Improving the bandwidth-free inference methods by prewhitening

DOI10.1016/J.JSPI.2013.06.016MaRDI QIDQ394095zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A self-normalized approach to confidence interval construction in time series
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Asymptotic theory of statistical inference for time series
• Fixed-smoothing asymptotics for time series
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Simple Robust Testing of Hypotheses in Nonlinear Models
• Simple Robust Testing of Regression Hypotheses
• Testing That a Dependent Process Is Uncorrelated
• Time Series Regression with a Unit Root

Cited in

(3)

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

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