Andrews, Donald W. K
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- Approximately median-unbiased estimation of autoregressive models with applications to US macroeconomic and financial time series
- Optimal tests when a nuisance parameter is presently only under the alternative
- Adaptive local polynomial whittle estimation of long-range dependence
- Tests for parameter instability and structural change with unknown change point
- Generic uniform convergence
- Additive interactive regression models, circumvention of the curse of dimensionality
- Exactly unbiased estimation of first order autoregressive/unit root models
- An introduction to econometric applications of functional limit theory for dependent random variables
- The large sample correspondence between classical hypothesis tests and Bayesian posterior odds tests
- Optimal changepoint tests for normal linear regression
- An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator
- Estimation of polynomial distributed lags and leads with end point constraints
- A functional central limit theorem for strong mixing stochastic processes