10 citations · 13 across the 3 of their papers we have counts for
3 papers
econ.EM2019
Robust Nearly-Efficient Estimation of Large Panels with Factor Structures
Marco Avarucci, Paolo Zaffaroni
This paper studies estimation of linear panel regression models with heterogeneous coefficients, when both the regressors and the residual contain a possibly common, latent, factor…
stat.ME2015★ 3 cited
Uniform Convergence of Multivariate Spectral Density Estimates
Wei Biao Wu, Paolo Zaffaroni
We consider uniform moment convergence of lag-window spectral density estimates for univariate and multivariate stationary processes. Optimal rates of convergence are obtained unde…
math.ST2006★ 10 cited
Pseudo-maximum likelihood estimation of ARCH models
Peter M. Robinson, Paolo Zaffaroni
Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH processes are established. The co…