Robust M tests using kernel-based estimators with bandwidth equal to sample size

DOI10.1016/j.econlet.2007.01.014zbMath1255.62367OpenAlexW1995853849MaRDI QIDQ1934126

Wei-Ming Lee

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.01.014

zbMATH Keywords

recursive estimatorsserial correlation testBartlett kernel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Robust adaptive rate-optimal testing for the white noise hypothesis ⋮ Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix ⋮ The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors

Cites Work

• Automatic Lag Selection in Covariance Matrix Estimation
• Testing That a Dependent Process Is Uncorrelated
• Simple Robust Testing of Regression Hypotheses
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• RobustMTests Without Consistent Estimation of the Asymptotic Covariance Matrix