The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity (Q6193066): Difference between revisions

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+W3216186679
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+Stopping times and tightness
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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+Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
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+Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
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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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+The Size‐Power Tradeoff in HAR Inference
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+Functional CLT for martingale-like nonstationary dependent structures
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Automatic Lag Selection in Covariance Matrix Estimation
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+Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
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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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+Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
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+EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
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+A FIXED-<i>b</i> PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
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+Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
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+Robustifying multivariate trend tests to nonstationary volatility
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+Publication:6193066