Donald W K Andrews
Dados Biográficos
| ID | 5804479 |
|---|---|
| NOME | Donald W K Andrews |
| PRENOMES | Donald W K |
| SOBRENOME | Andrews |
| ASSINATURA | ANDREWS D W K |
| AFILIAÇÕES | Yale University |
| VERIFICADO | Não |
| TOTAL DE OBRAS | 13 |
| TOTAL DE CITAÇÕES | 72 |
| TOTAL COMO AUTOR | 12 |
| TOTAL COMO EDITOR | 2 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 1973 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 2014 |
| ÍNDICE H | 1 |
A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of Stock's (1991) CI that employs the least squares estimator and a heteroskedasticity-robust variance estimator. The CI is shown to have correct asymptotic si…
Identification and Inference for Econometric Models
Tests for Cointegration Breakdown Over a Short Time Period
This article introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based on the postbreakdown sum of squared residuals and sum of squared reverse partial sums of residuals. Critical values are provided using a subsampling met…
Identification and Inference for Econometric Models
This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distribution…
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Recently, Perron has carried out tests of the unit-root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil-price shock. His analysis covers the Nelson–Plosser macroeconomic data series as well as a postwar quarterly real gross national product (GNP) series. His tests reject the unit-root null hypothesis for most of the series. This article takes iss…
Generalized Method of Moments Estimation When a Parameter Is on a Boundary
This article establishes the asymptotic distributions of generalized method of moments (GMM) estimators when the true parameter lies on the boundary of the parameter space. The conditions allow the estimator objective function to be nonsmooth and to depend on preliminary estimators. The boundary of the parameter space may be curved and/or kinked. The article discusses three examples: (1) instrumental variables (IV) estimation of a regression mode…
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier, Wald, and likelihood ratio do not apply. A weighted average power criterion i…
Approximately Median-Unbiased Estimation of Autoregressive Models
This article introduces approximately median-unbiased estimators for univariate AR(p) models with time trends. Confidence intervals also are considered. The methods are applied to the Nelson–Plosser macroeconomic data series, the extended Nelson–Plosser macroeconomic data series, and some annual stock-dividend and price series. The results show that most of the series exhibit substantially greater persistence than least squares estimates and some…
Tests for Parameter Instability and Structural Change With Unknown Change Point
This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here …
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators. The estimators considered are prewhitened kernel estimators with vector autoregressions employed in the prewhitening stage. The paper establishes consistency, rate of convergence, and asymptotic truncated mean squared error (MSE) results for the estimators when a fixed or automatic bandwidth procedure is employed. Conditions a…
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Recently, Perron has carried out tests of the unit-root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil-price shock. His analysis covers the Nelson–Plosser macroeconomic data series as well as a postwar quarterly real gross national product (GNP) series. His tests reject the unit-root null hypothesis for most of the series. This article takes iss…
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. Results in the literature provide a condition on the growth rate of the lag truncation parameter as T \rightarrow \infty that is sufficient for consistency. No resu…
Letters
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. Results in the literature provide a condition on the growth rate of the lag truncation parameter as T \rightarrow \infty that is sufficient for consistency. No resu…
Letters
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. Results in the literature provide a condition on the growth rate of the lag truncation parameter as T \rightarrow \infty that is sufficient for consistency. No resu…
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators. The estimators considered are prewhitened kernel estimators with vector autoregressions employed in the prewhitening stage. The paper establishes consistency, rate of convergence, and asymptotic truncated mean squared error (MSE) results for the estimators when a fixed or automatic bandwidth procedure is employed. Conditions a…
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Recently, Perron has carried out tests of the unit-root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil-price shock. His analysis covers the Nelson–Plosser macroeconomic data series as well as a postwar quarterly real gross national product (GNP) series. His tests reject the unit-root null hypothesis for most of the series. This article takes iss…
Tests for Parameter Instability and Structural Change With Unknown Change Point
This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here …
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier, Wald, and likelihood ratio do not apply. A weighted average power criterion i…
Approximately Median-Unbiased Estimation of Autoregressive Models
This article introduces approximately median-unbiased estimators for univariate AR(p) models with time trends. Confidence intervals also are considered. The methods are applied to the Nelson–Plosser macroeconomic data series, the extended Nelson–Plosser macroeconomic data series, and some annual stock-dividend and price series. The results show that most of the series exhibit substantially greater persistence than least squares estimates and some…
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Recently, Perron has carried out tests of the unit-root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil-price shock. His analysis covers the Nelson–Plosser macroeconomic data series as well as a postwar quarterly real gross national product (GNP) series. His tests reject the unit-root null hypothesis for most of the series. This article takes iss…
Generalized Method of Moments Estimation When a Parameter Is on a Boundary
This article establishes the asymptotic distributions of generalized method of moments (GMM) estimators when the true parameter lies on the boundary of the parameter space. The conditions allow the estimator objective function to be nonsmooth and to depend on preliminary estimators. The boundary of the parameter space may be curved and/or kinked. The article discusses three examples: (1) instrumental variables (IV) estimation of a regression mode…
Identification and Inference for Econometric Models
This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distribution…
Tests for Cointegration Breakdown Over a Short Time Period
This article introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based on the postbreakdown sum of squared residuals and sum of squared reverse partial sums of residuals. Critical values are provided using a subsampling met…
Identification and Inference for Econometric Models
A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of Stock's (1991) CI that employs the least squares estimator and a heteroskedasticity-robust variance estimator. The CI is shown to have correct asymptotic si…
Mathematics (11 obras) · Econometrics (10 obras) · Statistics (10 obras) · Monetary Policy and Economic Impact (7 obras) · Economics (6 obras) · Computer Science (5 obras) · Estimator (4 obras) · Financial Risk and Volatility Modeling (4 obras) · Statistical Methods and Inference (4 obras) · Autoregressive model (3 obras)