A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
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Publication:3377446
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) Asymptotic distribution theory in statistics (62E20)
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-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- 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)- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- Discussion on: ``Bootstrap methods for dependent data: a review
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Improving the bandwidth-free inference methods by prewhitening
- Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
- Inference in time series models using smoothed-clustered standard errors
- HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
- Critical value functions for likelihood-ratio tests for normality
- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- Time series analysis of COVID-19 infection curve: a change-point perspective
- Inference for change points in high-dimensional data via selfnormalization
- Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- HAC robust trend comparisons among climate series with possible level shifts
- A stable estimator of the information matrix under EM for dependent data
- Simple and trustworthy cluster-robust GMM inference
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- The impact of the initial condition on robust tests for a linear trend
- Parametric inference in stationary time series models with dependent errors
- A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
- Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
- Prewhitened long-run variance estimation robust to nonstationarity
- Controlling the size of autocorrelation robust tests
- Testing-optimal kernel choice in HAR inference
- Robustifying multivariate trend tests to nonstationary volatility
- A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test
- 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
- Markov chain Monte Carlo confidence intervals
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- Comment
- A fixed-\(b\) test for a break in level at an unknown time under fractional integration
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- Fixed-smoothing asymptotics for time series
- Nonparametric inference based on conditional moment inequalities
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Asymptotic inference about predictive accuracy using high frequency data
- A review of empirical likelihood methods for time series
- Unit root testing with slowly varying trends
- A theory of robust long-run variance estimation
- Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
- A unifying theory of tests of rank
- Information theory for maximum likelihood estimation of diffusion models
- Fixed-\(b\) analysis of LM-type tests for a shift in mean
- Generalized empirical likelihood tests in time series models with potential identification failure
- Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
- Inference with dependent data using cluster covariance estimators
- Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
- Simple and powerful GMM over-identification tests with accurate size
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
- Geometry of the log-likelihood ratio statistic in misspecified models
- Inference without smoothing for large panels with cross-sectional and temporal dependence
- Low-frequency robust cointegration testing
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Accurately sized test statistics with misspecified conditional homoskedasticity
- Estimation and inference in semiparametric quantile factor models
- FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
- Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
- Robust methods for detecting multiple level breaks in autocorrelated time series
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- Placebo inference on treatment effects when the number of clusters is small
- Nonmonotonic power for tests of a mean shift in a time series§
- A noisy principal component analysis for forward rate curves
- Testing for parameter constancy in the time series direction in panel data models
- Fixed bandwidth inference for fractional cointegration
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Spatial Correlation Robust Inference in Linear Regression and Panel Models
- Robust testing for explosive behavior with strongly dependent errors
- The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity
- Confidence Bands for ROC Curves With Serially Dependent Data
- Comment on "HAR Inference: Recommendations for Practice"
- Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice”
- A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests
- Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation
- Asymptotic behavior of optimal weighting in generalized self-normalization for time series
- Improving the finite sample performance of tests for a shift in mean
- Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
- \(M\) tests with a new normalization matrix
- Correcting the bias of the sample cross‐covariance estimator
- Is Newey-West optimal among first-order kernels?
- The block-block bootstrap for time series
- Panel data models with cross-sectional dependence: a selective review
- Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
- HAC Covariance Matrix Estimation in Quantile Regression
- Robust M tests using kernel-based estimators with bandwidth equal to sample size
- An asymptotic \(F\) test for uncorrelatedness in the presence of time series dependence
- Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes
- Testing for a shift in trend at an unknown date: a fixed-\(b\) analysis of heteroskedasticity autocorrelation robust OLS-based tests
- Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
- THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
- Estimation and inference about tail features with tail censored data
- A modified Wilcoxon test for change points in long-range dependent time series
- Improving robust model selection tests for dynamic models
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