Asymptotic \(F\) and \(t\) tests in an efficient GMM setting (Q524822): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F05
@@ Property / Mathematics Subject Classification ID: 62F05 / rank @@
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@@ Property / zbMATH DE Number @@
+6708109
@@ Property / zbMATH DE Number: 6708109 / rank @@
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@@ Property / zbMATH Keywords @@
+efficient GMM
@@ Property / zbMATH Keywords: efficient GMM / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+\(F\) distribution
@@ Property / zbMATH Keywords: \(F\) distribution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fixed-smoothing asymptotics
@@ Property / zbMATH Keywords: fixed-smoothing asymptotics / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+heteroskedasticity and autocorrelation robust
+Normal rank
@@ Property / zbMATH Keywords @@
+\(t\) distribution
@@ Property / zbMATH Keywords: \(t\) distribution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+two-step GMM
@@ Property / zbMATH Keywords: two-step GMM / rank @@
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@@ Property / zbMATH Keywords @@
+asymptotic variance matrix
@@ Property / zbMATH Keywords: asymptotic variance matrix / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2017.02.003
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@@ Property / OpenAlex ID @@
+W1233361996
@@ Property / OpenAlex ID: W1233361996 / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
+Normal rank
@@ Property / cites work @@
+BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
+Normal rank
@@ Property / cites work @@
+Q5461413
@@ Property / cites work: Q5461413 / rank @@
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+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 @@
+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 @@
+Robust trend inference with series variance estimator and testing-optimal smoothing parameter
+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 @@
+Fixed-smoothing Asymptotics and Asymptotic <i>F</i> and <i>t</i> Tests in the Presence of Strong Autocorrelation
+Normal rank
@@ Property / cites work @@
+Simple and powerful GMM over-identification tests with accurate size
+Normal rank
@@ Property / cites work @@
+Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
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@@ Property / cites work @@
+Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
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@@ links / mardi / name / links / mardi / name @@
+Publication:524822