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1

The impact of a Hausman pretest on the size of a hypothesis test: The panel data case

Patrik Guggenberger

Journal:

Journal of Econometrics

Year:

2010

Language:

english

File:

PDF, 449 KB

english, 2010

2

Asymptotics for stationary very nearly unit root processes

Donald W. K. Andrews, Patrik Guggenberger

Journal:

Journal of Time Series Analysis

Year:

2008

Language:

english

File:

PDF, 508 KB

english, 2008

3

A note on the relation between local power and robustness to misspecification

Patrik Guggenberger

Journal:

Economics Letters

Year:

2012

Language:

english

File:

PDF, 185 KB

english, 2012

4

Generalized empirical likelihood tests in time series models with potential identification failure

Patrik Guggenberger, Richard J. Smith

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 484 KB

english, 2008

5

Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators

Donald W.K. Andrews, Patrik Guggenberger

Journal:

Journal of Econometrics

Year:

2009

Language:

english

File:

PDF, 1.89 MB

english, 2009

6

Applications of subsampling, hybrid, and size-correction methods

Donald W.K. Andrews, Patrik Guggenberger

Journal:

Journal of Econometrics

Year:

2010

Language:

english

File:

PDF, 795 KB

english, 2010

7

A Bias–Reduced Log–Periodogram Regression Estimator for the Long–Memory Parameter

Donald W. K. Andrews, Patrik Guggenberger

Journal:

Year:

2003

Language:

english

File:

PDF, 380 KB

english, 2003

8

Hybrid and Size-Corrected Subsampling Methods

Donald W. K. Andrews, Patrik Guggenberger

Journal:

Year:

2009

Language:

english

File:

PDF, 449 KB

english, 2009

9

On the size distortion of tests after an overidentifying restrictions pretest

Patrik Guggenberger, Gitanjali Kumar

Journal:

Journal of Applied Econometrics

Year:

2012

Language:

english

File:

PDF, 283 KB

english, 2012

10

Efficiency properties of labor taxation in a spatial model of restricted labor mobility

Patrik Guggenberger, Ashok Kaul, Martin Kolmar

Journal:

Regional Science and Urban Economics

Year:

2002

Language:

english

File:

PDF, 167 KB

english, 2002

11

Specification testing under moment inequalities

Patrik Guggenberger, Jinyong Hahn, Kyooil Kim

Journal:

Economics Letters

Year:

2008

Language:

english

File:

PDF, 156 KB

english, 2008

12

Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

Donald W.K. Andrews, Patrik Guggenberger

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 394 KB

english, 2012

13

GEL statistics under weak identification

Patrik Guggenberger, Joaquim J.S. Ramalho, Richard J. Smith

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 453 KB

english, 2012

14

A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters

Patrik Guggenberger

Journal:

Economics Letters

Year:

2012

Language:

english

File:

PDF, 227 KB

english, 2012

15

Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models

Federico A. Bugni, Ivan A. Canay, Patrik Guggenberger

Journal:

Year:

2012

Language:

english

File:

PDF, 323 KB

english, 2012

16

Book Review: Identification and Inference for Econometric Models

Guggenberger, Patrik

Journal:

Econometric Reviews

Year:

2009

Language:

english

File:

PDF, 80 KB

english, 2009

17

Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator

Guggenberger, Patrik

Journal:

Econometric Reviews

Year:

2008

Language:

english

File:

PDF, 126 KB

english, 2008

18

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W. K., Guggenberger, Patrik

Journal:

Review of Economics and Statistics

Year:

2014

Language:

english

File:

PDF, 96 KB

english, 2014

19

Finite Sample Properties of the Two-Step Empirical Likelihood Estimator

Guggenberger, Patrik, Hahn, Jinyong

Journal:

Econometric Reviews

Year:

2005

Language:

english

File:

PDF, 135 KB

english, 2005

20

THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST

Guggenberger, Patrik

Journal:

Econometric Theory

Year:

2010

Language:

english

File:

PDF, 119 KB

english, 2010

21

VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES

Andrews, Donald W.K., Guggenberger, Patrik

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 293 KB

english, 2009

22

BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

Guggenberger, Patrik, Sun, Yixiao

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 385 KB

english, 2006

23

GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION

Guggenberger, Patrik, Smith, Richard J.

Journal:

Econometric Theory

Year:

2005

Language:

english

File:

PDF, 415 KB

english, 2005

24

ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION

Guggenberger, Patrik

Journal:

Econometric Theory

Year:

2012

Language:

english

File:

PDF, 264 KB

english, 2012

25

ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP

Andrews, Donald W.K., Guggenberger, Patrik

Journal:

Econometric Theory

Year:

2010

Language:

english

File:

PDF, 300 KB

english, 2010

26

Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities

Donald W. K. Andrews and Patrik Guggenberger

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 4.39 MB

english, 2009

27

Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter without Variance Inflation

Patrik Guggenberger and Yixiao Sun

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 4.05 MB

english, 2006

28

A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

Donald W. K. Andrews and Patrik Guggenberger

Journal:

Year:

2003

Language:

english

File:

PDF, 901 KB

english, 2003

29

DISTORTIONS OF ASYMPTOTIC CONFIDENCE SIZE IN LOCALLY MISSPECIFIED MOMENT INEQUALITY MODELS

Federico A. Bugni, Ivan A. Canay and Patrik Guggenberger

Journal:

Year:

2012

Language:

english

File:

PDF, 2.18 MB

english, 2012

30

Generalized Empirical Likelihood Estimators and Tests under Partial, Weak, and Strong Identification

Patrik Guggenberger and Richard J. Smith

Journal:

Econometric Theory

Year:

2005

Language:

english

File:

PDF, 4.33 MB

english, 2005

31

Hybrid and Size-Corrected Subsampling Methods

Donald W. K. Andrews and Patrik Guggenberger

Journal:

Year:

2009

Language:

english

File:

PDF, 3.17 MB

english, 2009

32

ON THE ASYMPTOTIC SIZES OF SUBSET ANDERSON—RUBIN AND LAGRANGE MULTIPLIER TESTS IN LINEAR INSTRUMENTAL VARIABLES REGRESSION

Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis and Linchun Chen

Journal:

Year:

2012

Language:

english

File:

PDF, 1.29 MB

english, 2012

33

ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS

Andrews, Donald W.K., Guggenberger, Patrik

Journal:

Econometric Theory

Year:

2017

Language:

english

File:

PDF, 362 KB

english, 2017

34

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W. K., Guggenberger, Patrik

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 351 KB

english, 2012

35

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity

Andrews, Donald W. K., Guggenberger, Patrik

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 375 KB

english, 2010

36

Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation

Guggenberger, Patrik, Sun, Yixiao

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 340 KB

english, 2004

37

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity

Andrews, Donald W. K., Guggenberger, Patrik

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 424 KB

english, 2012

38

Generic results for establishing the asymptotic size of confidence sets and tests

Andrews, Donald W.K., Cheng, Xu, Guggenberger, Patrik

Journal:

Journal of Econometrics

Year:

2020

File:

PDF, 801 KB

2020