Inference in time series models using smoothed-clustered standard errors

DOI10.1016/J.JECONOM.2020.07.037MaRDI QIDQ2043259zbMATH OpenOpenAlexFDO

Authors Seunghwa Rho, Timothy J. Vogelsang

Publication date 30 July 2021

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.07.037

zbMATH Keywords

equally weighted cosinesfixed-b asymptoticsheteroskedasticity autocorrelation robust inferencesystematic missing data

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Inference with dependent data using cluster covariance estimators
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• Multiple Time Series Regression with Integrated Processes
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes
• The Effect of Aggregation on Prediction in the Autoregressive Model

Cited in

(2)

• A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
• Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models

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