Averaging estimators for autoregressions with a near unit root

By B. Hansen. 2010

64 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/4676b72476ee2ad3063ea8c26efd927c028590f6

Citations in the corpus

• Jackknife model averaging for quantile regressions (2015, unknown): “The latter condition can be met in the case of nonparametric sieve estimation where →∞ as →∞ for = 1 Alternatively, it is also automatically satisfied if one would like to consider the local asymptotic framework as in Hjort and Clasekens (2003), Leung and Barron (2006), Pötscher (2006), Clasekens ”