In this paper, we consider asymptotic inference in the multivariate BEKK model based on
(co) variance targeting (VT). By definition the VT estimator is a two‐step estimator and the …

On testing for high-dimensional white noise Page 1 The Annals of Statistics 2019, Vol. 47, No.
6, 3382–3412 https://doi.org/10.1214/18-AOS1782 © Institute of Mathematical Statistics, 2019 …

Bayesian model comparison is often based on the posterior distribution over the set of
compared models. This distribution is often observed to concentrate on a single model even …

This article investigates asymptotic properties of quasi-maximum likelihood (QML) estimates
for flow data on the dual gravity model in international trade with spatial interactions …

Nonparametric two sample testing is a decision theoretic problem that involves identifying
differences between two random variables without making parametric assumptions about …

This paper proposes an estimator for higher-order dynamic panel models based on the idea
of indirect inference by matching the simple within-group estimator with its analytical …

The most important aspect of any classifier is its error rate, because this quantifies its
predictive capacity. Thus, the accuracy of error estimation is critical. Error estimation is …

In this paper, we aim to test the overall significance of regression coefficients in high-
dimensional single-index models. We first reformulate the hypothesis testing problem under …

In a high-dimensional linear regression model, we propose a new procedure for testing
statistical significance of a subset of regression coefficients. Specifically, we employ the …

We investigate the finite-sample bias of the quasi-maximum likelihood estimator (QMLE) in
spatial autoregressive models with possible exogenous regressors. We derive the …