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Details about Patrik Guggenberger

Homepage:https://patrikguggenberger.wordpress.com/
Workplace:Department of Economics, Pennsylvania State University, (more information at EDIRC)

Access statistics for papers by Patrik Guggenberger.

Last updated 2018-04-05. Update your information in the RePEc Author Service.

Short-id: pgu640


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Working Papers

2015

  1. Identification- and Singularity-Robust Inference for Moment Condition
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)

2014

  1. Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS, Econometric Theory, Cambridge University Press (2017) Downloads View citations (13) (2017)

2012

  1. A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads

    See also Journal Article A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter, The Review of Economics and Statistics, MIT Press (2014) Downloads View citations (11) (2014)
  2. Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) Downloads

    See also Journal Article Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity, Journal of Econometrics, Elsevier (2012) Downloads View citations (6) (2012)

2011

  1. Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (38)

2008

  1. The Impact of a Hausman Pretest on the Size of Hypothesis Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)

2007

  1. Applications of Subsampling, Hybrid, and Size-Correction Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in UCLA Economics Online Papers, UCLA Department of Economics Downloads

    See also Journal Article Applications of subsampling, hybrid, and size-correction methods, Journal of Econometrics, Elsevier (2010) Downloads View citations (21) (2010)
  2. Asymptotics for Stationary Very Nearly Unit Root Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article Asymptotics for stationary very nearly unit root processes, Journal of Time Series Analysis, Wiley Blackwell (2008) Downloads View citations (6) (2008)
  3. Hybrid and Size-Corrected Subsample Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  4. The Limit of Finite-Sample Size and a Problem with Subsampling
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (6)
  5. Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (11)
    See also Journal Article VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES, Econometric Theory, Cambridge University Press (2009) Downloads View citations (148) (2009)

2006

  1. Finite-Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, accepted for publication, Econometric Reviews
    UCLA Economics Online Papers, UCLA Department of Economics Downloads View citations (1)
  2. The limit of finite sample size and a problem with subsampling (joint with D.W.K. Andrews), June 2005, this version March 2007
    UCLA Economics Online Papers, UCLA Department of Economics Downloads

2005

  1. Generalized Empirical Likelihood Tests in Time Series Models With Potential Identification Failure (joint with R.J.Smith), accepted for publication, Journal of Econometrics
    UCLA Economics Online Papers, UCLA Department of Economics Downloads

2004

  1. Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (2)
    See also Journal Article BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION, Econometric Theory, Cambridge University Press (2006) Downloads View citations (10) (2006)

2001

  1. Efficiency Properties of Labor Taxation in a Spatial Model of Restricted Labor Mobility
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads
    See also Journal Article Efficiency properties of labor taxation in a spatial model of restricted labor mobility, Regional Science and Urban Economics, Elsevier (2002) Downloads View citations (2) (2002)

2000

  1. A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter, Econometrica, Econometric Society (2003) View citations (102) (2003)

Undated

  1. Asymptotics for Stationary Very Nearly Unit Root Processes (joint with D.W.K. Andrews), this version November 2006
    UCLA Economics Online Papers, UCLA Department of Economics Downloads
  2. Hybrid and size-corrected subsample methods (joint with D.W.K. Andrews), June 2005, this version March 2007
    UCLA Economics Online Papers, UCLA Department of Economics Downloads
  3. Specification Testing under Moment Inequalities (joint with J. Hahn and K. Kim), 2006, revised April 2007
    UCLA Economics Online Papers, UCLA Department of Economics Downloads

Journal Articles

2017

  1. ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
    Econometric Theory, 2017, 33, (5), 1046-1080 Downloads View citations (13)
    See also Working Paper Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models, Cowles Foundation Discussion Papers (2014) Downloads View citations (2) (2014)

2014

  1. A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
    The Review of Economics and Statistics, 2014, 96, (2), 376-381 Downloads View citations (11)
    See also Working Paper A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter, Cowles Foundation Discussion Papers (2012) Downloads (2012)

