A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

DOI10.1017/S0266466605050565zbMATH Open1082.62040MaRDI QIDQ3377446FDOQ3377446

Authors: Nicholas M. Kiefer, Timothy J. Vogelsang 

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

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zbMATH Keywords

local asymptotic powerasymptotic critical values

Mathematics Subject Classification ID

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)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Multiple Time Series Regression with Integrated Processes
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
• Simple Robust Testing of Regression Hypotheses
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Second-order correctness of the blockwise bootstrap for stationary observations
• Simple Robust Testing of Hypotheses in Nonlinear Models
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• Extending the Frequency Range of Spectrum Estimates by the Use of Two Data Recorders
• Simple Robust Testing of Regression Hypotheses: A Comment

Cited In (only showing first 100 items - show all)

• Improving the bandwidth-free inference methods by prewhitening
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
• A stable estimator of the information matrix under EM for dependent data
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Simple and trustworthy cluster-robust GMM inference
• Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
• Parametric inference in stationary time series models with dependent errors
• Controlling the size of autocorrelation robust tests
• A fixed-\(b\) test for a break in level at an unknown time under fractional integration
• Robustifying multivariate trend tests to nonstationary volatility
• Markov chain Monte Carlo confidence intervals
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• Nonparametric inference based on conditional moment inequalities
• Fixed-smoothing asymptotics for time series
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• Asymptotic inference about predictive accuracy using high frequency data
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• A review of empirical likelihood methods for time series
• Fixed-\(b\) analysis of LM-type tests for a shift in mean
• A theory of robust long-run variance estimation
• Information theory for maximum likelihood estimation of diffusion models
• 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
• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• Nonmonotonic power for tests of a mean shift in a time series§
• Fixed bandwidth inference for fractional cointegration
• Robust methods for detecting multiple level breaks in autocorrelated time series
• A noisy principal component analysis for forward rate curves
• 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
• \(M\) tests with a new normalization matrix
• The block-block bootstrap for time series
• An asymptotic \(F\) test for uncorrelatedness in the presence of time series dependence
• 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
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) 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
• Improving robust model selection tests for dynamic models
• A modified Wilcoxon test for change points in long-range dependent time series
• A martingale decomposition for quadratic forms of Markov chains (with applications)
• A general approach to the joint asymptotic analysis of statistics from sub-samples
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• A test of the null of integer integration against the alternative of fractional integration
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
• A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
• On a general class of long run variance estimators
• Discussion on: ``Bootstrap methods for dependent data: a review
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
• Critical value functions for likelihood-ratio tests for normality
• Inference in time series models using smoothed-clustered standard errors
• HAC robust trend comparisons among climate series with possible level shifts
• Time series analysis of COVID-19 infection curve: a change-point perspective
• Inference for change points in high-dimensional data via selfnormalization
• The impact of the initial condition on robust tests for a linear trend
• Prewhitened long-run variance estimation robust to nonstationarity
• 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
• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• Comment
• A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test
• Testing-optimal kernel choice in HAR inference
• Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
• Unit root testing with slowly varying trends
• A unifying theory of tests of rank
• Inference without smoothing for large panels with cross-sectional and temporal dependence
• Low-frequency robust cointegration testing
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• Accurately sized test statistics with misspecified conditional homoskedasticity
• Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
• Estimation and inference in semiparametric quantile factor models
• Estimation of longrun variance of continuous time stochastic process using discrete sample
• Testing for parameter constancy in the time series direction in panel data models
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• Placebo inference on treatment effects when the number of clusters is small
• 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

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