24 citations · 25 across the 3 of their papers we have counts for
3 papers · 1 filter
A supreme test for periodic explosive GARCH
Stefan Richter, Weining Wang, Wei Biao Wu
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH (generalized autoregressive conditional heteroskedasticity) process. Nam…
Using generalized estimating equations to estimate nonlinear models with spatial data
Cuicui Lu, Weining Wang, Jeffrey M. Wooldridge
In this paper, we study estimation of nonlinear models with cross sectional data using two-step generalized estimating equations (GEE) in the quasi-maximum likelihood estimation (Q…
LASSO-Driven Inference in Time and Space
Victor Chernozhukov, Wolfgang K. Härdle, Chen Huang +1
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes…