Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference

DOI10.1016/j.jeconom.2013.10.001zbMath1293.62108OpenAlexW2798500723MaRDI QIDQ2512630

Yixiao Sun

Publication date: 7 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.10.001

zbMATH Keywords

asymptotic expansionlong-run variancerobust standard errortype I and type II errorsheteroskedasticity and autocorrelation robust\(F\)-distributiontesting-optimal smoothing parameter choice

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20)

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