Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (Q1739594): Difference between revisions

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English	Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework	scientific article

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scholarly article

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title

Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (English)

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Journal of Econometrics

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publication date

26 April 2019

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full work available at URL

https://escholarship.org/uc/item/58r2z98m

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zbMATH Keywords

asymptotic mixed normality

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fixed-smoothing asymptotics

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heteroskedasticity and autocorrelation

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nonstandard asymptotics

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two-step GMM estimation

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MaRDI profile type

MaRDI publication profile

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cites work

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Inference with dependent data using cluster covariance estimators

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FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS

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Sieve inference on possibly misspecified semi-nonparametric time series models

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THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS

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BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP

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Large Sample Properties of Generalized Method of Moments Estimators

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Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework

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<i>t</i>-Statistic Based Correlation and Heterogeneity Robust Inference

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The Error in Rejection Probability of Simple Autocorrelation Robust Tests

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HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE

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Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation

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A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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Simple Robust Testing of Regression Hypotheses

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Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects

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A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

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A theory of robust long-run variance estimation

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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HAC ESTIMATION BY AUTOMATED REGRESSION

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Finite sample properties of tests based on prewhitened nonparametric covariance estimators

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ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS

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A Self-Normalized Approach to Confidence Interval Construction in Time Series

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A heteroskedasticity and autocorrelation robust<i>F</i>test using an orthonormal series variance estimator

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Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference

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Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework

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Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

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Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects

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OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION

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Robustifying multivariate trend tests to nonstationary volatility

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Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework

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Fixed-smoothing asymptotics for time series

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Identifiers

zbMATH Open document ID

1452.62649

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DOI

10.1016/j.jeconom.2018.07.006

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Inference with dependent data using cluster covariance estimators
+Normal rank
@@ Property / cites work @@
+FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
+Normal rank
@@ Property / cites work @@
+Sieve inference on possibly misspecified semi-nonparametric time series models
+Normal rank
@@ Property / cites work @@
+THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS
+Normal rank
@@ Property / cites work @@
+BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
+Normal rank
@@ Property / cites work @@
+<i>t</i>-Statistic Based Correlation and Heterogeneity Robust Inference
+Normal rank
@@ Property / cites work @@
+The Error in Rejection Probability of Simple Autocorrelation Robust Tests
+Normal rank
@@ Property / cites work @@
+HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING  BANDWIDTH EQUAL TO SAMPLE SIZE
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
+Normal rank
@@ Property / cites work @@
+A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
+Normal rank
@@ Property / cites work @@
+Simple Robust Testing of Regression Hypotheses
@@ Property / cites work: Simple Robust Testing of Regression Hypotheses / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
+Normal rank
@@ Property / cites work @@
+A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
+Normal rank
@@ Property / cites work @@
+A theory of robust long-run variance estimation
@@ Property / cites work: A theory of robust long-run variance estimation / rank @@
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+HAC ESTIMATION BY AUTOMATED REGRESSION
@@ Property / cites work: HAC ESTIMATION BY AUTOMATED REGRESSION / rank @@
+Normal rank
@@ Property / cites work @@
+Finite sample properties of tests based on prewhitened nonparametric covariance estimators
+Normal rank
@@ Property / cites work @@
+ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS
+Normal rank
@@ Property / cites work @@
+A Self-Normalized Approach to Confidence Interval Construction in Time Series
+Normal rank
@@ Property / cites work @@
+A heteroskedasticity and autocorrelation robust<i>F</i>test using an orthonormal series variance estimator
+Normal rank
@@ Property / cites work @@
+Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
+Normal rank
@@ Property / cites work @@
+Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework
+Normal rank
@@ Property / cites work @@
+Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
+Normal rank
@@ Property / cites work @@
+OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION
+Normal rank
@@ Property / cites work @@
+Robustifying multivariate trend tests to nonstationary volatility
+Normal rank
@@ Property / cites work @@
+Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
+Normal rank
@@ Property / cites work @@
+Fixed-smoothing asymptotics for time series
@@ Property / cites work: Fixed-smoothing asymptotics for time series / rank @@
+Normal rank
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+Q129211263
@@ Property / Wikidata QID: Q129211263 / rank @@
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