A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

DOI10.1017/S0266466605050565zbMath1082.62040MaRDI QIDQ3377446

Nicholas M. Kiefer, Timothy J. Vogelsang

Publication date: 22 March 2006

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

zbMATH Keywords

local asymptotic powerasymptotic critical values

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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Cites Work

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

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