Improving the bandwidth-free inference methods by prewhitening

DOI10.1016/J.JSPI.2013.06.016zbMath1278.62151OpenAlexW2095512891MaRDI QIDQ394095

Yeonwoo Rho, Xiao-Feng Shao

Publication date: 24 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.06.016

zbMATH Keywords

self-normalizationrobust testingtime series regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (3)

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Prewhitened long-run variance estimation robust to nonstationarity

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Fixed-smoothing asymptotics for time series
• Asymptotic theory of statistical inference for time series
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Testing That a Dependent Process Is Uncorrelated
• Simple Robust Testing of Hypotheses in Nonlinear Models
• Simple Robust Testing of Regression Hypotheses
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• Time Series Regression with a Unit Root
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation

This page was built for publication: Improving the bandwidth-free inference methods by prewhitening