Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
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asymptotic efficiencyasymptotically optimal parameter estimatesautocorrelation of unknown formband spectrum regressionconsistencycovariance stationaritycross-validationdata-dependent smoothingdegree of smoothingdisturbancesfrequency domain methodsfrequency response functiongeneral linear systemincomplete modelinstrumental variables estimatesMonte Carlo studymultiple regression modelmultivariate linear regression modelrobust covariance matrix estimaterobust large-sample inference proceduresserial correlation of unknown formtime seriestrending explanatory variablesuniform convergence of spectral density estimates
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Cited in
(52)- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data
- Parameter estimation and hypothesis testing in stationary vector time series
- An alternative bootstrap to moving blocks for time series regression models
- On consistent testing for serial correlation of unknown form in vector time series models.
- Autoregressive-aided periodogram bootstrap for time series
- A CUSUM test for cointegration using regression residuals
- An invariance property of optimal spectral bandwidths
- Covariance matrix estimation for estimators of mixing weak ARMA models
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- Testing equality of spectral density operators for functional processes
- Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
- Discriminant analysis based on binary time series
- Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
- A test for second order stationarity of a multivariate time series
- Testing equality of spectral densities using randomization techniques
- On testing for serial correlation of unknown form using wavelet thresholding
- Testing nonparametric and semiparametric hypotheses in vector stationary processes
- Testing for serial correlation of unknown form in cointegrated time series models
- Testing for seasonal unit roots by frequency domain regression
- A bootstrap causality test for covariance stationary processes
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- Specification testing for regression models with dependent data
- scientific article; zbMATH DE number 3852263 (Why is no real title available?)
- ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
- FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS
- Optimal bandwidth selection for robust generalized method of moments estimation
- On testing for multivariate ARCH effects in vector time series models
- Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
- Vision and influence in econometrics: John Denis Sargan
- ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
- The Hybrid Wild Bootstrap for Time Series
- DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
- Second order approximation in a linear regression with heteroskedasticity of unknown form
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Simultaneous statistical inference in dynamic factor models
- Estimation of a nonparametric regression spectrum for multivariate time series
- A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
- On consistent testing for serial correlation in seasonal time series models
- Semiparametric sieve-type generalized least squares inference
- Tests for the existence of group effects and interactions for two-way models with dependent errors
- Testing temporal constancy of the spectral structure of a time series
- Homogeneity tests for one-way models with dependent errors under correlated groups
- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- A frequency domain bootstrap for general multivariate stationary processes
- Automatic spectral density estimation for random fields on a lattice via bootstrap
- TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
- Dynamic factors in the presence of blocks
- Bootstrap long memory processes in the frequency domain
- Second order optimality for estimators in time series regression models
- Bootstrapping spectra: methods, comparisons and application to knock data
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