2 papers
econ.EM2020
Locally trimmed least squares: conventional inference in possibly nonstationary models
Zhishui Hu, Ioannis Kasparis, Qiying Wang
A novel IV estimation method, that we term Locally Trimmed LS (LTLS), is developed which yields estimators with (mixed) Gaussian limit distributions in situations where the data ma…
math.ST2018
Estimation and Inference in the Presence of Fractional d=1/2 and Weakly Nonstationary Processes
James A. Duffy, Ioannis Kasparis
We provide new limit theory for functionals of a general class of processes lying at the boundary between stationarity and nonstationarity -- what we term weakly nonstationary proc…