat. Anal. Data Min..
[17] E. Fox,et al. Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series. , 2017, Biometrika.
[18] G. Bekaert,et al. Macro Risks and the Term Structure of Interest Rates , 2016, Journal of Financial Economics.
[19] David S. Matteson,et al. Linear Non-Gaussian Component Analysis Via Maximum Likelihood , 2015, Journal of the American Statistical Association.
[20] P. Saikkonen,et al. Identification and estimation of non-Gaussian structural vector autoregressions , 2015 .
[21] Anna Mikusheva,et al. Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models , 2015 .
[22] D. Andrews,et al. Identification- and Singularity-Robust Inference for Moment Condition Models , 2015, SSRN Electronic Journal.
[23] Alex Coad,et al. Causal Inference by Independent Component Analysis: Theory and Applications , 2013 .
[24] David S. Matteson,et al. Independent Component Analysis via Distance Covariance , 2013, 1306.4911.
[25] J. L. M. Olea,et al. A Robust Test for Weak Instruments , 2013 .
[26] Ananda Sen,et al. On the Interrelation Between the Sample Mean and the Sample Variance , 2012 .
[27] D. Andrews,et al. Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure , 2011 .
[28] D. Andrews,et al. Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests , 2011, Journal of Econometrics.
[29] Frank Schorfheide,et al. Inference for VARs Identified with Sign Restrictions , 2011, 1709.10196.
[30] Toni M. Whited,et al. Erratum: Measurement Error and the Relationship between Investment and q , 2010, Journal of Political Economy.
[31] D. Andrews,et al. Estimation and Inference with Weak, Semi-Strong, and Strong Identification , 2010 .
[32] S. Bonhomme,et al. Consistent noisy independent component analysis , 2008 .
[33] James B. McDonald,et al. Instrumental Variables Estimation With Flexible Distributions , 2007 .
[34] Richard K. Crump,et al. Optimal Inference for Instrumental Variables Regression with Non-Gaussian Errors , 2007 .
[35] P. Bickel,et al. Efficient independent component analysis , 2006, 0705.4230.
[36] Thomas M. Stoker,et al. Tailor-made tests for goodness of fit to semiparametric hypotheses , 2006, math/0607014.
[37] H. Luetkepohl,et al. Structural Vector Autoregressions With Nonnormal Residuals , 2006, SSRN Electronic Journal.
[38] Frank Kleibergen,et al. Testing Parameters in GMM without Assuming that they are identified , 2005 .
[39] Marcelo J. Moreira. A Conditional Likelihood Ratio Test for Structural Models , 2003 .
[40] Toni M. Whited,et al. TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS , 2002, Econometric Theory.
[41] Jonathan H. Wright,et al. GMM WITH WEAK IDENTIFICATION , 2000 .
[42] Shun-ichi Amari,et al. Blind source separation-semiparametric statistical approach , 1997, IEEE Trans. Signal Process..
[43] W. J. Hall,et al. Asymptotically uniformly most powerful tests in parametric and semiparametric models , 1996 .
[44] J. Stock,et al. Instrumental Variables Regression with Weak Instruments , 1994 .
[45] David Card,et al. Using Geographic Variation in College Proximity to Estimate the Return to Schooling , 1993 .
[46] Kun Jin,et al. Empirical smoothing parameter selection in adaptive estimation , 1992 .
[47] M. Wand,et al. EXACT MEAN INTEGRATED SQUARED ERROR , 1992 .
[48] S. Kocherlakota,et al. Neyman's C(α) test and Rao's efficient score test for composite hypotheses , 1991 .
[49] W. J. Hall,et al. On large-sample estimation and testing in parametric models , 1990 .
[50] W. Newey,et al. Semiparametric Efficiency Bounds , 1990 .
[51] D. Andrews. Asymptotic Results for Generalized Wald Tests , 1987, Econometric Theory.
[52] Tom Wansbeek,et al. Identification in the Linear Errors in Variables Model , 1983 .
[53] T. Rothenberg. Identification in Parametric Models , 1971 .
[54] O. Reiersøl. Identifiability of a Linear Relation between Variables Which Are Subject to Error , 1950 .
[55] T. W. Anderson,et al. Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations , 1949 .
[56] T. Haavelmo,et al. The probability approach in econometrics , 1944 .
[57] Bodhisattva Sen,et al. Semiparametric Statistics , 2018 .
[58] C. Gouriéroux,et al. Statistical Inference for Independent Component Analysis: Application to Structural VAR Models , 2017 .
[59] Helmut Lütkepohl,et al. Modified wald tests under nonregular conditions , 1997 .
[60] M. Dagenais,et al. Higher moment estimators for linear regression models with errors in the variables , 1997 .
[61] Signal Processing , 1991 .
[62] Noel Roy,et al. What Do Statistical Demand Curves Show? A Monte Carlo Study of the Effects of Single Equation Estimation of Groundfish Demand Functions , 1991 .
[63] T. Haavelmo. The Statistical Implications of a System of Simultaneous Equations , 1943 .
[64] R. Frisch. Propagation problems and impulse problems in dynamic economics , 1933 .