2012

  1. A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
    Economics Letters, 2012, 117, (3), 901-904 Downloads View citations (5)
  2. A note on the relation between local power and robustness to misspecification
    Economics Letters, 2012, 116, (2), 133-135 Downloads
  3. Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
    Journal of Econometrics, 2012, 169, (2), 196-210 Downloads View citations (6)
    See also Working Paper Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity, Cowles Foundation Discussion Papers (2012) Downloads View citations (6) (2012)
  4. Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models
    Econometrica, 2012, 80, (4), 1741-1768 Downloads View citations (18)
  5. GEL statistics under weak identification
    Journal of Econometrics, 2012, 170, (2), 331-349 Downloads View citations (6)
  6. ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
    Econometric Theory, 2012, 28, (2), 387-421 Downloads View citations (55)
  7. On the Asymptotic Sizes of Subset Anderson–Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression
    Econometrica, 2012, 80, (6), 2649-2666 Downloads View citations (46)
  8. On the size distortion of tests after an overidentifying restrictions pretest
    Journal of Applied Econometrics, 2012, 27, (7), 1138-1160 View citations (17)

2010

  1. ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
    Econometric Theory, 2010, 26, (2), 426-468 Downloads View citations (79)
  2. Applications of subsampling, hybrid, and size-correction methods
    Journal of Econometrics, 2010, 158, (2), 285-305 Downloads View citations (21)
    See also Working Paper Applications of Subsampling, Hybrid, and Size-Correction Methods, Cowles Foundation Discussion Papers (2007) Downloads (2007)
  3. Book Review: Identification and Inference for Econometric Models
    Econometric Reviews, 2010, 29, (1), 99-105 Downloads
  4. THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST
    Econometric Theory, 2010, 26, (2), 369-382 Downloads View citations (57)
  5. The impact of a Hausman pretest on the size of a hypothesis test: The panel data case
    Journal of Econometrics, 2010, 156, (2), 337-343 Downloads View citations (35)

2009

  1. Hybrid and Size-Corrected Subsampling Methods
    Econometrica, 2009, 77, (3), 721-762 Downloads View citations (60)
  2. Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
    Journal of Econometrics, 2009, 152, (1), 19-27 Downloads View citations (17)
  3. VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
    Econometric Theory, 2009, 25, (3), 669-709 Downloads View citations (148)
    See also Working Paper Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities, Cowles Foundation Discussion Papers (2007) Downloads View citations (11) (2007)

2008

  1. Asymptotics for stationary very nearly unit root processes
    Journal of Time Series Analysis, 2008, 29, (1), 203-212 Downloads View citations (6)
    See also Working Paper Asymptotics for Stationary Very Nearly Unit Root Processes, Cowles Foundation Discussion Papers (2007) Downloads View citations (4) (2007)
  2. Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
    Econometric Reviews, 2008, 27, (4-6), 526-541 Downloads View citations (32)
  3. Generalized empirical likelihood tests in time series models with potential identification failure
    Journal of Econometrics, 2008, 142, (1), 134-161 Downloads View citations (17)
  4. Specification testing under moment inequalities
    Economics Letters, 2008, 99, (2), 375-378 Downloads View citations (21)

2006

  1. BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
    Econometric Theory, 2006, 22, (5), 863-912 Downloads View citations (10)
    See also Working Paper Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation, University of California at San Diego, Economics Working Paper Series (2004) Downloads View citations (2) (2004)

2005

  1. Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
    Econometric Reviews, 2005, 24, (3), 247-263 Downloads View citations (12)
  2. GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
    Econometric Theory, 2005, 21, (4), 667-709 Downloads View citations (72)
  3. Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator
    Economics Bulletin, 2005, 3, (13), 1-6 Downloads View citations (9)

2003

  1. A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter
    Econometrica, 2003, 71, (2), 675-712 View citations (102)
    See also Working Paper A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter, Cowles Foundation Discussion Papers (2000) Downloads View citations (6) (2000)

2002

  1. Efficiency properties of labor taxation in a spatial model of restricted labor mobility
    Regional Science and Urban Economics, 2002, 32, (4), 447-473 Downloads View citations (2)
    See also Working Paper Efficiency Properties of Labor Taxation in a Spatial Model of Restricted Labor Mobility, IZA Discussion Papers (2001) Downloads (2001)
 
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