Testing-optimal kernel choice in HAR inference

DOI10.1016/J.JECONOM.2020.06.007zbMATH Open1464.62394OpenAlexW3047038947MaRDI QIDQ2227076FDOQ2227076

Authors: Yixiao Sun, Jingjing Yang 

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.06.007

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zbMATH Keywords

fixed-smoothing asymptoticsheteroskedasticity and autocorrelation robust testoptimal kernel choicetesting-optimal smoothing-parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Asymptotics for linear processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Title not available (Why is that?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Multiple Time Series Regression with Integrated Processes
• t-Statistic Based Correlation and Heterogeneity Robust Inference
• Controlling the size of autocorrelation robust tests
• Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
• On size and power of heteroskedasticity and autocorrelation robust tests
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Efficient Tests for an Autoregressive Unit Root
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Fixed-smoothing asymptotics and asymptotic \(F\) and \(t\) tests in the presence of strong autocorrelation
• AUTOMATED DISCOVERY IN ECONOMETRICS

Cited In (2)

• Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
• A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

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