Details about Guido M. Kuersteiner

Access statistics for papers by Guido M. Kuersteiner.

Last updated 2024-09-08. Update your information in the RePEc Author Service.

Short-id: pku116

Working Papers

2024

1. Differential Test Performance and Peer Effects
   Papers, arXiv.org
2. Efficient Bias Correction for Cross-section and Panel Data
   Papers, arXiv.org View citations (1)
   See also Journal Article Efficient bias correction for cross‐section and panel data, Quantitative Economics, Econometric Society (2024) (2024)
3. Inference for Local Projections
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Papers, arXiv.org (2024)
   Working Paper Series, Federal Reserve Bank of San Francisco (2024)
4. Overidentification in Shift-Share Designs
   Papers, arXiv.org View citations (1)

2023

5. Significance Bands for Local Projections
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)

2022

6. Efficient Peer Effects Estimators with Group Effects
   Papers, arXiv.org
   See also Journal Article Efficient peer effects estimators with group effects, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)

2019

7. Study of a Peer Effect with Random Group Effects
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2016

8. Effective Sterilized Foreign Exchange Intervention? Evidence from a Rule-Based Policy
   Borradores de Economia, Banco de la Republica de Colombia View citations (19)
   See also Journal Article Effective sterilized foreign exchange intervention? Evidence from a rule-based policy, Journal of International Economics, Elsevier (2018) View citations (50) (2018)
9. Supplementary Material for “The Effects of Foreign Exchange Intervention: Evidence from a Rule-Based Policy in Colombia”
   Borradores de Economia, Banco de la Republica de Colombia View citations (4)

2015

10. Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
    CESifo Working Paper Series, CESifo View citations (9)
    See also Journal Article Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity, Econometrica, Econometric Society (2020) View citations (35) (2020)

2013

11. Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (38)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (37)
    See also Journal Article Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (109) (2018)

2008

12. Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (2)
    See also Journal Article Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score, The Review of Economics and Statistics, MIT Press (2011) View citations (83) (2011)

2005

13. Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed E¤ects
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (19)
14. Difference in Difference Meets Generalized Least Squares: Higher Order Properties of Hypotheses Tests
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
    See also Journal Article Difference in difference meets generalized least squares: Higher order properties of hypotheses tests, Journal of Econometrics, Elsevier (2008) View citations (29) (2008)

2004

15. Semiparametric Causality Tests Using the Policy Propensity Score
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)

2000

16. RMSE Reduction for GMM Estimators of Linear Time Series Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (5)

1999

17. Efficiency IV Estimation for Autoregressive Models with Conditional Heterogeneity
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (2)
18. Optimal Instrumental Variables Estimation for ARMA Models
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
    See also Journal Article Optimal instrumental variables estimation for ARMA models, Journal of Econometrics, Elsevier (2001) View citations (22) (2001)

Journal Articles

2024

1. CENTRAL LIMIT THEORY FOR COMBINED CROSS SECTION AND TIME SERIES WITH AN APPLICATION TO AGGREGATE PRODUCTIVITY SHOCKS
   Econometric Theory, 2024, 40, (1), 162-212
2. Efficient bias correction for cross‐section and panel data
   Quantitative Economics, 2024, 15, (3), 783-816
   See also Working Paper Efficient Bias Correction for Cross-section and Panel Data, Papers (2024) View citations (1) (2024)

2023

3. Efficient peer effects estimators with group effects
   Journal of Econometrics, 2023, 235, (2), 2155-2194 View citations (1)
   See also Working Paper Efficient Peer Effects Estimators with Group Effects, Papers (2022) (2022)

2022

4. GUEST EDITORS’ INTRODUCTION PART ONE: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS
   Econometric Theory, 2022, 38, (5), 841-844
5. GUEST EDITORS’ INTRODUCTION PART TWO: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C.B. PHILLIPS
   Econometric Theory, 2022, 38, (6), 1069-1072
6. JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS
   Econometric Theory, 2022, 38, (5), 942-958

2020

7. Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
   Econometrica, 2020, 88, (5), 2109-2146 View citations (35)
   See also Working Paper Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity, CESifo Working Paper Series (2015) View citations (9) (2015)

2019

8. Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
   Journal of Econometrics, 2019, 211, (1), 243-261 View citations (3)

2018

9. Effective sterilized foreign exchange intervention? Evidence from a rule-based policy
   Journal of International Economics, 2018, 113, (C), 118-138 View citations (50)
   See also Working Paper Effective Sterilized Foreign Exchange Intervention? Evidence from a Rule-Based Policy, Borradores de Economia (2016) View citations (19) (2016)
10. Ingmar Prucha’s contributions to economics and econometrics
    Empirical Economics, 2018, 55, (1), 7-16
11. Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited
    Journal of Business & Economic Statistics, 2018, 36, (3), 371-387 View citations (109)
    See also Working Paper Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited, Working Paper Series (2013) View citations (38) (2013)

2013

12. Limit theory for panel data models with cross sectional dependence and sequential exogeneity
    Journal of Econometrics, 2013, 174, (2), 107-126 View citations (33)

2012

13. Kernel-weighted GMM estimators for linear time series models
    Journal of Econometrics, 2012, 170, (2), 399-421 View citations (10)

2011

14. BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS
    Econometric Theory, 2011, 27, (6), 1152-1191 View citations (158)
15. Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
    The Review of Economics and Statistics, 2011, 93, (3), 725-747 View citations (83)
    See also Working Paper Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score, IZA Discussion Papers (2008) View citations (2) (2008)

2010

16. Constructing Optimal Instruments by First-Stage Prediction Averaging
    Econometrica, 2010, 78, (2), 697-718 View citations (46)
17. Stationarity and mixing properties of the dynamic Tobit model
    Economics Letters, 2010, 107, (2), 105-111 View citations (13)

2008

18. Difference in difference meets generalized least squares: Higher order properties of hypotheses tests
    Journal of Econometrics, 2008, 144, (2), 371-391 View citations (29)
    See also Working Paper Difference in Difference Meets Generalized Least Squares: Higher Order Properties of Hypotheses Tests, Boston University - Department of Economics - Working Papers Series (2005) View citations (2) (2005)

2007

19. Long difference instrumental variables estimation for dynamic panel models with fixed effects
    Journal of Econometrics, 2007, 140, (2), 574-617 View citations (84)

2005

20. AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
    Econometric Theory, 2005, 21, (1), 85-115 View citations (24)

2004

21. Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large
    Economics Letters, 2004, 84, (1), 117-125 View citations (5)
22. Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations
    Econometrics Journal, 2004, 7, (1), 272-306 View citations (207)

2002

23. Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large
    Econometrica, 2002, 70, (4), 1639-1657 View citations (395)
24. Discontinuities of weak instrument limiting distributions
    Economics Letters, 2002, 75, (3), 325-331 View citations (40)
25. EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2002, 18, (3), 547-583 View citations (22)

2001

26. Optimal instrumental variables estimation for ARMA models
    Journal of Econometrics, 2001, 104, (2), 359-405 View citations (22)
    See also Working Paper Optimal Instrumental Variables Estimation for ARMA Models, Working papers (1999) (1999)

1994

27. Real Business Cycle Models - Some Evidence for Switzerland
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (I), 21-43