Patrik Guggenberger

Pennsylvania State University, College of the Liberal Arts - Department of Economic

524 Kern Graduate Building

University Park, PA 16802-3306

United States

SCHOLARLY PAPERS

15

DOWNLOADS

1,763

SSRN CITATIONS
Rank 11,133

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Top 11,133

in Total Papers Citations

38

CROSSREF CITATIONS

111

Scholarly Papers (15)

1.

Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests

Cowles Foundation Discussion Paper No. 1813
Number of pages: 48 Posted: 01 Aug 2011
Donald W. K. Andrews, Xu Cheng and Patrik Guggenberger
Yale University - Cowles Foundation, University of Pennsylvania - Department of Economics and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 276 (209,695)
Citation 38

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Asymptotically similar, Asymptotic size, Autoregressive model, Confidence interval, Nonlinear regression, Test, Weak instruments

Identification- and Singularity-Robust Inference for Moment Condition Models

Cowles Foundation Discussion Paper No. 1978
Number of pages: 154 Posted: 07 Jan 2015
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 104 (488,476)
Citation 11

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Moment conditions, Robust, Singular variance, Test, Weak identification, Weak instruments

Identification- and Singularity-Robust Inference for Moment Condition Models

Cowles Foundation Discussion Paper No. 1978R
Number of pages: 205 Posted: 18 Oct 2018
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 54 (717,354)
Citation 1

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Moment conditions, Robust, Singular variance, Test, Weak identification, Weak instruments

Identification- and Singularity-Robust Inference for Moment Condition Models

Cowles Foundation Discussion Paper No. 1978R2
Number of pages: 212 Posted: 05 Apr 2019
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 42 (800,591)
Citation 2

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Moment conditions, Robust, Singular variance, Test, Weak identification, Weak instruments

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity

Cowles Foundation Discussion Paper No. 1665RR
Number of pages: 56 Posted: 17 Feb 2012
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 97 (512,856)

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Asymptotic distribution, Autoregression, Conditional heteroskedasticity, Generalized least squares, Least squares

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity

Cowles Foundation Discussion Paper No. 1665R
Number of pages: 54 Posted: 01 Apr 2010
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 67 (642,733)
Citation 1

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Asymptotic distribution, Autoregression, Conditional heteroskedasticity, Generalized least squares, Least squares

4.

The Limit of Finite-Sample Size and a Problem With Subsampling

Cowles Foundation Discussion Paper No. 1605R
Number of pages: 69 Posted: 06 Mar 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 144 (379,478)

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Asymptotic size, b < n bootstrap, Finite-sample size, Over-rejection, Size correction, Subsample confidence interval, Subsample test

5.

Efficiency Properties of Labor Taxation in a Spatial Model of Restricted Labor Mobility

Number of pages: 39 Posted: 23 Apr 2001
Patrik Guggenberger, Ashok Kaul and Martin Kolmar
Pennsylvania State University, College of the Liberal Arts - Department of Economic, Saarland University and University of St. Gallen - Institute of Economy and the Environment (IWOe-HSG)
Downloads 117 (445,119)

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Restricted Labor Mobility, Efficient Allocation of Labor, Labor Taxation

6.

Applications of Subsampling, Hybrid, and Size-Correction Methods

Cowles Foundation Discussion Paper No. 1608
Number of pages: 46 Posted: 17 May 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 109 (469,197)
Citation 2

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Asymptotic size, Finite-sample size, Hybrid test, Instrumental variable, Over-rejection, Parameter near boundary, Size correction, Subsampling confidence interval, Subsampling test, Weak instrument

7.

Hybrid and Size-Corrected Subsample Methods

Cowles Foundation Discussion Paper No. 1606
Number of pages: 87 Posted: 06 Mar 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 108 (472,317)
Citation 8

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Asymptotic size, Autoregressive model, b < n bootstrap, Finite-sample size, Hybrid test, Model selection, Over-rejection, Parameter near boundary, Size correction, Subsample confidence interval, Subsample test

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Cowles Foundation Discussion Paper No. 1812
Number of pages: 34 Posted: 01 Aug 2011 Last Revised: 05 Aug 2011
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 55 (711,101)

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Asymptotically similar, Asymptotic size, Autoregressive model, Conditional heteroskedasticity, Confidence interval, Hybrid test, Subsampling test, Unit root

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Cowles Foundation Discussion Paper No. 1812R
Number of pages: 40 Posted: 15 Dec 2012
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 50 (743,422)
Citation 1

Abstract:

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asymptotically similar, asymptotic size, autoregressive model, conditional heteroskedasticity, confidence interval, hybrid test, subsampling test, unit root

9.

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity

Cowles Foundation Discussion Paper No. 1665
Number of pages: 47 Posted: 09 Jun 2008
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 102 (491,856)
Citation 2

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Asymptotic distribution, Autoregression, Conditional heteroskedasticity, Generalized least squares, Least squares

10.

Validity of Subsampling and 'Plug-In Asymptotic' Inference for Parameters Defined by Moment Inequalities

Cowles Foundation Discussion Paper No. 1620
Number of pages: 44 Posted: 05 Aug 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 102 (491,856)
Citation 11

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Asymptotic size, Confidence set, Exact size, m out of n bootstrap, Subsampling, Moment inequalities

11.

The Impact of a Hausman Pretest on the Size of Hypothesis Tests

Cowles Foundation Discussion Paper No. 1651
Number of pages: 46 Posted: 29 Apr 2008
Patrik Guggenberger
Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 96 (512,151)
Citation 8

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Asymptotic size, Exogeneity, Hausman specification test, Pretest, Size distortion

12.

Asymptotics for Stationary Very Nearly Unit Root Processes

Cowles Foundation Discussion Paper No. 1607
Number of pages: 9 Posted: 06 Mar 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 94 (519,130)

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Asymptotics, Least squares, Nearly nonstationary, Stationary initial condition, Unit root

13.

Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models

Cowles Foundation Discussion Paper No. 1977
Number of pages: 120 Posted: 24 Dec 2014 Last Revised: 05 Jan 2015
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 68 (627,480)
Citation 9

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Lagrange multiplier test, Moment conditions, Robust, Test, Weak identification, Weak instruments

14.

Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation

Number of pages: 51 Posted: 30 Sep 2011
Patrik Guggenberger and Yixiao Sun
Pennsylvania State University, College of the Liberal Arts - Department of Economic and University of California, San Diego (UCSD) - Department of Economics
Downloads 46 (752,764)
Citation 2

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Adaptive estimation, asymptotic bias, asymptotic normality, bias reduction, frequency domain, long-range dependence, rate of convergence, strongly dependent time series

15.

A Test for Kronecker Product Structure Covariance Matrix

Number of pages: 47 Posted: 19 May 2021
Patrik Guggenberger, Frank R. Kleibergen and Sophocles Mavroeidis
Pennsylvania State University, College of the Liberal Arts - Department of Economic, University of Amsterdam - Department of Quantitative Economics (KE) and University of Oxford - Department of Economics
Downloads 32 (858,334)

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covariance matrix, heteroskedasticity, Kronecker product structure, linear instrumental variables regression model, reduced rank, weak identification