Adam McCloskey

Brown University - Department of Economics

64 Waterman Street

Providence, RI 02912

United States

SCHOLARLY PAPERS

5

DOWNLOADS

151

CITATIONS
Rank 36,292

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Top 36,292

in Total Papers Citations

5

Scholarly Papers (5)

1.

Bonferroni-Based Size-Correction for Nonstandard Testing Problems

Number of pages: 67 Posted: 06 Nov 2012 Last Revised: 08 Jul 2016
Adam McCloskey
Brown University - Department of Economics
Downloads 32 (310,918)
Citation 2

Abstract:

Hypothesis testing, uniform inference, asymptotic size, Bonferroni bounds, power, size-correction, model selection, pretesting, local asymptotics

Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends

Number of pages: 31 Posted: 06 Nov 2012
Adam McCloskey
Brown University - Department of Economics
Downloads 28 (423,060)

Abstract:

stochastic volatility, frequency domain estimation, robust estimation, spurious persistence, long-memory, level shifts, structural change, deterministic trends

Estimation of the Long‐Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends

Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 285-301, 2013
Number of pages: 17 Posted: 26 Apr 2013
Adam McCloskey
Brown University - Department of Economics
Downloads 1 (583,556)
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Abstract:

Stochastic volatility, frequency domain estimation, robust estimation, spurious persistence, long‐memory, level shifts, structural change, deterministic trends

3.

Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends

Number of pages: 40 Posted: 06 Nov 2012
Adam McCloskey and Pierre Perron
Brown University - Department of Economics and Boston University - Department of Economics
Downloads 28 (383,171)
Citation 2

Abstract:

long-memory processes, semiparametric estimators, level shifts, structural

4.

Estimation and Inference with a (Nearly) Singular Jacobian

Number of pages: 85 Posted: 08 Jul 2016
Sukjin Han and Adam McCloskey
University of Texas at Austin - Department of Economics and Brown University - Department of Economics
Downloads 0 (431,374)

Abstract:

reparameterization, deficient rank Jacobian, asymptotic size, uniform inference, subvector inference, extremum estimators, identification, nonlinear models, Wald test, weak identification, under-identification

5.

Parameter Estimation Robust to Low-Frequency Contamination

Number of pages: 28 Posted: 08 Jul 2016
Adam McCloskey and Jonathan B. Hill
Brown University - Department of Economics and University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 0 (527,812)
Citation 1

Abstract:

frequency domain estimation, robust estimation, spurious persistence, level shifts, structural change, deterministic trends, ARMA, stochastic volatility, GARCH