Details about Patrik Guggenberger

Access statistics for papers by Patrik Guggenberger.

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

Short-id: pgu640

Working Papers

2015

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

2014

2. 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 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) View citations (13) (2017)

2012

3. A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011)
   See also Journal Article A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter, The Review of Economics and Statistics, MIT Press (2014) View citations (11) (2014)
4. 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 View citations (6)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008)
   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) View citations (6) (2012)

2011

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

2008

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

2007

7. Applications of Subsampling, Hybrid, and Size-Correction Methods
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in UCLA Economics Online Papers, UCLA Department of Economics
   See also Journal Article Applications of subsampling, hybrid, and size-correction methods, Journal of Econometrics, Elsevier (2010) View citations (21) (2010)
8. Asymptotics for Stationary Very Nearly Unit Root Processes
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
   See also Journal Article Asymptotics for stationary very nearly unit root processes, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (6) (2008)
9. Hybrid and Size-Corrected Subsample Methods
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
10. The Limit of Finite-Sample Size and a Problem with Subsampling
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (6)
11. 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 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) View citations (148) (2009)

2006

12. 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 View citations (1)
13. 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

2005

14. 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

2004

15. 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 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) View citations (10) (2006)

2001

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

2000

17. A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 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

18. 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
19. 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
20. Specification Testing under Moment Inequalities (joint with J. Hahn and K. Kim), 2006, revised April 2007
    UCLA Economics Online Papers, UCLA Department of Economics

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 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) View citations (2) (2014)

2014

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

2012

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

2010

11. ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
    Econometric Theory, 2010, 26, (2), 426-468 View citations (79)
12. Applications of subsampling, hybrid, and size-correction methods
    Journal of Econometrics, 2010, 158, (2), 285-305 View citations (21)
    See also Working Paper Applications of Subsampling, Hybrid, and Size-Correction Methods, Cowles Foundation Discussion Papers (2007) (2007)
13. Book Review: Identification and Inference for Econometric Models
    Econometric Reviews, 2010, 29, (1), 99-105
14. THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST
    Econometric Theory, 2010, 26, (2), 369-382 View citations (57)
15. 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 View citations (36)

2009

16. Hybrid and Size-Corrected Subsampling Methods
    Econometrica, 2009, 77, (3), 721-762 View citations (60)
17. Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
    Journal of Econometrics, 2009, 152, (1), 19-27 View citations (17)
18. VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
    Econometric Theory, 2009, 25, (3), 669-709 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) View citations (11) (2007)

2008

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

2006

23. BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
    Econometric Theory, 2006, 22, (5), 863-912 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) View citations (2) (2004)

2005

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

2003

27. 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) View citations (6) (2000)

2002

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