Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data

DOI10.1016/0304-4076(95)01786-0zbMath0873.62067OpenAlexW1994367710MaRDI QIDQ1362032

Sonja Michels, Walter Kramer

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01786-0

zbMATH Keywords

autocorrelation\(t\)-valuesheteroskedasticity adjustmenttrending regressors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• On the robustness of the F-test to autocorrelation among disturbances
• Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Econometric Estimation with Temporally Dependent Disturbance Terms
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models

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