A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
From MaRDI portal
Publication:3377446
Asymptotic distribution theory in statistics (62E20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Recommendations
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
- Extending the Frequency Range of Spectrum Estimates by the Use of Two Data Recorders
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
- Large Sample Properties of Generalized Method of Moments Estimators
- Multiple Time Series Regression with Integrated Processes
- Second-order correctness of the blockwise bootstrap for stationary observations
- Simple Robust Testing of Hypotheses in Nonlinear Models
- Simple Robust Testing of Regression Hypotheses
- Simple Robust Testing of Regression Hypotheses: A Comment
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
Cited in
(only showing first 100 items - show all)- Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes
- Testing for a change in mean under fractional integration
- Asymptotic inference about predictive accuracy using high frequency data
- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- Controlling the size of autocorrelation robust tests
- Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
- Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation
- Robust M tests using kernel-based estimators with bandwidth equal to sample size
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- A simple and trustworthy asymptotic t test in difference-in-differences regressions
- Inference on difference-in-differences average treatment effects: a fixed-b approach
- Simple and trustworthy cluster-robust GMM inference
- Inference without smoothing for large panels with cross-sectional and temporal dependence
- Inference in time series models using smoothed-clustered standard errors
- Adjusted-range self-normalized confidence interval construction for censored dependent data
- Time series analysis of COVID-19 infection curve: a change-point perspective
- Inference for change points in high-dimensional data via selfnormalization
- Estimation and inference about tail features with tail censored data
- Testing-optimal kernel choice in HAR inference
- Change-in-mean tests in long-memory time series: a review of recent developments
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
- Placebo inference on treatment effects when the number of clusters is small
- A unifying theory of tests of rank
- A martingale decomposition for quadratic forms of Markov chains (with applications)
- Low-frequency robust cointegration testing
- On a general class of long run variance estimators
- A general approach to the joint asymptotic analysis of statistics from sub-samples
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Nonparametric inference based on conditional moment inequalities
- Estimation and inference in semiparametric quantile factor models
- Finite-sample corrected inference for two-step GMM in time series
- Markov chain Monte Carlo confidence intervals
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- The block-block bootstrap for time series
- Asymptotic properties of a robust variance matrix estimator for panel data when T is large
- A theory of robust long-run variance estimation
- Generalized empirical likelihood tests in time series models with potential identification failure
- A fixed-b test for a break in level at an unknown time under fractional integration
- Improving robust model selection tests for dynamic models
- Accurately sized test statistics with misspecified conditional homoskedasticity
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS-based tests
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- The impact of the initial condition on robust tests for a linear trend
- Stationarity testing under nonlinear models. Some asymptotic results
- Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
- Parametric inference in stationary time series models with dependent errors
- A noisy principal component analysis for forward rate curves
- Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
- THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
- Fixed-smoothing asymptotics for time series
- Improving the bandwidth-free inference methods by prewhitening
- A term structure model of interest rates with quadratic volatility
- A self-normalizing approach to the specification test of mixed-frequency models
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- A review of empirical likelihood methods for time series
- Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Fixed-b analysis of LM-type tests for a shift in mean
- A test of the null of integer integration against the alternative of fractional integration
- Generalized C() tests for estimating functions with serial dependence
- Unit root testing with slowly varying trends
- An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
- A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test
- An asymptotic F test for uncorrelatedness in the presence of time series dependence
- A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Testing for parameter constancy in the time series direction in panel data models
- Fixed bandwidth inference for fractional cointegration
- Asymptotic behavior of optimal weighting in generalized self-normalization for time series
- Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
- The dependent random weighting
- Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
- Robustifying multivariate trend tests to nonstationary volatility
- HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
- FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
- Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
- Nonmonotonic power for tests of a mean shift in a time series§
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- M tests with a new normalization matrix
- Discussion on: ``Bootstrap methods for dependent data: a review
- Critical value functions for likelihood-ratio tests for normality
- Bootstrap inference under cross‐sectional dependence
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Asymptotic F test in regressions with observations collected at high frequency over long span
- Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
- Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
- HAC robust trend comparisons among climate series with possible level shifts
- Getting the ROC into Sync
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Estimating the Spectral Density at Frequencies Near Zero
- Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators
This page was built for publication: A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3377446)
