Higher order approximations for Wald statistics in time series regressions with integrated processes.

DOI10.1016/S0304-4076(01)00134-8zbMath1043.62010OpenAlexW2121602689MaRDI QIDQ1867717

Peter C. B. Phillips, Zhijie Xiao

Publication date: 2 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00134-8

zbMATH Keywords

Bandwidth selectionHigher order approximationMoment expansionSpectral regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Long run variance estimation and robust regression testing using sharp origin kernels with no truncation ⋮ Second order optimality for estimators in time series regression models ⋮ Optimal estimation of cointegrated systems with irrelevant instruments

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