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

DOI10.1017/S0266466614000814zbMath1441.62612OpenAlexW2114713519MaRDI QIDQ2786683

Christian B. Hansen, Timothy J. Vogelsang, C. Alan Bester, Timothy G. Conley

Publication date: 23 February 2016

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000814

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (15)

Bootstrap inference under cross‐sectional dependence ⋮ NONPARAMETRIC PREDICTION WITH SPATIAL DATA ⋮ Spatial Correlation Robust Inference in Linear Regression and Panel Models ⋮ Autoregressive spatial spectral estimates ⋮ Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects ⋮ HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework ⋮ A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data ⋮ Inference for spatial autoregressive models with infinite variance noises ⋮ Asymptotic \(F\) and \(t\) tests in an efficient GMM setting ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix ⋮ Inference with dependent data using cluster covariance estimators ⋮ Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects ⋮ Regression discontinuity and heteroskedasticity robust standard errors: evidence from a fixed-bandwidth approximation

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