Optimal HAR inference
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Cites work
- t-Statistic Based Correlation and Heterogeneity Robust Inference
- A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A theory of robust long-run variance estimation
- Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
- Asymptotic equivalence of spectral density estimation and Gaussian white noise
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Conditional Superior Predictive Ability
- Contiguity of the Whittle measure for a Gaussian time series
- Controlling the size of autocorrelation robust tests
- EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
- Fixed-smoothing asymptotics and asymptotic \(F\) and \(t\) tests in the presence of strong autocorrelation
- Fixed-smoothing asymptotics in a two-step generalized method of moments framework
- Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
- HAC ESTIMATION BY AUTOMATED REGRESSION
- HAR Inference: Recommendations for Practice
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- scientific article; zbMATH DE number 1211744 (Why is no real title available?)
- scientific article; zbMATH DE number 850385 (Why is no real title available?)
- scientific article; zbMATH DE number 3070807 (Why is no real title available?)
- Interpolation of Lipschitz functions
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Locally robust tests for serial correlation in least squares regression
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
- Most Powerful Tests of Composite Hypotheses. I. Normal Distributions
- Nearly optimal tests when a nuisance parameter is present under the null hypothesis
- On size and power of heteroskedasticity and autocorrelation robust tests
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Optimal Inference in a Class of Regression Models
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
- Robust tests for spherical symmetry and their application to least squares regression
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- Simple and honest confidence intervals in nonparametric regression
- Simple Robust Testing of Regression Hypotheses
- Spatial correlation robust inference
- Spatial Correlation Robust Inference in Linear Regression and Panel Models
- Student's t-test for Gaussian scale mixtures
- Testing Models of Low-Frequency Variability
- Testing Statistical Hypotheses
- Tests of Conditional Predictive Ability
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
- The Size‐Power Tradeoff in HAR Inference
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