Block bootstrap HAC robust tests: the sophistication of the naive bootstrap

DOI10.1017/S0266466610000496MaRDI QIDQ5199497zbMATH OpenOpenAlexFDO

Authors Sílvia Gonçalves, Timothy J. Vogelsang

Publication date 16 August 2011

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466610000496

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A bootstrap theory for weakly integrated processes
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• A Sieve Bootstrap For The Test Of A Unit Root
• Asymptotics for linear processes
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Bootstrap Unit Root Tests
• Bootstrapping GMM estimators for time series
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• On Edgeworth expansion and moving block bootstrap for Studentized M-estimators in multiple linear regression models
• ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
• On the asymptotic accuracy of Efron's bootstrap
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Residual-Based Block Bootstrap for Unit Root Testing
• Second-order correctness of the blockwise bootstrap for stationary observations
• Stochastic Limit Theory
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• The jackknife and the bootstrap for general stationary observations
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions

Cited in

(25)

• Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
• Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
• The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
• Inference in time series models using smoothed-clustered standard errors
• Ridge regression revisited: debiasing, thresholding and bootstrap
• Fixed-b asymptotics for spatially dependent robust nonparametric covariance matrix estimators
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• A fixed-b perspective on the Phillips-Perron unit root tests
• The block-block bootstrap for time series
• The moving blocks bootstrap for panel linear regression models with individual fixed effects
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Fixed-smoothing asymptotics for time series
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
• Discussion on: ``Bootstrap methods for dependent data: a review
• Bootstrap inference under cross‐sectional dependence
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• HAC robust trend comparisons among climate series with possible level shifts
• Wild Bootstrap and Asymptotic Inference With Multiway Clustering
• Optimal HAR inference
• Some fixed-b results for regressions with high frequency data over long spans
• Bootstrapping out-of-sample predictability tests with real-time data
• Wild Bootstrap Inference with Multiway Clustering and Serially Correlated Time Effects
• Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
• Lasso Inference for High-Dimensional Time Series

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