Improving the bandwidth-free inference methods by prewhitening

DOI10.1016/J.JSPI.2013.06.016zbMATH Open1278.62151OpenAlexW2095512891MaRDI QIDQ394095FDOQ394095

Authors: Yeonwoo Rho, Xiaofeng Shao 

Publication date: 24 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.06.016

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zbMATH Keywords

time series regressionself-normalizationrobust testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotic theory of statistical inference for time series
• Title not available (Why is that?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing That a Dependent Process Is Uncorrelated
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• Time Series Regression with a Unit Root
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Simple Robust Testing of Regression Hypotheses
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Fixed-smoothing asymptotics for time series
• Simple Robust Testing of Hypotheses in Nonlinear Models

Cited In (3)

• Prewhitened long-run variance estimation robust to nonstationarity
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models

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