Search Results - "Dou, Liyu"

Optimal HAR inference by Dou, Liyu

“…This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main…”
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GENERALIZED LOCAL-TO-UNITY MODELS by Dou, Liyu, Müller, Ulrich K.

“…We introduce a generalization of the popular local-to-unity model of time series persistence by allowing for p autoregressive (AR) roots and p - 1 moving…”
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Essays in Time Series Econometrics by Dou, Liyu

“…This collection of essays investigates robust inference and modelling in time series econometrics. Chapter 1 considers the problem of deriving…”
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