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Econometrics Paper
Jackknife, small bandwidth and high-dimensional asymptotics Yukitoshi Matsushita and Taisuke Otsu
July 2019
Paper No' EM 605:
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JEL Classification: C14

Tags: jackknife; empirical likelihood; nonstandard asymptotics

Econometrics Paper
Likelihood corrections for two-way models Koen Jochmans and Taisuke Otsu
February 2018
Paper No' EM 598:
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JEL Classification: C12; C14

Tags: asymptotic bias; bias correction; fixed effects; information bias; modified profile likelihood; panel data; mcmc; penalization; rectangular-array asymptotics

Econometrics Paper
Asymptotics for maximum score method under general conditions Myung Hwan Seo and Taisuke Otsu
January 2014
(Revised: 28/08/2014)
Paper No' EM/2014/571:
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JEL Classification: C13

Tags: maximum score; cube root asymptotics; set inference

Econometrics Paper
Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator Wolfgang Härdle, Oliver Linton and Yingcun Xia July 2009
Paper No' EM/2009/537:
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Tags: ade; asymptotics; bandwidth; mave method; semiparametric efficiency.

Econometrics Paper
Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices Paolo Zaffaroni
May 1997
Paper No' EM/1997/329:
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Tags: stochastic volatility; long memory; asymptotics.