POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS

DOI10.1017/S0266466611000077zbMath1442.62205OpenAlexW1487924164MaRDI QIDQ3108569

Peter C. B. Phillips, Sainan Jin, Yixiao Sun

Publication date: 4 January 2012

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

Full work available at URL: https://doi.org/10.1017/s0266466611000077

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Related Items (5)

Is Newey-West optimal among first-order kernels? ⋮ Controlling the size of autocorrelation robust tests ⋮ A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions ⋮ ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS ⋮ Robust trend inference with series variance estimator and testing-optimal smoothing parameter

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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• Automatic Lag Selection in Covariance Matrix Estimation
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Simple Robust Testing of Regression Hypotheses
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
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• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
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• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation

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