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Deep Neural Network Estimation in Panel Data Models
In this paper we study neural networks and their approximating power in panel data models.
A New Test for Market Efficiency and Uncovered Interest Parity
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach.
High Dimensional Generalised Penalised Least Squares
In this paper we develop inference for high dimensional linear models, with serially correlated errors.
On Robust Inference in Time Series Regression
Second, most economic time series have strong autocorrelation, which renders HAC regression parameter estimates highly inefficient.
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